Delta Buy/Sell Volume

[subterfuge]

I downloaded the latest version, but im unsure as to what i have to do to make it so that the data isn't lost when i change the chart, like add a moving average or something.

[gomifromparis]

I downloaded the latest version, but im unsure as to what i have to do to make it so that the data isn't lost when i change the chart, like add a moving average or something.

You can add your code in ProcessDelta, which processes the real time ticks and the historical read ticks.

[gomifromparis]

Sorry, made a regression in 2.5, the indic couldn't create a file from scratch. This one correct the problem

[LuboLabo]

Sorry, made a regression in 2.5, the indic couldn't create a file from scratch. This one correct the problem

Hi Gomi, thanks for the improvements, i ask u if is possible add a choise for up down ticks instead bid ask, to use it with forex data.
Thanks.

Lubo.

[gomifromparis]

Hi Gomi, thanks for the improvements, i ask u if is possible add a choise for up down ticks instead bid ask, to use it with forex data.
Thanks.

Lubo.

What's the exact rule for calculation with up/down ticks ?

EDIT : IMHO in Forex there is no centralized exchange so no useful volume information. And if you're trading forex futures, you've got bid/ask I suppose ?

[gomifromparis]

Here's the 3.0 indicator, compliant with GomRecorder framework (see http://www.ninjatrader-support2.com/...ad.php?t=16006 )

You'll see small differences with previous versions due to changes in how bid>=ask situations are managed. In fact now they are managed.

Here's a picture of 2.5 version with new version using Flat file format and new version using Short file format.

Enjoy !

[LuboLabo]

What's the exact rule for calculation with up/down ticks ?

EDIT : IMHO in Forex there is no centralized exchange so no useful volume information. And if you're trading forex futures, you've got bid/ask I suppose ?

I'm trading forex spot, tick volume is useful, the difference is that there's no contract volume, but ticks to build spot volume, i think for delta calculation u use difference between ask bid contract volume or number of trades(tell me if i'm wrong), in forex should be used tick up down difference for calcution of delta.

Thanks.

Lubo.

[rt-trader]

Hi,

A simple approach to uptick/downtick might be;

if(Close[0] > lastPrice) up = true;
if(Close[0] < lastPrice) up = false;
lastPrice = Close[0];

although I have seen;

if(ask > lastAsk) up = true;
if(bid < lastBid) up = false;

lastAsk = Ask;
lastBid = Bid;

using either OnMarketDataEventArgs or OnBarUpdate GetCurrentAsk method to populate Ask and Bid.

Personally I prefer the first approach as it is a more accurrate reflection of buyer/seller momentum (the ability of either to keep prices moving in their direction regardless of counter pressure exerted as reflected by Bid/Ask transactions.

[gomifromparis]

Here's GomCD 3.1, implementing 2 new deta calculation rules in addition to bid/ask comparison

• UpDownTick => delta=sign(price-lastprice)*volume

• UpDownTickWithContinuation : same as above but if price=lastprice, volume is considered to be in direction of last up or down tick

[T2020]

Another fine improvement . Very telling when plotted one above the other .
Just wondering what "Recording short " means ?

[gomifromparis]

Another fine improvement . Very telling when plotted one above the other .
Just wondering what "Recording short " means ?

It's the file format, there are 2 of them : flat and short. OK mena it's recording OK. It's true the message can be confusing

[T2020]

It's the file format, there are 2 of them : flat and short. OK mena it's recording OK. It's true the message can be confusing

Is there any advantage to using Flat or Short format ?

[gomifromparis]

Is there any advantage to using Flat or Short format ?

Flat gives larger files but easier to read if you need it. But data is the same.

[T2020]

OK , thanks again .

[farshadro]

Volume Filter

Do you have any plans to add a volume filter to your indicator? For example plotting your indicator for block trades over 5000 shares.