Delta Buy/Sell Volume

[gomifromparis]

Here's a new version capable of taking advantage data obtained by Ninja Export conversion to Gom CD with the converter application (see http://www.ninjatrader-support2.com/...ad.php?t=16006) when in Bid/Ask mode.

In that case, there is no bid/ask information in the file so I added a parameter to choose what to do when you're in Bid/Ask mode, but encounter ticks in the file that have no bid/ask information. You can either do nothing (you get gaps), either create deltas using tick method or tick with continuation method.

Enjoy

[MoreYummy]

Do you need to let it run in real time to see the value changing?

If I want to see the pass value, it seems to be 0.

Is there a page explain what it does?

[gomifromparis]

New version capable of reading ultra concise "Binary" format.
Enjoy !

[chuckt101]

Gomi, NT should hire you as a consultant. Then instead of saying "we don't support this" to nearly every question, they can say "hold on while I check with Gomi, the master."

[LuboLabo]

agreed

Gomi, NT should hire you as a consultant. Then instead of saying "we don't support this" to nearly every question, they can say "hold one while I check with Gomi, the master."

Thanks Gomi!!!

[Stone]

Gomi, NT should hire you as a consultant. Then instead of saying "we don't support this" to nearly every question, they can say "hold on while I check with Gomi, the master."

hear hear!!!

[gomifromparis]

Thanks guys. Really appreciate it

[toulouse-lautrec]

Hello Gomi,
thanks for your great work.
Unfortunately it appears there is a drawing bug using UpDownTick / NonCumulative-mode in combination.
When these modes are set, then all bars after chart initialization get drawn "flat" - pressing F5 everything looks ok again. See the two pictures, the first is after running the chart for a while in said mode, the second after pressing F5.
Can you advise please.

[gomifromparis]

Nah, it's not a bug, it's worse . It's by design, as Microsoft would put it...

Problem is that ticks occuring the same second, and of the same type (same price and same AtBid, AtAsk etc) are aggregated in the data file as one large tick to use less space.

I am working on an option to change this because it has strong side effects : for instance, volume filtering is not accurate when using historical data.

The side effect you observe here is that in UpDown mode, the size of the tick that creates the upmove or downmove in live is smaller than the one that creates the move on historical data, which has a good chance of being aggregated so with larger volume.

As the a result historical CD with UpDownTick mode are false and too large. Live data is correct.

Conclusion : for now do not trust UpDownTick on historical data, it is false. UpDownTickWithContinuation is OK for both live and historical.

Sorry for the inconvenience guys.

[T2020]

I wonder if associating Ask trades with up ticks and down ticks with Bid trades
would make for a more accurate picture . Some times the bid/ask cumulative
is going down when price goes up . I know buying at the bid can be taking
place ,but personally I'd like the most accurate picture I can get . I think side
ticks should be left out of the calculation all together . I only want volume that actually moves price . I don't know enough about programing to know
exactly how your calculating this . Just my 2 cents worth . I watch both the
cumulative bid/ask and up/down ticks for the best guess I can make . thx .

[gomifromparis]

Here's a new version of the indicator that is able to use the new framework, which allows the use of non compressed ticks, thus allowing correct volume analysis.

Also added a filter parameter to choose to filter ticks with volume above or below a certain value.

If you need to use volume filtering, don't forget to disable tick compression (Data file will get 2.5 times bigger though).
If you don't use volume filtering, do nothing :-)

[jfw215]

Gomi,

you the man. What do you mean correct volume analysis? I must have missed something...

Thanks

W

Here's a new version of the indicator that is able to use the new framework, which allows the use of non compressed ticks, thus allowing correct volume analysis.

Also added a filter parameter to choose to filter ticks with volume above or below a certain value.

If you need to use volume filtering, don't forget to disable tick compression (Data file will get 2.5 times bigger though).
If you don't use volume filtering, do nothing :-)

[gomifromparis]

Gomi,

you the man. What do you mean correct volume analysis? I must have missed something...

Thanks

W

I should have said "volume filtering analysis". As ticks were compressed on a second basis, if during the same second you had trades at the same price and of the same kind (at bid, at ask etc), with volumes 1,2,3,6 , the file only recorded 12, so if you wanted to filter ticks <10, you didn't have the info any more.

Now you can set an option to record 1,2,3,6 , so volume filtering works as expected.

[jfw215]

I should have said "volume filtering analysis". As ticks were compressed on a second basis, if during the same second you had trades at the same price and of the same kind (at bid, at ask etc), with volumes 1,2,3,6 , the file only recorded 12, so if you wanted to filter ticks <10, you didn't have the info any more.

Now you can set an option to record 1,2,3,6 , so volume filtering works as expected.

thanks gom.

W

[T2020]

The UpDowntick / Non cumulative does not paint a candle anymore . Just
a histogram . ?