Delta Buy/Sell Volume

[timmyb]

To anyone who feels they can help

This is what I am trying to accomplish. I want to be able to record the close of the GOMcd values so that i can code a indicator that can tell me the difference either in last two bars or bars back. I am having some issues here. Mostly because I am not the best coder. But i am trying to get it to store the close of GOMcd so far so i can try to reference that info.

this is the only way i can get it to compile but is it then refereceing the close??

if i add .DeltaClose); to the end it wont compile


this is the only line i can get to compile

myDataSeries = new DataSeries (GomCD(GomCDCalculationModeType.BidAsk,GomCDChartT ype.CumulativeChart,GomFileFormat.Short,GomFilterM odeType.None,0,false));

[timmyb]

To anyone who feels they can help

This is what I am trying to accomplish. I want to be able to record the close of the GOMcd values so that i can code a indicator that can tell me the difference either in last two bars or bars back. I am having some issues here. Mostly because I am not the best coder. But i am trying to get it to store the close of GOMcd so far so i can try to reference that info.

this is the only way i can get it to compile but is it then refereceing the close??

if i add .DeltaClose); to the end it wont compile




this is the only line i can get to compile

myDataSeries = new DataSeries (GomCD(GomCDCalculationModeType.BidAsk,GomCDChartT ype.CumulativeChart,GomFileFormat.Short,GomFilterM odeType.None,0,false));

ok i think i got it with this
double Close = (GomCD(GomCDCalculationModeType.BidAsk,GomCDChartT ype.CumulativeChart,GomFileFormat.Short,GomFilterM odeType.None,0,false).DeltaClose)[0];

[gomifromparis]

thank you Gomi your help is so appreciated, Thanks again for your devoted time. I keep saying thank you because I have done allot of things in trading. Giving mini seminars ect with nothing in return but feeling a tad better about myself. You work is so appreciated and has taken my trading to the next level. Your advice to change to short worked great. I am curious tho what recording format you use and eprhaps why. Maybe its time i switch formats to the one the guys who actually wrote the code uses.

Thanks !

Concerning file format, I use Binary because it's smaller and is more quickly read and parsed than the other formats. When you will be looking at yearly charts, you will understand what I mean :-)
On a short time frame, performance is not an issue so you can use whatever you want. Anyway, there's always the converter !

[rally]

Hi Gomi,

Thanks for the reply, another question, even for intraday timeframes is binary a smaller file size than short?

[gomifromparis]

Hi Gomi,

Thanks for the reply, another question, even for intraday timeframes is binary a smaller file size than short?

on any timeframe, Binary<Short. It's because it's.... binary, whereas Short is a text file.

[rally]

Thanks again Gomi, you da man

I have already notice the file size difference, is it a straightforward or complex process of converting from short to binary?

[gomifromparis]

Thanks again Gomi, you da man

I have already notice the file size difference, is it a straightforward or complex process of converting from short to binary?

It should be quite straightforward using GomFileConverter

http://www.ninjatrader-support2.com/vb/showpost.php?p=100925&postcount=18

[rally]

Thanks Gomi, do I import the gomifileconvertor into NT?

[gomifromparis]

no, it's a stand-alone software.

[Sniffy]

Gomi

First I will add my sincere thanks to you for sharing your excellent work. Top man!

(B), lol ... how do you determine whether volume is going off at the ask versus the bid?

If I understand things correctly, there are two generic methods for doing this.

The first is to use an uptick as a surrogate for volume going off at the ask, and a downtick for volume going off at the bid. The problems inherent with this approach should be plain to see - assume an uptick occurs so trades will be assumed to go off at the ask until a downtick occurs, but if the ask volume is completely taken out (best ask is now 1 tick higher) and bid volume is entered at the old ask price (now the new best bid price), any trades going off at the new bid price will be recorded as going off at the ask (cos we havent had a downtick). Thus volume would be incorrectly recorded against the ask whereas it should be recorded against the bid.

The other standard method is just to record trade volume as being at the ask if the price at which it traded is equal to or higher than the current ask and at the bid if the price is equal to or lower than the current bid price (I will ignore trades in between the bid/ask). The problem with this could be if there has been a new ask or bid price message since the last lot traded - as I understand things, the marketdata messages will arrive asynchronously, so a new best bid/ask price message could arrive before the last traded lot message. Hopefully you can see the scope for incorrect recording in this imperfect asynchronous world.

So, my question is which method do you use (if there is another way I would love to hear about it); which do you consider "better" (though I guess that could be data feed dependent); do you think it matters a jot which method is used?

I am just trying to understand the whole "delta" thing better, and any light you can shine on it would be much appreciated.

Once again thanks for sharing your indicators.

Sniffy

[gomifromparis]

Hi,

I use BidAsk calculation, but GomCD implements updown tick method as well.

I don't think asynchronicity is a problem, I'm not even sure messages are asynchronous. I don't know how the Exchange sends data : all data might well be syncronous.

To get info on how to use GomCD, you can watch "Inventory Grab Alert" thread on ET and the vids on fulcrumtrader's web site.

[FulcrumTrader]

Hi,

I use BidAsk calculation, but GomCD implements updown tick method as well.

I don't think asynchronicity is a problem, I'm not even sure messages are asynchronous. I don't know how the Exchange sends data : all data might well be syncronous.

To get info on how to use GomCD, you can watch "Inventory Grab Alert" thread on ET and the vids on fulcrumtrader's web site.

Dr Bill Linn at Linnsoft (Investor RT Group) has addressed this issue in the past....he is an excellent resource for the construct of a proper Cumulative Delta study.

From everything I see......Gomi has found the gold!

[rally]

Gomi IS gold

[NickA]

I think there is a potential race condition, to avoid it I think it is necessary to use onMarketData which is an event (like a new tick) then things will be synchronous. I might be wrong but if best ask/bid changes whilst processing incoming trade events then you will be peeking at the new value of bestbid bestask where you really want the value from exactly when the trade tick occurred. Put another way if the actual trade causes best bid best ask to change or limit orders are pulled at a level before you can peak at it you will be looking at the wrong value.

[Sergio66]

Any reason that explains why the Record Binary is always KO