Delta in Volumetric Bars vs OrderFlowCumulativeDelta

[Impeesa]

Hello

Why are different delta (bar) in volumetric bars statistics and delta close in OrderFlowCumulativeDelta indicator (period = bar)? How are they calculated?

Thanks in advanced

[NinjaTrader_Jim]

Hello Impessa,

Thanks for your post.

Volumetric Bars reads volume data before being packaged and sent to OnBarUpdate. Order Flow Cumulative Delta reads the data after it has been packaged in a bar and reads that data from OnBarUpdate, using a single tick data series for the volume analysis here.

Discrepancies between these two approaches comes up with historical data and smaller based tick bars when ticks have the same timestamp. When ticks have the same timestamp, they do not get unrolled in the same way in OnBarUpdate, where the ticks with the same timestamp can come out of order.

This is a known limitation with Order Flow Cumulative Delta and other scripts that use a Multi Time Frame approach to analyze volume, which is only seen when the following factors are met:

1. Primary data series is a Tick based bar
2. There are ticks with the same timestamp

The discrepancies of this limitation are seem mostly with smaller tick based bars, and the discrepancies are less apparent with larger based tick bars. You may also confirm that after leaving the indicator running, the realtime results do not show these discrepancies.

Let us know if you have any additional questions.

[newton1]

Hello Impessa,

Thanks for your post.

Volumetric Bars reads volume data before being packaged and sent to OnBarUpdate. Order Flow Cumulative Delta reads the data after it has been packaged in a bar and reads that data from OnBarUpdate, using a single tick data series for the volume analysis here.

Discrepancies between these two approaches comes up with historical data and smaller based tick bars when ticks have the same timestamp. When ticks have the same timestamp, they do not get unrolled in the same way in OnBarUpdate, where the ticks with the same timestamp can come out of order.

This is a known limitation with Order Flow Cumulative Delta and other scripts that use a Multi Time Frame approach to analyze volume, which is only seen when the following factors are met:

1. Primary data series is a Tick based bar
2. There are ticks with the same timestamp

The discrepancies of this limitation are seem mostly with smaller tick based bars, and the discrepancies are less apparent with larger based tick bars. You may also confirm that after leaving the indicator running, the realtime results do not show these discrepancies.

Let us know if you have any additional questions.

What method are the volumetric bars reading data from? What would be before OnBarUpdate?

[NinjaTrader_Jim]

Hello newton1,

As a BarsType, Volumetric bars use OnDataPoint. This would be the first stop data makes as it enters the platform. The timestamps of data will not affect the output here, because the data is processed as it comes in, before it is formed into a bar and then unrolled into OnBarUpdate iterations where the "ticks with same timestamp" limitation arises with historical processing.