UpDown Tick Delta Calculation

[Vikuno1]

Hello All,

Hope you are well, I have a quick question!

I am developing an indicator that can use Tick Replay to get the Delta values of bars.
I have already developed the Bid/Ask Delta.
I am having issues calculating the UpDownTick Delta.

I have tried all the combinations I could think of, closest I came to the actual numbers was this:
if (marketDataUpdate.MarketDataType == MarketDataType.Last)
{

if (marketDataUpdate.Price >= marketDataUpdate.Ask){
delta++;
lastPrice = 1;
}
else if(marketDataUpdate.Price <= marketDataUpdate.Bid){
delta--;
lastPrice = -1;
}
else
delta += lastPrice;
}

Losing my mind here. Would appreciate some guidance!

Thanks

[NinjaTrader_ChelseaB]

Hello Vikuno1,

"Up Down Tick - Accumulates the volume of up ticks vs down ticks. Up ticks are considered buying pressure. Down ticks are considered selling pressure. If the current tick price is the same as the previous tick price, the volume will be recorded to the same pressure as the previous tick."

https://ninjatrader.com/support/helpGuides/nt8/index.html?order_flow_cumulative_delta.htm#OrderFlowCumulativeDeltaParameters

Since you want to measure Up Down Tick, this would not be code in OnMarketData(), but would instead be in OnBarUpdate() with a 1 tick series added with AddDataSeries().

If the tick is greater than the previous tick (Close[0] > Close[1]), accumulate to buying pressure, else accumulate to selling pressure.

[Vikuno1]

Hello Vikuno1,

"Up Down Tick - Accumulates the volume of up ticks vs down ticks. Up ticks are considered buying pressure. Down ticks are considered selling pressure. If the current tick price is the same as the previous tick price, the volume will be recorded to the same pressure as the previous tick."

https://ninjatrader.com/support/help...eltaParameters

Since you want to measure Up Down Tick, this would not be code in OnMarketData(), but would instead be in OnBarUpdate() with a 1 tick series added with AddDataSeries().

If the tick is greater than the previous tick (Close[0] > Close[1]), accumulate to buying pressure, else accumulate to selling pressure.

So I am still getting completely different numbers. I am sharing screenshots and attaching my indicator below as well.

Only input that needs to be changed is DeltaType = 2

Thanks
Brady

[NinjaTrader_ChelseaB]

Hello Vikuno1,

It would be expected comparing the current tick to the previous tick would have different results than comparing the bid to the ask.

[Vikuno1]

Ok I think there is a bit of a disconnect. I was not looking at the bid ask. I was looking at the Up Down Tick Delta on Volumetric bars. I think I included a screenshot of the data series I was using for volumetric.

I am trying to recreate Ninjas Up Down Tick Delta without using Volumetric Bars.

I keep getting different numbers from Ninjas Volumetric Up Down Tick Delta.

I tried the 1 Tick Data series with just comparing Close[0] and Close[1] and those were the results I got in the screenshots. They are nowhere close. I could be doing something wrong.

Thanks!
Brady

[NinjaTrader_ChelseaB]

Hello Brady,

Are you saving this per price level?

Below is a link to an example you may find helpful.

https://forum.ninjatrader.com/forum/ninjatrader-8/indicator-development/1133359-get-the-bid-ask-volume-inside-the-bar-from-the-example#post1133429

[Vikuno1]

Hello Brady,

Are you saving this per price level?

Below is a link to an example you may find helpful.
https://forum.ninjatrader.com/forum/...le#post1133429

I am looking for the Total Up Down Tick Delta of the bar.

Cannot seem to replicate how Ninja Calculates it.

I am not sure how the Bid Ask will help, I could just be stupid though haha

Thanks for your time,
Let me know if you need anything more from me as well

[NinjaTrader_ChelseaB]

Hello Vikuno1,

I did a quick edit to the example I linked in post # 6, to compare the tick to the previous tick instead of the ask to the bid.
UpDownTickTest_NT8.zip

This prints to the output window.

[Vikuno1]

So that works when looking historically. But as soon as it starts running realtime the numbers are way off

Is there a way to fix this, or am I just doing something wrong?

[NinjaTrader_ChelseaB]

Hello Vikuno1,

The indicator will update 1 tick behind, but I am showing in real-time this is accurate (albeit 1 tick behind).

Below is a link to a test.

https://drive.google.com/file/d/1UNBO47L2uB3mmInn4UwJ5CHsvTPglcYb/view?usp=drivesdk

[Vikuno1]

Hello Vikuno1,

The indicator will update 1 tick behind, but I am showing in real-time this is accurate (albeit 1 tick behind).

Below is a link to a test.
https://drive.google.com/file/d/1UNB...w?usp=drivesdk

Ok I must be doing something wrong. Attaching screenshots of it not matching.

Using a 1 minute ES Chart UpDownTick. Not sure if it could be the low volatility but the numbers are wayy off for some reason.

Thank you for taking the time to help!

[NinjaTrader_ChelseaB]

Hello Vikuno1,

The 9:02 bar is -9, which is only 1 away from -10. Seems correct and delayed by 1 tick.

Why do you feel that a difference of 1 is way off?

[Vikuno1]

Hello Vikuno1,

The 9:02 bar is -9, which is only 1 away from -10. Seems correct and delayed by 1 tick.

Why do you feel that a difference of 1 is way off?

Ok I must be blind or stupid or both. Testing now and it works. I will let you know if it stops for some reason. Thank you so much for the helping and putting up with my apparent blindness.

Sorry!