Cumulative Delta settings help needed.

[Chippy]

I don't understand why the CD looks like the image below. I've been using it on minute and tick charts, but when I set my chart to a Day chart, the CD takes several minutes to calculate and then displays what you see in the image.

[NInjaTrader_MaxH]

Hello Chippy,

Thank you for your post.

It looks like the view that is showing for the Order Flow Cumulative Delta in your screenshot is the 'Bar' type.

There is 2 views of the Order Flow Cumulative Delta, both of which can be calculated on a Delta type of Bid Ask or Up Down Tick.


1) Session, in which the delta will accumulate over the session. Each close price will be carried over to the open of the next bar.

2) Bar, in which the delta will accumulate over a bar. Each bars open will start over and have an open of zero.


Please see the link below for a visual viewing of the difference:

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

You are able to change this within the Data Series of the Chart.

Please let me know if I may help you further.

[Chippy]

Thanks for the reply, Max... I don't think this addresses my problem. I believe what is happening is there is no cumulative delta for a day chart. It is a sort of misnomer to call it "cumulative" in the case of a daily chart. While "Bar" resets each bar to zero, it still tracks cumulative delta for the session (the larger unit). It stands to reason that the days would start to zero in the same way, but the cumulative for the greater unit (say a month) would still be available? If I'm not mistaken, I've seen cumulative on other platforms for periods greater than just 1 day. Further, it seems that cumulative data is being recalculated tick by tick when trying to look at cumulative info on a day chart. Are there no data providers that record the delta for a particular day? Seems like that should be available somewhere without having to recalculate from tick data every time I make changes to the chart. To be clear, the image above is the same regardless of whether or not the indicator is set to Session or Bar. If I simply select "60 minutes" from the drop down, the cumulative delta appears as expected. If you know of some other way to see cumulative delta on a day chart, I would appreciate you sharing that info.

[NInjaTrader_MaxH]

Hello Chippy,

Thank you for your post.

For your inquiry, the only available options for this Indicator are the Bar Based which reset after each bar, or the Session-Based which resets each daily session. The Cumulative Delta refers to the delta over the session, not longer periods.

The Cumulative Delta is an indicator that accumulates the volume of orders filled at bid and ask prices or up and down ticks throughout the session or bar and compares them to determine buy/sell pressure. So, again the only available options are Bar or Session.

Please let me know if I may help further.