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Delta Volume - Cumulative Delta Volume

  • #161
  • Dec 11, 2018 3:08am Dec 11, 2018 3:08am
Can someone please tweak this indicator to be able to add a moving average on top of the indicator?
  • #162
  • May 25, 2020 10:10am May 25, 2020 10:10am
You can't get accurate volume delta in the spot market as there's no centralized exchange. Here's a good post from a guy I like to read https://www.jumpstarttrading.com/volume-delta/
  • #163
  • Jun 2, 2020 7:27pm Jun 2, 2020 7:27pm
Anyone have any thoughts on this? Considering there is no centralized exchange wouldn't the data always be off? Has anyone found any cumulative delta indicators that seem to work or provide any sort of edge?
  • #164
  • Jul 10, 2020 4:48pm Jul 10, 2020 4:48pm
Quoting Sciurus
{quote} Try puttIng it on a M1 chart and then allowing the data to stream in. The indicator cannot plot historical data.

Hi there buddy, can you add one extra input in the indicator settings for reset time? For example, would like to reset the calculation every day when daily bar closes and a new one opens, or perhaps reset when NY session starts.

Best regards
  • #165
  • Jul 11, 2020 1:43pm Jul 11, 2020 1:43pm
To whom it may concern: You can build tick history for the indicator using the tester in MT4. Since MT4 forex brokers usually provide 2 or 3 months of 1 minute data, that is as far as it will plot the cumulative delta, if you want more you gotta download tick data from dukascopy or other place using something like quant data manager downloader.

So, open the tester, choose the instrument you want, make sure the indicator is set to record ticks, then fire the tester and leave it running til the present day. In tester folder will have a "file" folder with an excel file with the saved tick data. You just need to copy that file and paste in MQL4/File folder, then when you launch the indicator you will have historical data plotted (otherwise when you launch it, it only starts plotting the cum. delta when tick data is coming live). I hope you find this info useful.

And again I ask Sciurus to please add a "reset time" input in indi settings.

Regards
  • #166
  • Jul 13, 2020 5:32pm Jul 13, 2020 5:32pm
@Sciurus

So I came back here to say that it seems to have a problem when you launch cumulative delta with a tick file generated in strategy tester. I donīt know why, if it is the same instrument using the same data from the broker. In strategy tester it runs very nicely and you set the indicator to record ticks, it does what it is supposed to do. Then you grab the file generated and paste it in MQL4/File folder, so when you launch the indi it will plot the delta historically. Great, so far so good. The problem start when the indi starts plotting the current delta with incoming tick being "woven" into the history file generated in strategy tester. The indicators starts to plot compressed bars and they seem to be off. I made some screenshots so you can see how they look very different, I was relying in the indicator this morning and almost got screwed. Sciurus, can you explain why this happens? It was not supposed to happen right?

Attached Image (click to enlarge)
Click to Enlarge Name: cumulative delta A.png Size: 44 KB


Attached Image (click to enlarge)
Click to Enlarge Name: cumulative delta B.png Size: 112 KB


Attached Image (click to enlarge)
Click to Enlarge Name: cumulative delta C.png Size: 187 KB
  • #167
  • Jul 16, 2020 6:32am Jul 16, 2020 6:32am
Another example showing how the cumulative delta plotted using simulated ticks is doing a better job:

Attached Image (click to enlarge)
Click to Enlarge Name: cumulative delta.png Size: 171 KB
  • #168
  • Jul 16, 2020 7:22am Jul 16, 2020 7:22am
Quoting Gauer
Another example showing how the cumulative delta plotted using simulated ticks is doing a better job: {image}
Hi Gauer. Great idea to use strat tester to generate a history. If the tuck history contains accurate volume information, then it should work!

i guess my question for you is, are you using the same broker to produce the history and to trade live? Different brokers will produce different data in the indicator.
  • #169
  • Jul 16, 2020 8:22am Jul 16, 2020 8:22am
Quoting Sciurus
{quote} Hi Gauer. Great idea to use strat tester to generate a history. If the tuck history contains accurate volume information, then it should work! i guess my question for you is, are you using the same broker to produce the history and to trade live? Different brokers will produce different data in the indicator.


Hi there buddy, thanks for replying. Yes same broker, same platform and instrument, in theory it should work, but it does not. When the indicator merges the live data with the history data generated by the tester, it gets all weird. So the solution for this would be embedding in the cumulative delta code the same algorithm used in MT4 strategy tester (that uses the 1min .HST data to generate simulated ticks), so the indicator would process simulated ticks instead of live ticks, this way maintaining continuous coherence in the data.

I have found those articles here that explain how the ticks are simulated in the strategy tester using the 1min data, so it is just a matter of embedding this code into the cumulative delta code to fool it:

https://www.mql5.com/en/articles/1511


https://www.mql5.com/en/articles/75
  • #170
  • Jul 16, 2020 6:09pm Jul 16, 2020 6:09pm
Quoting Sciurus
{quote} Hi Gauer. Great idea to use strat tester to generate a history. If the tuck history contains accurate volume information, then it should work! i guess my question for you is, are you using the same broker to produce the history and to trade live? Different brokers will produce different data in the indicator.

The last resort, if I canīt find any coder that is able to do it, will be to leave it running in a VPS server 24/7...

As I mentioned in the previous post, a simple addition to the indi that makes all the difference in the world is adding a "reset time" input, because there are some instruments that give better readings this way, crude oil for example, better delta interpretation if you reset at the end of each day, or reset at start of NY session.
  • #171
  • Jul 16, 2020 7:24pm Jul 16, 2020 7:24pm
Quoting Gauer
{quote} Hi there buddy, thanks for replying. Yes same broker, same platform and instrument, in theory it should work, but it does not. When the indicator merges the live data with the history data generated by the tester, it gets all weird. So the solution for this would be embedding in the cumulative delta code the same algorithm used in MT4 strategy tester (that uses the 1min .HST data to generate simulated ticks), so the indicator would process simulated ticks instead of live ticks, this way maintaining continuous coherence in the data. I have...
I'm not sure what this would accomplish. Do you really want an indicator based on simulated ticks? The simulated tick option is a model of price movement, its not real data! Its no wonder the data from the strategy tester and the live data do not match.
  • #172
  • Jul 16, 2020 7:32pm Jul 16, 2020 7:32pm
Quoting Gauer
{quote} The last resort, if I canīt find any coder that is able to do it, will be to leave it running in a VPS server 24/7... As I mentioned in the previous post, a simple addition to the indi that makes all the difference in the world is adding a "reset time" input, because there are some instruments that give better readings this way, crude oil for example, better delta interpretation if you reset at the end of each day, or reset at start of NY session.

I haven't coded anything for quite some time now, as I have gone in a different direction with my trading. I will look into it. It might be simple, it might not be.
  • #173
  • Jul 16, 2020 7:36pm Jul 16, 2020 7:36pm
Quoting Gauer
{quote} Hi there buddy, thanks for replying. Yes same broker, same platform and instrument, in theory it should work, but it does not. When the indicator merges the live data with the history data generated by the tester, it gets all weird. So the solution for this would be embedding in the cumulative delta code the same algorithm used in MT4 strategy tester (that uses the 1min .HST data to generate simulated ticks), so the indicator would process simulated ticks instead of live ticks, this way maintaining continuous coherence in the data. I have...

More on this...

What time frame do you trade? The tick model uses lower time frames to determine where the ticks will be. If you trade m1, then I suppose the ticks are pretty random. If you trade higher tf, I suppose the model might act as sort of a volume profile if the tick model uses the lower tf volumes. So maybe?...
  • #174
  • Jul 17, 2020 2:12am Jul 17, 2020 2:12am
Quoting Sciurus
{quote} I haven't coded anything for quite some time now, as I have gone in a different direction with my trading. I will look into it. It might be simple, it might not be.

Thanks so much, this would be very nice and useful! Check yourself crude oil for example, load a cumulative delta without reset, will you see it is hard to make sense of it, as soon as you reset it to zero every new day or NY session, it becomes very obvious the imbalances.


Quoting Sciurus
{quote} More on this... What time frame do you trade? The tick model uses lower time frames to determine where the ticks will be. If you trade m1, then I suppose the ticks are pretty random. If you trade higher tf, I suppose the model might act as sort of a volume profile if the tick model uses the lower tf volumes. So maybe?...
I trade on 5min and 1H. From what I understand from the article, the tester uses data from the lower timeframes like this, if you are in 4H chart, it will use 4H, 1H, 30M, 15M, 5M and 1M to calculate the ticks, if you are at 5M, it will use 5M and 1M. Something like that.

And yes I really wanted a version based in simulated ticks cause I am getting very good results with it. As you can see in the last screenshot posted, the delta below with black background is simulated ticks, and the one above is the one with the live ticks coming.
  • #175
  • Jul 17, 2020 7:53am Jul 17, 2020 7:53am
Quoting Sciurus
{quote} Hi Gauer. Great idea to use strat tester to generate a history. If the tuck history contains accurate volume information, then it should work! i guess my question for you is, are you using the same broker to produce the history and to trade live? Different brokers will produce different data in the indicator.


Another solution would be similar to the one I thought would work (running the strategy tester and grabbing the file): converting this indi to MT5. It has real tick history data, right? You get 100% quality in the backtest there. So, if you run the indi on Mt5 tester with the "record ticks" set to true in indi settings, you run the tester to get data for 2 days or so, and then quickly grab the file and paste it MT4 and launch the indi there. You can do this in 2min. This way the historical data printed will not skew the new data being printed (simulated ticks mixed with real ticks), now we get real ticks with real ticks. I think it would work.
  • #176
  • Jul 19, 2020 5:48am Jul 19, 2020 5:48am
Another thing I have noticed just now, the indicator only works in one chart. If you try to load it in other charts, it does not plot anything. I think it is because they are referencing the same tick history file that gets "locked" when one instance of the indicator is reading it. It would be great if you could also add the user input to choose the name of the file to be saved and read by the indicator.
  • #177
  • Jul 19, 2020 9:44pm Jul 19, 2020 9:44pm
Quoting Gauer
{quote} Thanks so much, this would be very nice and useful! Check yourself crude oil for example, load a cumulative delta without reset, will you see it is hard to make sense of it, as soon as you reset it to zero every new day or NY session, it becomes very obvious the imbalances. {quote} I trade on 5min and 1H. From what I understand from the article, the tester uses data from the lower timeframes like this, if you are in 4H chart, it will use 4H, 1H, 30M, 15M, 5M and 1M to calculate the ticks, if you are at 5M, it will use 5M and 1M. Something...

I've looked into it a bit and frankly it would be a bit complicated to have it reset and maintain the historical tick data. There are a lot of variables involved and it would take a while to get everything right. With coding, I sometimes find that trying to do everything by code is not the best option. All you need to do to reinitialize the indicator is to change the time frame. Perhaps you could do this manually at the end of the day, with the indicator not recording ticks or building a history based on ticks, it will reset everything to zero if you change the timeframe.
  • #178
  • Jul 20, 2020 4:28am Jul 20, 2020 4:28am
Sure, I understand. But in this case the reset must be via code.

I am contacting several coders to get a quotation.

Also, just now I changed timeframes here and the indicator just adapts to the timeframe, did no reset the calculation.

So far I was able to use a custom timeframe generator that send ticks to the indicator, the ticks are artificial, like in the tester, so it is doing a good job. I run the tester, grab the file with the artificial ticks recorded, then I create an offline chart with the custom period generator, add the cum delta to the offline chart and set to print history, it is doing alright, data is not getting skewed by merging artificial and real. But I donīt like the custom period generator very much, it makes MT4 hangs for 1 second every 5 - 10 seconds, annoys me.
  • #179
  • Jul 20, 2020 10:58am Jul 20, 2020 10:58am
I think this one does that, doesn't it?
Attached File(s)
File Type: mq4 Cumulative_Volume.mq4   3 KB | 1,217 downloads
  • #180
  • Jul 20, 2020 4:23pm Jul 20, 2020 4:23pm
Quoting Sorobanista
I think this one does that, doesn't it? {file}

It is a different approach, but I prefer Sciurus code. I do have this cumulative volume and I do use sometimes:

Attached File(s)
File Type: mq4 Cumulative_Volume v1.3.mq4   5 KB | 2,110 downloads
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