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Cumulative Delta Price Volume

  • #121
  • Feb 24, 2023 9:36pm Feb 24, 2023 9:36pm
Hindsight m1 trades of yesterday with black lines showing optimal entries:
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  • #122
  • Feb 24, 2023 9:44pm Feb 24, 2023 9:44pm
Same with m5 timeframe on this week, I will not put black entries lines anymore, I hope you get the point. Buy when red price lines makes larger move away from green volume lines and when to close it is up to you. I suggest you do it in profit or at least closes when gap closes and red price touches green volume again.
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  • #123
  • Feb 25, 2023 1:12am Feb 25, 2023 1:12am
Quoting davelansing
{quote} Thank you for the answer Rick. Another question, since there is no true volume/DOM etc., in Forex, what if you had access to the order book? With that said, Oanda offers us B-book clients an order book that's updated, I believe, every 20 minutes. The order book is very generic and doesn't give you the precise number of pending orders at any given price but does show the distribution of buy and sell orders supposedly proportional to the number of actual orders. Since price moves from one liquidity pool to another, do you believe that this...
Sorry you asking RickM, but I can answer too.
The orderbook contains "wishes". It is not full liquidity, because the orders can be removed immediately (and because 90% of orders are from the big player - that's how he knows the real liquidity). It is "I want to buy at" and "I want to sell at".
But it is very useful if you want to determine the walls. Because if you are in profit and face the wall then better to exit then wait for it to be eaten (because in most cases it will not and the price will bounce back to loss.
So in this case 20 min lag of orderbook data looks like a joke.
Observer effect
  • #124
  • Feb 25, 2023 3:13am Feb 25, 2023 3:13am
Quoting heispark
Thank you for your sharing. It's an interesting topic indeed..... So, basically you're a counter trend trader trying to pick top/bottom....
It sure is. No It's much more fluid. No rules of tops and bottoms just looking for red price divergence where ever it can be found.
  • #125
  • Feb 25, 2023 3:24am Feb 25, 2023 3:24am
Quoting yoriz
Once @Lekkim used the word "volume" everybody went berserk... In post #43 @Rosalieone brought up an interesting article illustrating tick frequency could be a proxy for trade volume, but nobody was listening anymore. @ryuryu, @W0lfram, @RickM, @moodybot, @CashBox, @TimeTells, @bluesteele: Congrats, you have succesfully killed @Lekkim's thread with many posts fighting and accusing each other. Too bad we will not able to learn from @Lekkim's ideas...
Haha yeah, I guess using that word is only for the brave. Thanks for reminding posters to keep a nice tone and stay thread relevant and yes that article was interesting. Don't worry I'm not giving up so easily and will continue posting, this thread will prosper never the less the fighting, just read through it. Also even in between the fighting there's been some valuable information and opinions shared.
  • #126
  • Feb 25, 2023 3:27am Feb 25, 2023 3:27am
Quoting aaven
{quote} Hi Lekkim Curious, does the criss cross of price and volume-red/green {like a moving average} has any significance? Thanks
I've tested trading it on crossovers, but I found no edge in that way. The cross of red price and green volume is only useful when closing trades.
  • #127
  • Feb 25, 2023 3:32am Feb 25, 2023 3:32am
Quoting aaven
Guys, It's clear there are two warring factions, please take your beef back to your base or open a new thread. It is looking like, there was no traction and very few takers for your previous posts {both groups} and that you had to hijack a thread. Have some courtesy and respect for your fellow ff members{in this case, the OP} Thanks
Thanks, I agree. It's disrespectful to call thread opener scammer and liar on first page, hope it will not drive other traders away. We all want green pips, let's not get hot tempered or letting our big egos take over discussion.
  • #128
  • Feb 25, 2023 3:55am Feb 25, 2023 3:55am
these guy like loolypop

Quoting ryuryu
{quote} Sorry you asking RickM, but I can answer too. The orderbook contains "wishes". It is not full liquidity, because the orders can be removed immediately (and because 90% of orders are from the big player - that's how he knows the real liquidity). It is "I want to buy at" and "I want to sell at". But it is very useful if you want to determine the walls. Because if you are in profit and face the wall then better to exit then wait for it to be eaten (because in most cases it will not and the price will bounce back to loss. So in this case 20...
  • #129
  • Feb 25, 2023 4:59am Feb 25, 2023 4:59am
Quoting davelansing
{quote} Thank you for the answer Rick. Another question, since there is no true volume/DOM etc., in Forex, what if you had access to the order book? With that said, Oanda offers us B-book clients an order book that's updated, I believe, every 20 minutes. The order book is very generic and doesn't give you the precise number of pending orders at any given price but does show the distribution of buy and sell orders supposedly proportional to the number of actual orders. Since price moves from one liquidity pool to another, do you believe that this...
Hi davelansing

I'll give you my opinion about liquidity then talk about Lekkim's use of the Cumulative Delta Indy.

If you had to ask me about the one trader who understood how to trade the order book, its Navinder Singh Sarao.
He's the guy that got blamed for the 2010 flash crash of the US equities markets by trading the E Mini S&P Futures out of a bedroom in a London flat. He was of course a thief as he was spoofing the order books with 800 lot size trades 4 to 5 ticks above price then he was shorting heavily on an lopsided order book for massive profits. We are talking around 70 million pounds over a few short years, quite incredible.
Now if we had ever decided to look at the E mini order book during this time, you and me would have seen his orders and both of us could have taken advantage ourselves as well.

BUT NO ONE WAS LOOKING

BUT I AM LOOKING NOW

Now you know what I am looking for now every day on the S&P order book - there is no need to for us to be dishonest because we can just sit on the S&P looking for unusual activity and trade against it WITH AGGRESSIVE.

Ryuryu in his last post was just talking about general liquidity often being fake which it is, but unusual orders are different and do have meaning. We just have to understand what it means. 101 liquidity trading is that price attacks the direction with the most liquidity = Sellers enter in numbers means price turns bullish.

The other issue Navinder was really pissed off with was the HFT algo's destroying the readability of the books and the threat those HFT machines may jump up and close his massive orders causing him to lose millions in a second. He was using an Algo himself on TT platform to move his orders away from these Algo's - but sometimes they got caught.

What a shame lOL

FOR THE RECORD - I DO NOT SPOOF BUT DO ACT LIKE A MARKET MAKER AT TIMES

Back to Lekkim's strategy which is interesting. The way I see it is the Cumulative Delta Indy used on Tick volume via MT4/5 may just be useful, actually it may work well for one reason. If you find a professional Order flow trader (other than me) and ask him / her about Cum delta, they will probably tell you the success of this indicator is not using it to establish direction, rather they use it to establish TRADER PARTICIPATION.

What I am saying is when the Cum indy is flat or only on a shallow trend = DO NOT TRADE. The reason is we need traders to enter in big numbers to trade, not watch.
Tick volume may actually be a good guide to Trader Participation so if we add the Cumulative Delta indicator to start moving up or down while tick volume is increasing, that's " a shit lot of traders are acting" = we should trading similar to Lekkims strategy.

Direction of the Cumulative Indicator isn't important, only that its moving up or down is.

Time to get back in my box and shut up.
Trading thin liquidity at the boundary of the charts
  • #130
  • Feb 25, 2023 5:26am Feb 25, 2023 5:26am
If you don't day trade and don't have all day to analyze charts, I may suggest you use higher timeframes for example D1 (daily)
A stress free method where you, if you get the timing right, can profit from larger movements. Here's some graphs of strong signals on daily fx pairs:
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  • #131
  • Feb 25, 2023 5:27am Feb 25, 2023 5:27am
Cumulative delta indicator make sense only if you can mark start point of calculations. And of course it is not usable with tick data, only with real data. It is extremely useful to calculate the imbalance and amount of stops around. Cumulative continuous delta indicators literally shows nothing but candle size. And of course cumulative delta of market with sessions and weekends has too much noize too. You can use ATR or CCI it will show exactly the same.
If you want to check if your delta inficator is correct and the data is correct check the colors of candles and colors on your indi. If they are the same - you have fake data and fake indicator. If they are different then it is good data and real indi.
Observer effect
  • #132
  • Feb 25, 2023 5:28am Feb 25, 2023 5:28am
My view is other than your. For example EURNZD. What must change in settings ?
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  • #133
  • Feb 25, 2023 5:36am Feb 25, 2023 5:36am
Quoting Lekkim
Same with m5 timeframe on this week, I will not put black entries lines anymore, I hope you get the point. Buy when red price lines makes larger move away from green volume lines and when to close it is up to you. I suggest you do it in profit or at least closes when gap closes and red price touches green volume again. {image} {image} {image} {image}
Thank you for the examples. By the way, how do you handle DD such as the one shown below? Adding up more positions?
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Simplicity is the ultimate sophistication - Leonardo da Vinci
  • #134
  • Feb 25, 2023 5:36am Feb 25, 2023 5:36am
Quoting Lekkim
Hindsight m1 trades of yesterday with black lines showing optimal entries: {image} {image}
this something like reverse move of over stretched price
WaBaS Where are Buyers and Sellers
  • #135
  • Feb 25, 2023 5:43am Feb 25, 2023 5:43am
price tend to move with in a trend when going into a certain direction. however, over liquidity might force price move ahead of trend and this indicator might indicate that over stretched price moves where it will correct soon
WaBaS Where are Buyers and Sellers
  • #136
  • Feb 25, 2023 5:53am Feb 25, 2023 5:53am
Quoting ryuryu
{quote} Sorry you asking RickM, but I can answer too. The orderbook contains "wishes". It is not full liquidity, because the orders can be removed immediately (and because 90% of orders are from the big player - that's how he knows the real liquidity). It is "I want to buy at" and "I want to sell at". But it is very useful if you want to determine the walls. Because if you are in profit and face the wall then better to exit then wait for it to be eaten (because in most cases it will not and the price will bounce back to loss. So in this case 20...
I agree with ryuryu about what data you use and the delay. Anything with 20 min lag delay I can't think of a way to profit from this. When shit hit's the fan at news events and high volatility, you have to have real time data. Also I spend my time looking at various order books, also futures and CME and Bookmap and I might miss something, but I could not find a trading edge in looking at liquidity and buy and sell order walls etc. But let me know if you found something valuable to share.
  • #137
  • Feb 25, 2023 5:58am Feb 25, 2023 5:58am
Nice to see all the action in the thread. One of FF's most active threads, even on a Saturday afternoon, it makes me smile and think that my ideas are not totally garbage. Thanks
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  • #138
  • Feb 25, 2023 6:09am Feb 25, 2023 6:09am
Quoting pelagiusz
My view is other than your. For example EURNZD. What must change in settings ? {image}
After looking at your attached picture, you should close your market watch and navigator in your metatrader and make it full screen, the chart is longer (wider) in my chart. If any differences left after that, It's because of difference in my and your broker data.
  • #139
  • Feb 25, 2023 6:15am Feb 25, 2023 6:15am
Quoting mr.brown
price tend to move with in a trend when going into a certain direction. however, over liquidity might force price move ahead of trend and this indicator might indicate that over stretched price moves where it will correct soon
Total mess my friend. You are totally wrong.
Trend is the result of price movement. Price moves because traders execute market orders.
Observer effect
  • #140
  • Feb 25, 2023 6:15am Feb 25, 2023 6:15am
Quoting heispark
{quote} Thank you for the examples. By the way, how do you handle DD such as the one shown below? Adding up more positions? {image}
As I mentioned in first post of this thread: 'Trade the difference if both gap but most importantly the ratio of difference is big, for example if red price makes a move at least double in size, the bigger the difference the better trading opportunity. When red price makes significant move or gap both more volatile and higher ratio difference and lines below green, buy. When red price makes significant move or gap both more volatile and higher ratio difference and lines above green, sell. The bigger the ratio and length of difference, the higher probability of profitability'

So yeah, I would wait for difference to get as big as possible. If I was already in a position and the drawdown continued I would stand my ground or add more positions.
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