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Delta Volume - Cumulative Delta Volume

  • #21
  • Sep 19, 2015 11:43am Sep 19, 2015 11:43am
Quoting Mingary
{quote} Hello, I have noticed this happens a lot.. How would you read that ? {image} Thanks,

I would read it as once the correlation goes out of a range of 50% it becomes a continuation of trend.

The thought process is, lots of small/medium sized volume is happening trying to take price higher in this example, however the big players are taking positions that over-weigh the markets price momentum. In this example price has broken the previous zoned area and the market has turned BEARISH. Now this doesnt mean it happens every single time, but it happen most of the time. But again having tight stops is important for when price breaks these areas due to the reduced resistance resulting in large price movement.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: zonebreak.png Size: 46 KB
Click to Enlarge Name: BearishVolume.png Size: 111 KB
Learn, a forex trader must, unlearn and relearn he will.
  • #22
  • Edited 4:52am Sep 21, 2015 4:36am | Edited 4:52am
Quoting COGSx86
{quote} I would read it as once the correlation goes out of a range of 50% it becomes a continuation of trend. The thought process is, lots of small/medium sized volume is happening trying to take price higher in this example, however the big players are taking positions that over-weigh the markets price momentum. In this example price has broken the previous zoned area and the market has turned BEARISH. Now this doesnt mean it happens every single time, but it happen most of the time. But again having tight stops is important for when price breaks...
Thanks for the reply.
In light of what your explanation which may make sense; Gold has a "strange" behavior that I am not finding with the other currencies.
The CM for gold keeps on going up and shows no retracement (no "choppiness" compare to USDJPY, below)
Perhaps it's a code issue ? a problem with a decimal place ?

Gold
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JPY
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  • #23
  • Sep 21, 2015 6:34am Sep 21, 2015 6:34am
Quoting Mingary
{quote} Thanks for the reply. In light of what your explanation which may make sense; Gold has a "strange" behavior that I am not finding with the other currencies. The CM for gold keeps on going up and shows no retracement (no "choppiness" compare to USDJPY, below) Perhaps it's a code issue ? a problem with a decimal place ? Gold {image} JPY {image}

Looks about right, with regards to GOLD
Attached Image (click to enlarge)
Click to Enlarge Name: GOLD.png Size: 61 KB
Learn, a forex trader must, unlearn and relearn he will.
  • #24
  • Edited 7:15am Sep 21, 2015 6:59am | Edited 7:15am
Quoting COGSx86
{quote} Looks about right, with regards to GOLD {image}
I think this is what the Cumulative Delta should look like however, the cumulative delta from indicator "CumulativeDataWithHistory.mq4" from this thread appears to be inverted ... or something else ?

Yours ==>

Attached Image (click to enlarge)
Click to Enlarge Name: GOLD.png Size: 55 KB


CumulativeDataWithHistory.mq4 ==>

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Click to Enlarge Name: CumulativeDataWithHistory.gif Size: 15 KB
  • #25
  • Sep 21, 2015 11:58am Sep 21, 2015 11:58am
Quoting Mingary
{quote} I think this is what the Cumulative Delta should look like however, the cumulative delta from indicator "CumulativeDataWithHistory.mq4" from this thread appears to be inverted ... or something else ? Yours ==> {image} CumulativeDataWithHistory.mq4 ==> {image}
ya mine is CVI (cumulative volume index). Same idea in theory just accumulates positive and negative volume and gives you the delta. You will get different movement in comparison to the CumulativeDelta but the same ideas of strategies can be used because of the correlation of price to volume still applies.

I dont use CumulativeDelta, a few issues I have had with it, that has put a bad taste in my mouth.
Learn, a forex trader must, unlearn and relearn he will.
  • #26
  • Sep 21, 2015 1:42pm Sep 21, 2015 1:42pm
Quoting LamerTrader
Volume, Delta Volume and Cumulative volume are (at least for me) important factors in my trading. However don't use volume provided by CFD brokers. (Oanda, FXPro etc.) Instead I would use the NinjaTrader (free) platform with an AMP Demo Feed (Free for 30 days, but then you can ask for new login + pw so it is free as well.) If you really want to dig youselves in the world of volume trading I would suggest you to go to other forums. (Just google "NinjaTrader Simple FootPrint" and the first hit is the site that is exclusively dedicated to ninjatrader...
Hi LT, I would agree with you that NinjaTrader (currently) actually has better tools than MT4 for the study of volume. Hopefully this thread will provide some tools for MT4 too.

Another thought occurred to me, and it has to do with the broker. I would think that the broker has better market information than we do as retail traders. They are the ones that also determine their spreads, so essentially by reading the volume and Bid Ask prices, can we say we are gaining insight into what they know? i.e. do they do things in a predictable way that can help us with our trading...

Also, I find the Sonic volume indicator to be excellent at picking out large volume bars, but you can also just apply bollinger bands to MT4's volume indicator and look for volume spikes above a certain SD level. This method is a little less stable on the 1H and 4H charts due to daily cycles in volume, where you will often get high volumes at the start of FO and especially LO.

Cheers
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  • #27
  • Sep 21, 2015 2:06pm Sep 21, 2015 2:06pm
Quoting COGSx86
{quote} ya mine is CVI (cumulative volume index). Same idea in theory just accumulates positive and negative volume and gives you the delta. You will get different movement in comparison to the CumulativeDelta but the same ideas of strategies can be used because of the correlation of price to volume still applies. I dont use CumulativeDelta, a few issues I have had with it, that has put a bad taste in my mouth.

Hey Cogs,

I'm curious to know what issues you have had with the indicator. The point is to determine if it is useful or not
  • #28
  • Sep 21, 2015 2:12pm Sep 21, 2015 2:12pm
Quoting Mingary
{quote} I think this is what the Cumulative Delta should look like however, the cumulative delta from indicator "CumulativeDataWithHistory.mq4" from this thread appears to be inverted ... or something else ? Yours ==> {image} CumulativeDataWithHistory.mq4 ==> {image}
I'd have to see the tick data for the Gold Chart and study it.
  • #29
  • Edited 5:33pm Sep 21, 2015 2:58pm | Edited 5:33pm
I find it very useful or i am getting really really really lucky. one of the two.
  • #30
  • Edited 5:04pm Sep 21, 2015 4:48pm | Edited 5:04pm
Quoting Sciurus
{quote} Hey Cogs, I'm curious to know what issues you have had with the indicator. The point is to determine if it is useful or not

Nothing happens, no volume candles form,

I have it set to recordTicks - True Print history- false, ALLOW DLL imports is checked and nothing happens

so I dunno
Attached Image (click to enlarge)
Click to Enlarge Name: cumulativedelta.png Size: 35 KB
Learn, a forex trader must, unlearn and relearn he will.
  • #31
  • Sep 21, 2015 5:25pm Sep 21, 2015 5:25pm
Quoting COGSx86
{quote} Nothing happens, no volume candles form, I have it set to recordTicks - True Print history- false, ALLOW DLL imports is checked and nothing happens so I dunno {image}
Hey Cogs, Have you tried the latest version uploaded to the first post?
There was a previous version that might have slipped through to a few people that had a bug in it. The bug was that the default empty value in MT4 is some really big number. The new version has the empty value set to zero, and it should not have the problem I am seeing in your screenshot.

Actually, I have another version I will upload soon. It will show just Delta as well as cumulative Delta. I will post in the thread when I do upload it.

Hopefully it clears the bad taste in your mouth . If not, there is always wine for that.

Oh and the good thing is if you were recording your ticks even with the version you have, it should sort itself out in the new version.


Cheers.
  • #32
  • Sep 21, 2015 7:04pm Sep 21, 2015 7:04pm
Quoting Sciurus
{quote} Hey Cogs, Have you tried the latest version uploaded to the first post? There was a previous version that might have slipped through to a few people that had a bug in it. The bug was that the default empty value in MT4 is some really big number. The new version has the empty value set to zero, and it should not have the problem I am seeing in your screenshot. Actually, I have another version I will upload soon. It will show just Delta as well as cumulative Delta. I will post in the thread when I do upload it. Hopefully it clears the bad...
thanks seems to working ok now. Thank you hahaha

Im curious what happens if mt4 gets closed when recordticks is set to true ? does the data remain on the chart the next time I open the program from the time the program was closed ?
Learn, a forex trader must, unlearn and relearn he will.
  • #33
  • Sep 21, 2015 11:26pm Sep 21, 2015 11:26pm
Quoting COGSx86
{quote} thanks seems to working ok now. Thank you hahaha Im curious what happens if mt4 gets closed when recordticks is set to true ? does the data remain on the chart the next time I open the program from the time the program was closed ?
When the chart is closed, the indicator will close the tick file. When you re-open metatrader, it will start wherever it left off. If you open the chart immediately, there will not be a gap in the delta graph, but some data may be missing (the ticks it received when the terminal was closed). If you re-open the terminal much after some time, you see a gap in the graph. You won't be able to compare the new data to the old data. i.e. only compare graphs without gaps.
  • #34
  • Sep 22, 2015 5:10am Sep 22, 2015 5:10am
Honestly this is how I use the CumD in my trading.
Bigger picture (2m): The round number was a resistance throughout the whole day.
In the 4range chart you can see the retest and also that the sellers were slowly getting absorbed in this range...

Bread and butter trade ;-)
6tick stop, Goal is the Round number...

This delta is based on the actual bid/ask volume. I guess your mt4 calculates it based on the up/down tick volume. But in my experience even the "normal" - "overall tick volume" is fake at mt4 platforms. For the record. I also upload my normal tick volume of the 6E on the 1h TF.. (Edit: EURUSD pics come later since im not at platform right now)

Attached Image (click to enlarge)
Click to Enlarge Name: CUmd.JPG Size: 48 KB
Attached Image (click to enlarge)
Click to Enlarge Name: picture.JPG Size: 76 KB
It's all psychology...
  • #35
  • Sep 22, 2015 5:12am Sep 22, 2015 5:12am
Quoting Sciurus
{quote} I'd have to see the tick data for the Gold Chart and study it.
Hi,

File is attached==>
Attached File(s)
File Type: csv Ticks_XAUUSD.lmx.csv   1.0 MB | 639 downloads


(Double click to make it appear correctly)
Attached Image (click to enlarge)
Click to Enlarge Name: ~MyBitmap.gif Size: 18 KB


Thanks
  • #36
  • Sep 22, 2015 6:43am Sep 22, 2015 6:43am
Quoting Sciurus
{quote} Hi LT, I would agree with you that NinjaTrader (currently) actually has better tools than MT4 for the study of volume. Hopefully this thread will provide some tools for MT4 too. Another thought occurred to me, and it has to do with the broker. I would think that the broker has better market information than we do as retail traders. They are the ones that also determine their spreads, so essentially by reading the volume and Bid Ask prices, can we say we are gaining insight into what they know? i.e. do they do things in a predictable way...
Honestly Mt4 had much better vol than I expected. :-)
(This is the tick vol chart from ninja)
Attached Image (click to enlarge)
Click to Enlarge Name: 6e.JPG Size: 83 KB
It's all psychology...
  • #37
  • Sep 22, 2015 12:53pm Sep 22, 2015 12:53pm
Quoting Mingary
{quote} Hi, File is attached==> {file} (Double click to make it appear correctly) {image} Thanks
I am seeing a lot of this in the tick file. The Ask remains constant, but the bid is fluttering all over the place. It reminds me of something I observed on the demo feed for a really crappy broker for the currency pairs. This might be broker specific to gold, but I'm not sure. Again this may relate to how the broker is handling risk. I don't think its an issue with the indicator. The data is trying to tell us something, but its a bit vague for me still.

Time Bid Ask Vol
2015.09.22 05:31:09 1133.47 1133.6 1
2015.09.22 05:31:09 1133.46 1133.6 1
2015.09.22 05:31:09 1133.47 1133.6 1
2015.09.22 05:31:10 1133.44 1133.6 1
2015.09.22 05:31:10 1133.46 1133.6 1
2015.09.22 05:31:11 1133.44 1133.6 1
2015.09.22 05:31:11 1133.43 1133.6 1
2015.09.22 05:31:12 1133.44 1133.6 1
2015.09.22 05:31:13 1133.45 1133.6 1
2015.09.22 05:31:14 1133.44 1133.6 1
2015.09.22 05:31:15 1133.45 1133.6 1
2015.09.22 05:31:15 1133.44 1133.6 1
2015.09.22 05:31:15 1133.45 1133.6 1
2015.09.22 05:31:21 1133.46 1133.6 1
2015.09.22 05:31:24 1133.47 1133.6 1
2015.09.22 05:31:25 1133.48 1133.6 1
2015.09.22 05:31:27 1133.49 1133.6 1
2015.09.22 05:31:27 1133.48 1133.6 1
2015.09.22 05:31:27 1133.5 1133.6 1
2015.09.22 05:31:30 1133.49 1133.6 1
2015.09.22 05:31:31 1133.5 1133.6 1
2015.09.22 05:31:31 1133.49 1133.6 1
  • #38
  • Sep 22, 2015 1:13pm Sep 22, 2015 1:13pm
Quoting LamerTrader
Honestly this is how I use the CumD in my trading. Bigger picture (2m): The round number was a resistance throughout the whole day. In the 4range chart you can see the retest and also that the sellers were slowly getting absorbed in this range... Bread and butter trade ;-) 6tick stop, Goal is the Round number... This delta is based on the actual bid/ask volume. I guess your mt4 calculates it based on the up/down tick volume. But in my experience even the "normal" - "overall tick volume" is fake at mt4 platforms. For the record. I also upload my...
I would agree that volume from Brokers like Oanda is pretty suspect, but what i have been observing is pretty much exactly like what you have on your Ninja charts. Divergence at structure leading to opportunities in the opposite direction.
  • #39
  • Sep 22, 2015 5:34pm Sep 22, 2015 5:34pm
The indicator has been updated on the first page.
  • #40
  • Sep 22, 2015 5:55pm Sep 22, 2015 5:55pm
another awesome piece

the update fixed the issues I was having. Where on some charts the tick data would only show a certain number of bars back. Once I updated the indicator, it loaded all the historical tick data on to the indicator

you da man
Learn, a forex trader must, unlearn and relearn he will.
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