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Delta Volume - Cumulative Delta Volume

  • #41
  • Sep 23, 2015 2:15am Sep 23, 2015 2:15am
Quoting Sciurus
{quote} 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...
Does it look different on your broker feed ?
  • #42
  • Sep 23, 2015 10:41am Sep 23, 2015 10:41am
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  • #43
  • Sep 23, 2015 6:01pm Sep 23, 2015 6:01pm
Quoting Lowphat
{image}

You seem to be on to something. Beauty trade. What else made you take the trade? I notice there was a level there from around Sept. 16th.
  • #44
  • Sep 23, 2015 6:03pm Sep 23, 2015 6:03pm
Quoting Mingary
{quote} Does it look different on your broker feed ?
Here is Gold from Oanda for part of today. Volume seemed a bit rough, but the persistent up or down trend counter to price is absent.
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  • #45
  • Sep 23, 2015 7:41pm Sep 23, 2015 7:41pm
Quoting Lowphat
{image}
Hi Lowphat,

Can you tell us how you are using the indicator please?

Thank you.
What's it all about? It's all about money.
  • #46
  • Edited 10:05pm Sep 23, 2015 9:55pm | Edited 10:05pm
Quoting Sciurus
{quote} You seem to be on to something. Beauty trade. What else made you take the trade? I notice there was a level there from around Sept. 16th.
bouncing around charts and time-frames and noticed extreme opposing directions.
tried to see if a possible reversal pattern existed and we have wicks after or in a short trap/stop hunt move.
i also tried to gauge the larger cycle on the bigger TF and it seemed like it was due for a reverse cycle.

for exit: all the highs in the up cycle were the same except the last and that's where i dumped it.

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here is a fun mid zone that i found well after i had closed the trade. some of you know what I'm talking about
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  • #47
  • Sep 23, 2015 10:37pm Sep 23, 2015 10:37pm
Quoting Lowphat
{quote} some of you know what I'm talking about {image}
Ah yes, the mid-bar TZ. Those were the days...
  • #48
  • Sep 24, 2015 3:27am Sep 24, 2015 3:27am
Quoting Sciurus
{quote} Here is Gold from Oanda for part of today. Volume seemed a bit rough, but the persistent up or down trend counter to price is absent. {image}
Hi,

There is indeed a difference with Oanda.
You mentioned the following concerning the tick data that I sent (LMAX is the broker): The Ask remains constant, but the bid is fluttering all over the place.
How would this have an impact on the cumulative delta calculation?

Thanks.
  • #49
  • Sep 24, 2015 1:34pm Sep 24, 2015 1:34pm
Quoting Mingary
{quote} Hi, There is indeed a difference with Oanda. You mentioned the following concerning the tick data that I sent (LMAX is the broker): The Ask remains constant, but the bid is fluttering all over the place. How would this have an impact on the cumulative delta calculation? Thanks.
Hi. Well, the indicator makes the assumption that when the bid goes down, it is due to selling and attributes the volume to the sell side. If the bid goes up and the ask remains constant, the volume won't be added. So it ends up just adding volume to the sellers. This might be a limitation of the indicator. The only other options is the add the volume to the buy side even if the ask line does not move. The reality is, the broker is the one controlling the bid and ask, and can attribute the volume wherever it wants. What do you think, if the bid line goes up, but the Ask remains constant, can you attribute that to buying? Or a liquidity vacuum on the top side?
  • #50
  • Sep 25, 2015 1:58am Sep 25, 2015 1:58am
Quoting Sciurus
{quote} Hi. Well, the indicator makes the assumption that when the bid goes down, it is due to selling and attributes the volume to the sell side. If the bid goes up and the ask remains constant, the volume won't be added. So it ends up just adding volume to the sellers. This might be a limitation of the indicator. The only other options is the add the volume to the buy side even if the ask line does not move. The reality is, the broker is the one controlling the bid and ask, and can attribute the volume wherever it wants. What do you think, if...
Something like this then ?

Bid goes down, Ask is unchanged = add volume to sell side
Ask goes up, Bid is unchanged = add volume to buy side
  • #51
  • Sep 25, 2015 10:31am Sep 25, 2015 10:31am
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

Hey after a few days using the new update cumulativedelta, I have noticed on a custom chart I have (3 mins), its seems for some reason it will reset. I have it applied to only a 1 minute chart, and the 3 minute chart gets its data from the 1 min chart.

Pretty much the same screen shot as before.

One piece to add, on EURUSD it reset itself at 16:45 and on USDJPY 16:42.

Not sure if thats the time I applied the indicator so I will play around with that.
Learn, a forex trader must, unlearn and relearn he will.
  • #52
  • Oct 3, 2015 5:31am Oct 3, 2015 5:31am
Quoting Sciurus
This thread will be dedicated to the development of ideas, indicators, and edges around delta volume. It will be a continuation of the discussion started here http://www.forexfactory.com/showthread.php?t=429320. Making this a separate thread will hopefully make it easier to post updates to indicators (on first page), and avoid confusion with the other thread. Cumulative Delta with history capability Now has option to display data as Delta only. Now has the option to show Pearson's correlation over a defined period (if useful at all, likely...
Thank you Sciurus for sharing the Cumulative Delta Volume indicator, noob question please, as its the weekend would I need to wait until Monday for the volume data/ticks to be displayed on the indi?
  • #53
  • Oct 3, 2015 10:22am Oct 3, 2015 10:22am
Quoting JohnDalio
{quote} Thank you Sciurus for sharing the Cumulative Delta Volume indicator, noob question please, as its the weekend would I need to wait until Monday for the volume data/ticks to be displayed on the indi?

Yep, you'd need to wait for the tick data to come in.
  • #54
  • Oct 3, 2015 10:24am Oct 3, 2015 10:24am
Quoting COGSx86
{quote} Hey after a few days using the new update cumulativedelta, I have noticed on a custom chart I have (3 mins), its seems for some reason it will reset. I have it applied to only a 1 minute chart, and the 3 minute chart gets its data from the 1 min chart. Pretty much the same screen shot as before. One piece to add, on EURUSD it reset itself at 16:45 and on USDJPY 16:42. Not sure if thats the time I applied the indicator so I will play around with that.

Hey Cogs,

No screenshot applied to your post, but I'm guessing you are seeing the indicator reset to zero occasionally? I have observed this on a couple of occasions myself, but just re-applying it worked for me.
  • #55
  • Oct 3, 2015 10:25am Oct 3, 2015 10:25am
Quoting Mingary
{quote} Something like this then ? Bid goes down, Ask is unchanged = add volume to sell side Ask goes up, Bid is unchanged = add volume to buy side
Yup.
  • #56
  • Oct 3, 2015 11:33am Oct 3, 2015 11:33am
Quoting Sciurus
{quote} Yep, you'd need to wait for the tick data to come in.
Much appreciated Sciurus, looking forward to experimenting with this.
  • #57
  • Oct 14, 2015 2:31am Oct 14, 2015 2:31am
Hi all, can someone be so kind to explain how to set the options for this indi for proper use (or should left as default) .
Also, in general what will do the options if are checked "true" "false"?

If I pre-download the tick data from broker, plus any other information, would help the indi to perform the computation also backward.
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  • #58
  • Oct 15, 2015 3:33am Oct 15, 2015 3:33am
I come back... , I use it for few hours yesterday, but I don't know, maybe in conjunction with something else, it's basically freezing my computer, and it make it work so hard... lot of resources used.. it's doing re-calculation?
  • #59
  • Edited 7:22pm Oct 24, 2015 6:31pm | Edited 7:22pm
Hi,,,, All this is an old story ,,,,if we aren't capable to catch data feed from NT
and convert them into mq4,,,,we will always have fake data volume
all data is not usable now, but
we must convert real data volume by NT before talking about comulative indicators ,,,or from delta

other people have already done it

other news,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
The ClusterDelta issued the DOM / T & D for Mt4:http://forum.clusterdelta.com/showth...0%B8%D1%8F-2.0


Welcomes the Russian language ))) ,,and hooray for Putin )
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  • #60
  • Oct 25, 2015 4:04am Oct 25, 2015 4:04am
Quoting spacca
Hi,,,, All this is an old story ,,,,if we aren't capable to catch data feed from NT and convert them into mq4,,,,we will always have fake data volume all data is not usable now, but we must convert real data volume by NT before talking about comulative indicators ,,,or from delta other people have already done it other news,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,, The ClusterDelta issued the DOM / T & D for Mt4:http://forum.clusterdelta.com/showth...0%B8%D1%8F-2.0...
Whats "NT" sorry ?
Learn, a forex trader must, unlearn and relearn he will.
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