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Delta Volume - Cumulative Delta Volume

  • #61
  • Oct 25, 2015 5:22am Oct 25, 2015 5:22am
Quoting COGSx86
{quote} Whats "NT" sorry ?
NinjaTrader
:: everything is awesome ::
  • #62
  • Oct 25, 2015 1:30pm Oct 25, 2015 1:30pm
#region Using declarations
using System;
using System.ComponentModel;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.IO;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Gui.Chart;
#endregion

// This namespace holds all indicators and is required. Do not change it.
namespace NinjaTrader.Indicator
{
/// <summary>
/// Exports OnMarketData in a Metatrader 4 CSV file MarketDataSmall
/// </summary>
[Description("Exports OnMarketData in a Metatrader 4 CSV file")]
public class MarketDataSmall : Indicator
{
#region Variables
// Wizard generated variables
// User defined variables (add any user defined variables below)
private string symbol = string.Empty;
private double bidPrice;
private double askPrice;
#endregion

/// <summary>
/// This method is used to configure the indicator and is called once before any bar data is loaded.
/// </summary>
protected override void Initialize()
{
Overlay = true;
symbol = Instrument.FullName.Split(' ')[0];
}

/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
// Use this method for calculating your indicator values. Assign a value to each
// plot below by replacing 'Close[0]' with your own formula.
}

protected override void OnMarketData(MarketDataEventArgs e)
{

if (e.MarketDataType == MarketDataType.Bid)
{
bidPrice = e.Price;
}
else if (e.MarketDataType == MarketDataType.Ask)
{
askPrice = e.Price;
}
else if (e.MarketDataType == MarketDataType.Last)
{
string dataCSV = string.Empty;

if (e.Price == bidPrice)
{
dataCSV = e.Time.ToString("yyyy.MM.dd HH:mm") + ";BID;" + e.Price + ";" + e.Volume;
}
else if (e.Price == askPrice)
{
dataCSV = e.Time.ToString("yyyy.MM.dd HH:mm") + ";ASK;" + e.Price + ";" + e.Volume;
}
else
{
dataCSV = e.Time.ToString("yyyy.MM.dd HH:mm") + ";NONE;" + e.Price + ";" + e.Volume;
}

try
{
StreamWriter sw = File.AppendText(@"C:\Users\LL\Desktop\MetaTrader 432\MQL4\Files\"+ symbol + "_"+ e.Time.ToString("yyMMdd")+ "_MarketData.csv");
sw.WriteLine(dataCSV);
sw.Dispose();
}
catch
{

Print("Lost: "+dataCSV);

}
}
}

#region Properties

#endregion
}
}

#region NinjaScript generated code. Neither change nor remove.
// This namespace holds all indicators and is required. Do not change it.
namespace NinjaTrader.Indicator
{
public partial class Indicator : IndicatorBase
{
private MarketDataSmall[] cacheMarketDataSmall = null;

private static MarketDataSmall checkMarketDataSmall = new MarketDataSmall();

/// <summary>
/// Exports OnMarketData in a Metatrader 4 CSV file
/// </summary>
/// <returns></returns>
public MarketDataSmall MarketDataSmall()
{
return MarketDataSmall(Input);
}

/// <summary>
/// Exports OnMarketData in a Metatrader 4 CSV file
/// </summary>
/// <returns></returns>
public MarketDataSmall MarketDataSmall(Data.IDataSeries input)
{
if (cacheMarketDataSmall != null)
for (int idx = 0; idx < cacheMarketDataSmall.Length; idx++)
if (cacheMarketDataSmall[idx].EqualsInput(input))
return cacheMarketDataSmall[idx];

lock (checkMarketDataSmall)
{
if (cacheMarketDataSmall != null)
for (int idx = 0; idx < cacheMarketDataSmall.Length; idx++)
if (cacheMarketDataSmall[idx].EqualsInput(input))
return cacheMarketDataSmall[idx];

MarketDataSmall indicator = new MarketDataSmall();
indicator.BarsRequired = BarsRequired;
indicator.CalculateOnBarClose = CalculateOnBarClose;
#if NT7
indicator.ForceMaximumBarsLookBack256 = ForceMaximumBarsLookBack256;
indicator.MaximumBarsLookBack = MaximumBarsLookBack;
#endif
indicator.Input = input;
Indicators.Add(indicator);
indicator.SetUp();

MarketDataSmall[] tmp = new MarketDataSmall[cacheMarketDataSmall == null ? 1 : cacheMarketDataSmall.Length + 1];
if (cacheMarketDataSmall != null)
cacheMarketDataSmall.CopyTo(tmp, 0);
tmp[tmp.Length - 1] = indicator;
cacheMarketDataSmall = tmp;
return indicator;
}
}
}
}

// This namespace holds all market analyzer column definitions and is required. Do not change it.
namespace NinjaTrader.MarketAnalyzer
{
public partial class Column : ColumnBase
{
/// <summary>
/// Exports OnMarketData in a Metatrader 4 CSV file
/// </summary>
/// <returns></returns>
[Gui.Design.WizardCondition("Indicator")]
public Indicator.MarketDataSmall MarketDataSmall()
{
return _indicator.MarketDataSmall(Input);
}

/// <summary>
/// Exports OnMarketData in a Metatrader 4 CSV file
/// </summary>
/// <returns></returns>
public Indicator.MarketDataSmall MarketDataSmall(Data.IDataSeries input)
{
return _indicator.MarketDataSmall(input);
}
}
}

// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
public partial class Strategy : StrategyBase
{
/// <summary>
/// Exports OnMarketData in a Metatrader 4 CSV file
/// </summary>
/// <returns></returns>
[Gui.Design.WizardCondition("Indicator")]
public Indicator.MarketDataSmall MarketDataSmall()
{
return _indicator.MarketDataSmall(Input);
}

/// <summary>
/// Exports OnMarketData in a Metatrader 4 CSV file
/// </summary>
/// <returns></returns>
public Indicator.MarketDataSmall MarketDataSmall(Data.IDataSeries input)
{
if (InInitialize && input == null)
throw new ArgumentException("You only can access an indicator with the default input/bar series from within the 'Initialize()' method");

return _indicator.MarketDataSmall(input);
}
}
}
#endregion
  • #63
  • Oct 25, 2015 2:00pm Oct 25, 2015 2:00pm
1 search free platfortm with real data feed

http://www.globalfutures.com/platforms/index.asp
http://www.ampfutures.com/ninjatrader_cqg.php

sorry ,
it is not longer possible to use the bridge with Ninjatrader .

I recommend you to use www cluster at 11.40 $ month

problems with CEO Denis cluster ; http://clusterdelta.com/platform#download

1 payment difficulties with russia ( Obama angel ))) has declared economical war to Russia devil )) ) you must try www.liqpay or www yandex

(difficulty to receive a text message SMS with code from Liqpay Russia )

2 you must have high speed internet connection (over 2,5 M) allowed because you will have code mt4 + data feed from cme together into mt4
otherwise the platform Freezing jumping or locks it
  • #64
  • Oct 26, 2015 8:44pm Oct 26, 2015 8:44pm
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...
Hey spacca. It wouldn't be the first time I've perused the russian boards :-).

You know, I think you might be right about the NT thing. More and more I find MT4 to be a mickey mouse application. Its great for viewing time charts, etc, but there are many things that it does very poorly. Sometimes I feel like I have to hack my indicators to get them to work. Maybe I stick with MT4 because my broker does not support NT. And yes, the volume tools on NT are MUCH better then what is available for MT4. Maybe its because NT is used to trade things other than spot too.
  • #65
  • Oct 26, 2015 8:46pm Oct 26, 2015 8:46pm
Quoting cristy1980
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?
I have not experienced this. Does the resources usage go away when you take the indicator off?
  • #66
  • Oct 27, 2015 4:50pm Oct 27, 2015 4:50pm
Quoting Sciurus
{quote} I have not experienced this. Does the resources usage go away when you take the indicator off?
Actually I use the cumulative indi from u on 2 diff stations.. the one that I have "the problems" it's the station from work...where I might have some problems with the internet connection also, this could lead to low speed on actual getting the data for the charts ....and so on...
The second one it's at home... and here the things are a little different, I'm still just looking to the way the data it's folding and how this cumulative process it's actually working.. I try to understand the core principles, I have 0 exp with this approach, but I found some top prop traders using this knowledge and make me wander.
  • #67
  • Oct 28, 2015 4:28am Oct 28, 2015 4:28am
Quoting Sciurus
{quote} Hey spacca. It wouldn't be the first time I've perused the russian boards :-). You know, I think you might be right about the NT thing. More and more I find MT4 to be a mickey mouse application. Its great for viewing time charts, etc, but there are many things that it does very poorly. Sometimes I feel like I have to hack my indicators to get them to work. Maybe I stick with MT4 because my broker does not support NT. And yes, the volume tools on NT are MUCH better then what is available for MT4. Maybe its because NT is used to trade things...

ejejeje you took the target ,, mate , jejejeej look ::

http://www.takeprofit.technology/ash...sf8aAk2C8P8HAQ

http://www.bostontechnologies.com/

their sell plugin to broker to put in your mt4 hahaahah
or as FXCM scam ,, they digitize to impoverish the code data to drunk intoxicate befuddle all your indicators ))

I work only with tick indicators modified ,, for me )) look at screenshot ,,
this is 'the signal of FXCM (totally crazy it))))
Attached Image (click to enlarge)
Click to Enlarge Name: woow.png Size: 20 KB
  • #68
  • Edited 8:13pm Oct 28, 2015 5:11am | Edited 8:13pm
1) we must search for cheap ,, but serious volume data sellers ,without interruption of tape data market

2 )we build tick indicators modified

3 candles bar ,, renko ,, all volume indicator don't work well well )) even if they have good data
They are unusable (((

the displacement of large volumes from big investor ,,,and 'so fast you can't go with candles bar )))
but only modified tick indicator

I guarantee good results look at screenshot

4 about mt4,, I ask you to try an demo Lmax account with IB http://fxmtf.com/

5 spacca don't sell anything
I already have my money
I said try demo lmax so you see another planet )))
  • #69
  • Oct 28, 2015 5:15am Oct 28, 2015 5:15am
I just wanted to prove

displacement volumes = displacement price = displacement money in your wallet hahahahaahahah
good trade at all !!!
  • #70
  • Jan 10, 2016 7:22am Jan 10, 2016 7:22am
Sciurus... I've searched for an answer everywhere on Google and I can't find the answer... but you coded the Cumulative Delta indicator so you'll know the answer:

You add volume when Curr_Ask > Prev_Ask.

I understand the basics of how an order book works, etc... but I want to confirm... are you saying that if the ask goes up then that's buying volume? If so, then what happens when ONLY the ask goes up or ONLY the bid goes down?
  • #71
  • Jan 10, 2016 5:39pm Jan 10, 2016 5:39pm
I messaged Sciurus directly as a "newbie" I was unable to post in forums because moderation was taking forever... but it pans out my posts are now showing. So I'll continue here for the benefit of everyone else...

My previous post should have said:

"what happens when ONLY the ask goes down or ONLY the bid goes up?"

Sciurus said:

"if only the ask goes up, volume will be attributed to the buyers, and conversely if only the bid goes down, the volume will be attributed to the sellers. There is also the special situation where spreads widen (bid goes up and ask goes down), then they cancel each other out. Its an estimate for how the market is supposed to work (market orders chew of limit orders on either side of price). One thing that is missing entirely from this estimate are market orders that chew up only some limit orders, resulting in price remaining the same."

My reply:

But a tick in forex is a price change. So if the price doesn't change, there is no recorded volume. I have my own tick recorder and I'm pretty sure I've never seen volume increase without a corresponding change in price.

As a side, my tick recorder often changes price without a change in the tick volume. That's always confused me, but anyway.

What I have seen is the ask going up without the bid changing or the bid going down without the ask changing, and volume increasing in those situations. So what's the Volume Delta's answer in that situation?
  • #72
  • Jan 11, 2016 1:42am Jan 11, 2016 1:42am
Quoting truelifeajf
I messaged Sciurus directly as a "newbie" I was unable to post in forums because moderation was taking forever... but it pans out my posts are now showing. So I'll continue here for the benefit of everyone else... My previous post should have said: "what happens when ONLY the ask goes down or ONLY the bid goes up?" Sciurus said: "if only the ask goes up, volume will be attributed to the buyers, and conversely if only the bid goes down, the volume will be attributed to the sellers. There is also the special situation where spreads widen (bid goes...
Im not an expert in tick volume, but as far as I know tick volume requires a "moved tick". However if you use a normal platform that has actual lvl2 volume you will record volume even if prices don't really move, since every single lot that either hits the bid or lifts the offer is recorded.
It's all psychology...
  • #73
  • Jan 11, 2016 9:12am Jan 11, 2016 9:12am
Quoting truelifeajf
My previous post should have said: "what happens when ONLY the ask goes down or ONLY the bid goes up?" I have my own tick recorder and I'm pretty sure I've never seen volume increase without a corresponding change in price. As a side, my tick recorder often changes price without a change in the tick volume. That's always confused me, but anyway. What I have seen is the ask going up without the bid changing or the bid going down without the ask changing, and volume increasing in those situations. So what's the Volume Delta's answer in that situation?...
When I coded the indicator, I asked myself this same question. My technical solution was to basically ignore those ticks (assuming they even have volume associated with them, since as you pointed out, a lot of ticks come through without volume). But it made me think about why this can could happen. My conclusion was that I was observing my broker correct some kind of mis-pricing in their feed. As market makers, Brokers are constantly trying to keep up with the market. They may shade price, or widen spreads if they are uncertain where price will be in x number of miliseconds. This reduces their risk. That is they way I see it. I wish I knew the algorithm that the brokers use to attribute volume to ticks, but I don't. My hope, though, is that by studying ask and bid volume we can get a window into the higher level that our broker possesses.
  • #74
  • Jan 11, 2016 5:36pm Jan 11, 2016 5:36pm
After considering this for some time, I'd agree... attributing volume in the way you have makes sense. It's not safe to make assumptions about what happens when only the ask goes down or only the bid goes up.

Nice work Sciurus
  • #75
  • Jan 16, 2016 8:38pm Jan 16, 2016 8:38pm
Just looking into this some more.

Am I right in saying that the bid price is actually the ask price + spread. This means when spreads widen, it's the bid price that goes up and the ask price stays the same ?

If that's the case, then shouldn't it be that volume SHOULD NOT be applied to the sell side when the bid price comes down AND the ask price remains the same... because in that situations that's just spread reducing. ?
  • #76
  • Jan 16, 2016 10:19pm Jan 16, 2016 10:19pm
Quoting truelifeajf
Just looking into this some more. Am I right in saying that the bid price is actually the ask price + spread. This means when spreads widen, it's the bid price that goes up and the ask price stays the same ? If that's the case, then shouldn't it be that volume SHOULD NOT be applied to the sell side when the bid price comes down AND the ask price remains the same... because in that situations that's just spread reducing. ?
Hello truelife. You have it backwards. The Ask is equal to the Bid plus the spread. You buy at the Ask, and sell at the Bid.
  • #77
  • Feb 17, 2016 12:26pm Feb 17, 2016 12:26pm
To Sciurus and Spacca.

Sciurus,

You are wonderful! Been searching for something like this for ages! Howcome this thread has so few posts? It's like the foundation for a whole field of study.

Spacca,

Enjoy your quirky humour and thanks for pointing me at ClusterDelta. Got the DOM and Tape up and running.

Thanks to both of you. Keep on posting!

QM
  • #78
  • Mar 3, 2016 5:04am Mar 3, 2016 5:04am
what should i do???
Attached Image (click to enlarge)
Click to Enlarge Name: QQ截图20160303185144.png Size: 39 KB
  • #79
  • Mar 3, 2016 8:59am Mar 3, 2016 8:59am
Quoting hftj
what should i do??? {image}
Wait. More bars will form.
  • #80
  • Apr 2, 2016 1:22am Apr 2, 2016 1:22am
If "volume" in forex is just the "number of price changes" in a given period, then the volume for each tick should be 1.

And for 99% of cases, this is true.

But for about 1% of ticks, the volume is 2.

And for a really small percentage of ticks, the volume might be 13 or 60 or 88.

Does anyone have an opinion about why we get such large volume on a mere price change, when volume is meant to be a single price change?
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