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    GomCD to reflect merge adjustments

    Hi,
    With ES rollover from Dec to Mar 11 contract, the impact has been a drop of 5 points. With a merge of the two contracts, the impact the volume profile with GomCD is that now the profile is out of sync by 5 ES points, ie when looking back on profiles, you will note the price/volume profile disparity by -5 pts. How can I manipulate the GomCD data to reflect the effects in points of the new merged contract?

    I would appreciate if Gomi or anyone else could provide some direction or guidance. It would be so much better if NT7 could just do this for its users!

    Cheers.

    Comment


      Gom File importer

      Hi Guys. I was seeking help on backfilling GOM delta data from April to Oct 2010. After many hours it has me beat for now! Where I am right now is:

      1. I used the gom file converter to create a flat file and binary file for Cl 04 data. Here are some records from the file. The file was quite large (90 meg flat) and imported ok and I renamed them Cl 04-10.Flat and CL4-10.Binary.Dat in the mydocuments folder with the other gom files.

      20100329 000004;80.41;1
      20100329 000017;80.40;1
      20100329 000017;80.40;1

      My understanding is once I have done this I should be able to see the data on the GOM CD I have at the bottom of the chart. I put in 300 days to load but there is no data showing up anywhere in April. I even played around with the updown tick with continuation and updowntick options but still no luck. I was wondering if I had missed out a step somewhere.

      Any ideas on this mystery would be appreciated? Thanks. DJ

      Comment


        is the instrument on your chart CL 04-10 ?
        if yes, did you double check the names ? they should be CL 04-10.Flat.txt and CL 04-10.Binary.dat

        Comment


          Data

          Hi Gomi, thanks for the response and for the great tools. They really make a difference and your stuff is truly inspirational.

          I did manage to get the data to show after all but still cannot achieve the goal. What I am trying to do is export chart data to a spreadsheet including all of the historical delta data. To do this I use stream writer and have no problems exporting recently recorded chart data but cannot export the historical delta data I loaded in. I've attached two charts. The first is the current 01-11 CL contract with delta data based on recorded Zen data. The second is the 05/10 CL contract and shows the delta based on the tick data I loaded in myself. The difference is when I export the the data the 05-10 delta data does not show in the text file, only zeros show. Even though I can see it on the chart I cannot seem to get the data out. The 01-11 CL contract delta data shows up no problem. These are the formulas used.

          GomDeltaMomentum().DeltaMomo[0]

          GomDeltaVolume().UpVolume[0] + GomDeltaVolume().DownVolume[0]

          Any ideas on how to resolve this issue would be appreciated.

          Thanks. DJ
          Attached Files

          Comment


            Did you instantiate correctly the indicators ? Check GomCDMA in 1.3b to see how to instantiate a Gom indicator in another indicator..
            Or you can create your own GomRecorder indicator : check GomDeltaVolume for a start.
            Or you can directly hack your stream writing into GomDeltaVolume.

            Originally posted by djkiwi View Post
            Hi Gomi, thanks for the response and for the great tools. They really make a difference and your stuff is truly inspirational.

            I did manage to get the data to show after all but still cannot achieve the goal. What I am trying to do is export chart data to a spreadsheet including all of the historical delta data. To do this I use stream writer and have no problems exporting recently recorded chart data but cannot export the historical delta data I loaded in. I've attached two charts. The first is the current 01-11 CL contract with delta data based on recorded Zen data. The second is the 05/10 CL contract and shows the delta based on the tick data I loaded in myself. The difference is when I export the the data the 05-10 delta data does not show in the text file, only zeros show. Even though I can see it on the chart I cannot seem to get the data out. The 01-11 CL contract delta data shows up no problem. These are the formulas used.

            GomDeltaMomentum().DeltaMomo[0]

            GomDeltaVolume().UpVolume[0] + GomDeltaVolume().DownVolume[0]

            Any ideas on how to resolve this issue would be appreciated.

            Thanks. DJ

            Comment


              You can check latest 2.3 version of recorder here http://www.bigmiketrading.com/elite-...html#post83057

              It allows to merge Gom data files of future contracts the same way Ninja does, including continuous backadjustments.



              Originally posted by superarrow View Post
              Hi,
              With ES rollover from Dec to Mar 11 contract, the impact has been a drop of 5 points. With a merge of the two contracts, the impact the volume profile with GomCD is that now the profile is out of sync by 5 ES points, ie when looking back on profiles, you will note the price/volume profile disparity by -5 pts. How can I manipulate the GomCD data to reflect the effects in points of the new merged contract?

              I would appreciate if Gomi or anyone else could provide some direction or guidance. It would be so much better if NT7 could just do this for its users!

              Cheers.

              Comment


                Is there really just one of you, I mean you turn up solutions as if you have a software department at your disposal! Great work Gomi.

                Will try it out over the weekend and post back. I was contemplating moving over to another trading platform just so I can get good backfill on bid/ask delta. I bet there is a few of us here sticking to NT only because of your work. Thank you and maybe NT should consider some kind of royalty program to make it up to you.

                Comment


                  Data issues

                  Hi Gomi, thanks for the help but still having problems. I think the problem has to do with the data. A couple of points:

                  1. On the 5/10 contract to get the chart to display I have to choose bid/ask back mode: use with continuation to the get the delta data to display. Because I imported tick data I don't have bid/ask. I'm not sure what this use with continuation is supposed to do.
                  2. When I looked at the 5/10 contract flat file my 2nd column has the number 5 on all records. The other flat files have a 1,2,3 or 4 in column 2 so not sure the significance of this.

                  I am using the following formula to extract the data.This formula is working ok with the other flat files based on data using the gomi recorder as they have bid/ask data. Do I need a different formula to extract the 5/10 contract data based on only tick data?

                  GomDeltaVolume().UpVolume[0] + GomDeltaVolume().DownVolume[0]

                  Thanks.
                  DJ

                  Comment


                    Since you don't have bid/ask; bid ask delta calculation won't work. Using the backup mode will allow to have a delta using Up/Down tick mode. Basicalyy delta positive if price goes up, negative when price goes down.

                    The 5 in the file means the ticktype is unknown, since you don't have bid/ask info.

                    Comment


                      recording binary ko

                      Hi Gomi, I've just had a chance to try your 1.3b indicators. The GomCD is working fine and also recording (recording binary ok). But I added the GomDeltaVolume and although it's working fine also(seems to be recording), the text tells me recording binary ko. I didn't quite know how to set these up, but I have Write set to True for both of these indicators. Is this ok, as long as both are recording and retaining what has been recorded?

                      I've only tried these two, but the recording ability sure is nice...thanks for that especially.

                      John

                      Comment


                        you only nead one write=true per instrument, and the file will be used by all Gom indicators.
                        If you get KO, it means the indicator is trying to record but another indicator has already the write privileges on the file.

                        Comment


                          Thanks...I changed the Write=True to False for the GomDeltaVolume, and now it says recording off. Is that as it should be?

                          John

                          Comment


                            yes, but is should be able to read the data recorded by the write data=true indicator when you press F5

                            Comment


                              Price Delta

                              Thanks Gomi. I have been grappling with another issue of how to calculate the delta of different parts of a bar. For example I am using a 10 range bar and would like to calculate the delta of Open [1] to Open[1] + 5 ticks of the previous bar. So basically instead of using the entire delta for the previous bar it only calculates the delta for the first half of it. Any ideas on this one would be appreciated.

                              Thanks
                              DJ

                              Comment


                                realistic bid/ask filling

                                Is it possible with the GOM-tools to simulate more realistic fills in backtesting?

                                I mean e.g.: On barupdate buying at the market in a backtest will be at the then current ask price? Not just on OHLC-data which is unreliable.

                                Comment

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