Value Discrepancy of Cumulative Delta Indicator

[Rainmakersg]

Hi,

I have a question on the Cumulative Delta Indicator that comes with Order Flow +.

My settings for this indicator are:
1. Delta type = BidAsk
2. Period = Bar

I compared the value of the Delta Close of this Cumulative Delta Indicator to the numbers shown on the Volumetric Chart.

Settings for the Volumetric Chart are:
Delta type = BidAsk so as to make them consistent

I found out that for the Volumetric Chart, if the Base Period Type is set to time-based (second, minute, day, week, month, year), the Delta (Bar) shown on the bar statistics at the bottom matches exactly with the Delta Close of the Cumulative Delta Indicator. But if the Base Period Type is set to non time-based, e.g. tick or volume, the Delta (Bar) shown on the bar statistics does not match with the Delta Close of the Cumulative Delta Indicator .

Please see the attached.

Can you explain why this is so?

[NinjaTrader_ChelseaB]

Hello Rainmakersg,

I will need to further investigate. I appreciate your patience.

[NinjaTrader_ChelseaB]

Hello Rainmakersg,

While testing I am seeing a 1 tick difference, and very slight difference in the volumetric bars updating a second before the indicator on the minute chart.

https://drive.google.com/file/d/1sQhvStmauMi9WsIBRuumYuftyQl5cnWD/view?usp=drivesdk

Is this the behavior you are seeing?

[Rainmakersg]

Hi Chelsea, please re-read my original post to understand what I am really pointing out.

My setting for the Cumulative Delta Indicator is Period = Bar, this setting effectively turns the indicator into Delta (and not Cumulative Delta). Your video shows you are setting it to Period = Session, which turns it into Cumulative Delta. I am comparing Delta and not Cumulative Delta. Please take a closer look at my original attached PDF and compare.

My observation is there is no difference in the delta values if the volumetric chart is time-based, but there is a difference if it is non time-based. So your video does not address my concern as:
1. Your Cumulative Delta Indicator is set to Period = session
2. Your chart is set to time-based (1 minute)

My settings are:
1. Cumulative Delta Indicator set to Period = bar
2. Set chart to say 1000 tick

With my settings, compare the Delta (Bar) at the bar statistics with the DELTA CLOSE shown in the Data Box. The Price Marker values do not always show much difference, but if you check the values of past bars in the Data Box, you can see the differences. For tick charts, I observe that the discrepancy goes higher as the tick settings are increased, e.g. from 100 ticks to 4000 ticks.

I have made another video. Please see the attached. This chart is a volumetric chart with 4000 tick setting. You can see that I open up the Data Box and compare the Delta (Bar) in the Bar statistics with the Delta Close shown in the Data Box. As I move the cursor from the left most bar to the right most bar, you can see the differences in those values.

Please see the video here:

https://drive.google.com/file/d/1_asZXHd4WHYh2S78OwS0nrwX2xZSlLX_/view

[NinjaTrader_Jim]

Hello Rainmakersg,

This is Jim, responding on behalf of Chelsea who is out of the office at this time.

Thanks for clarifying. I can share that the discrepancies here are known and would be expected to be encountered with the Order Flow Cumulative Delta indicator with tick based bars.

The Order Flow Cumulative Delta indicator is programmed to take a multi time frame approach to add a single tick data series and use that data series to check volume associated with each tick and bid/ask prices associated with each tick.

Historical data is in OnBarUpdate is processed chronologically, and we use the timestamps of each bar (stamped by the data provider) to process this data. The issue comes up when we have ticks of the same timestamp. The ticks can come out of order in the indicator and can result in discrepancies. Discrepancies with tick based charts will be less noticeable in larger tick sized charts, but these discrepancies may be more noticeable in smaller tick based charts.

We do not see these discrepancies with Volumetric bars, because they are built following the stream of ticks as given by the data provider, before bars are formed (we are creating the bar) and then processed in OnBarUpdate where the data is unrolled following bar timestamps.

Please let us know if you have any additional questions.

[Rainmakersg]

Hi Jim,

Thanks for the clarification.

I am currently using OrderFlowCumulativeDelta(CumulativeDeltaType.BidAs k, CumulativeDeltaPeriod.Bar, 0) to generate the Delta Close for non time-based charts.

Based on what you are saying, volumetric bars seem to be more accurate based on their construction. Does it mean that by using the following, I get a more accurate Delta Close:
barsType.Volumes[CurrentBar].GetDeltaForPrice(Close[0])

Kindly confirm. Thanks.

[NinjaTrader_Jim]

Hello Rainmakersg,

Yes, I would recommend using the Volumetric Bars Data Access methods when working with tick based bars for the most accurate information.

Let us know if there is anything else we can do to help.