I am seeing that the cumulative delta indicator does not require the use of tick replay. Therefore I assume that it loads tick data directly from the historical tick data base and does not perform calculations on the chart bars.
Cumulative delta values on tick and minute charts are not identical, but come pretty close. Therefore I assume that they both use the same data source - that is historical tick data.
I do understand the concept of upticks / downticks with continuation. This is an approximation with something like 70% to 80 % accuracy that allows for calculating cumulative delta from simple trade data (tick by tick but without information whether the trades occured at the bid, at the ask or in between).
Here comes my question:
When I select "Delta type" = "BidAsk" on historical data, how is the delta calculated?
I do not have any bid or ask data stored in my historical data base. The only data available is historical tick data of type "Last". This means that a genuine cumulative delta calculation is not possible with my data, as the data is not being qualified as bid or ask.
Nevertheless, when selecting the delta typy "BidAsk", the indicator produces an output that is different from the result generated for the uptick/downtick with continuation setting. What logic is behind this calculation?
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