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Issue with Order Flow Cum Delta Indicator - Non Cumulative Mode

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    Issue with Order Flow Cum Delta Indicator - Non Cumulative Mode

    Hello
    There appears to be a problem with this indicator when used in the bar by bar mode using bid/ask data (non cumulative). I have attached a screen shot of an ES 100 volume chart. By my understanding the delta value for any single chart bar should never exceed +/- 100. If you refer to the screen capture you can see a large number of occasions where the delta value is significantly outside the +/- range expected. Am I missing something here?
    Attached Files
    Last edited by FMtrader; 05-16-2019, 12:48 AM.

    #2
    Originally posted by FMtrader View Post
    Hello
    There appears to be a problem with this indicator when used in the bar by bar mode using bid/ask data (non cumulative). I have attached a screen shot of an ES 100 volume chart. By my understanding the delta value for any single chart bar should never exceed +/- 100. If you refer to the screen capture you can see a large number of occasions where the delta value is significantly outside the +/- range expected. Am I missing something here?
    Out of interest I believe there may be a similar problem with your newly released Block Volume Indicator. If you set block size = volume of 1, this indicator should basically give total volume of the price bar. Once again if I use the 100 volume chart from the previous post I see the Block Volume Indicator giving volume much greater or much less than 100 on some bars. The indicator appears to miss information on some bars but corrects on the next few bars. Similarly if you set block size = 1 trade, some bars report zero trades even though 100 contracts were traded. Is this a problem related to large orders that exceed the size of the bar volume setting?
    Last edited by FMtrader; 05-16-2019, 01:36 AM.

    Comment


      #3
      Hello FMtrader,

      Thank you for your note.

      So I may attempt to reproduce on my end, could you please let me know what data provider you are connected to? Additionally, could you please post a screenshot of your Indicator settings window?

      I look forward to assisting further.
      Chris Sch.NinjaTrader Customer Service

      Comment


        #4
        Originally posted by NinjaTrader_ChrisSch View Post
        Hello FMtrader,

        Thank you for your note.

        So I may attempt to reproduce on my end, could you please let me know what data provider you are connected to? Additionally, could you please post a screenshot of your Indicator settings window?

        I look forward to assisting further.
        Hi Chris

        The data service was a continuum demo recently signed up on your website. I was using that to do some basic tests of your new indicators and noticed some anomalies when compared to other 3rd party indicators I own. I set up a basic 100 volume ES Chart just to investigate issues I was seeing on my other charts.

        I have attached
        - Delta Indicator Settings
        - Screen shot of block volume issue
        - Block Volume Indicator settings
        Attached Files

        Comment


          #5
          Hello,

          I have been able to reproduce this on my end with multiple data feeds. I will investigate the reasoning behind this further and will update you as I get more information on why this is occurring.

          Thank you for your patience-
          Ryan S.NinjaTrader Customer Service

          Comment


            #6
            Hello,

            This is a limitation of the cumulative delta indicator when working with volume bars, as volume bars can split one tick into many bars.
            • This issue only affects Volume-based bars
            • This issue affects historical and real-time values
            • When this issue happens, volume is not evenly distributed between cumulative delta bars but instead all dumped into the first bar created by a single tick
              • All subsequent bars created from that tick would have no volume on cumulative delta
            • This issue could also be seen (in a slightly different way) when running BuySellVolume on a volume chart

            Please let us know if you have any further questions.
            Ryan S.NinjaTrader Customer Service

            Comment

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