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?
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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?Last edited by FMtrader; 05-16-2019, 12:48 AM.Tags: None
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Originally posted by FMtrader View PostHello
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?Last edited by FMtrader; 05-16-2019, 01:36 AM.
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Originally posted by NinjaTrader_ChrisSch View PostHello 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.
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
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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
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