Hello,
During fast markets, I am seeing some values from the Order Flow Cumulative Delta that don't seem correct.
The attached screen grabs show two green bars that occurred with the exact same timestamp of 08:12:41.757 according to the data box.
The total volume reported by VOL was 15 in the first bar and 33 in the second.
The Delta High/Low/Close from the Cumulative Delta indicator in both bars doesn't seem likely given the price action and volume reported by VOL. The Delta Close was -4 in the first bar and -4 in the second bar.
The old Buy Sell Volume indicator reports the delta as +7 in the first and +33 in the second. Which seems more likely than not to be correct given the quick price movement up. Using the old Buy Sell shows a +40 delta on total volume of 48 for these two bars.
I am calculating delta in the BuySellVolume indicator by using: Delta = Buys - Sells - Sells
I don't know if this happens live, I noticed it after the fact when I reloaded my chart. I presume it does if it's happening when I have tick replay enabled and calculate set to OnEachTick.
So two questions:
1) Is the Order Flow Cumulative Delta indicator incorrect?
2) Is calculating delta this way using the Buy Sell Volume valid?
Chart:
NQ 3 Range Chart
Date: 3/29
OrderFlow Cumulative Delta(BidAsk,Bar,0)
UPDATE: I attached a third screen grab that shows a third red bar that occurred only 4 milliseconds after the first. It shows some other discrepancies. In this bar, total volume was reported by VOL to be 4 but the Delta Close was +41. I guess this is where the missing trades from the second bar went to.
If you assume the data reported from the cumulative delta indicator on the second bar is an incorrect copy of the first bar, you get + 38 across all three bars ( -4 + 42 ) which matches what the Buy Sell indicator shows across all three bars:
15-4-4 = 7
33-0-0 = 33
4-3-3 = -2
Total: 7 + 33 - 2 = 38
During fast markets, I am seeing some values from the Order Flow Cumulative Delta that don't seem correct.
The attached screen grabs show two green bars that occurred with the exact same timestamp of 08:12:41.757 according to the data box.
The total volume reported by VOL was 15 in the first bar and 33 in the second.
The Delta High/Low/Close from the Cumulative Delta indicator in both bars doesn't seem likely given the price action and volume reported by VOL. The Delta Close was -4 in the first bar and -4 in the second bar.
The old Buy Sell Volume indicator reports the delta as +7 in the first and +33 in the second. Which seems more likely than not to be correct given the quick price movement up. Using the old Buy Sell shows a +40 delta on total volume of 48 for these two bars.
I am calculating delta in the BuySellVolume indicator by using: Delta = Buys - Sells - Sells
I don't know if this happens live, I noticed it after the fact when I reloaded my chart. I presume it does if it's happening when I have tick replay enabled and calculate set to OnEachTick.
So two questions:
1) Is the Order Flow Cumulative Delta indicator incorrect?
2) Is calculating delta this way using the Buy Sell Volume valid?
Chart:
NQ 3 Range Chart
Date: 3/29
OrderFlow Cumulative Delta(BidAsk,Bar,0)
UPDATE: I attached a third screen grab that shows a third red bar that occurred only 4 milliseconds after the first. It shows some other discrepancies. In this bar, total volume was reported by VOL to be 4 but the Delta Close was +41. I guess this is where the missing trades from the second bar went to.
If you assume the data reported from the cumulative delta indicator on the second bar is an incorrect copy of the first bar, you get + 38 across all three bars ( -4 + 42 ) which matches what the Buy Sell indicator shows across all three bars:
15-4-4 = 7
33-0-0 = 33
4-3-3 = -2
Total: 7 + 33 - 2 = 38
Attached Files
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