Delta plotting

[tonynt]

Hello,

I want to ask about the plotting of orderflowcumulativedelta eg in the attached screenshot. Why has the delta of the bar (shown with the arrow) a lower close than the bar before when there is a higher sum of asks than sum of bids in that bar (there is no filter set in the orderflowcumulativedelta or volumetric dataseries). Sum ask is 49 and the sum bid is 32 to see in attached file NT8delta.jpg.
Later I added another sample NT8_delta2.jpg showing the same situation.

I do not mix up cumulativedelta with delta of bar. And I know that it must not be a green cumulativedeltabar with higher sum of asks than bids. But why is the close of the cumulativedelta this bar lower than the bar before? I should be higher because of asks>bids.

Thank you!
Tony

[NinjaTrader_Marco]

Hello tonynt,

Thank you for your post.

Can you please provide a screenshot of the Indicator's parameters window and a screenshot of the Data Series Parameters window so we can replicate this on our end and better understand what may be occurring here?

I look forward to your reply.

[tonynt]

Hello,

thank you for your reply. Please see attached the screenshots.

Tony

[NinjaTrader_Kate]

Hello tonynt,

Thank you for your reply.

I believe the discrepancy in what you're expecting to see would be due to those bars cumulating over the session rather than being bar by bar; however, I will need to look further into this since those two items are proprietary and I don't have direct access to that code to see why that may be occurring or if it may be expected. I will check with our development team and let you know what I find out.

Thanks in advance; I look forward to assisting you further.

[tonynt]

Hello,

thank you for your reply. I run it on another computer and there it shows the same behavior. In the attached screenshot I have added the stats so you see that the delta of the bar I´m referring to is -34 and the CumDelta is therefore 34 lower than the bar before (7670-34=7636). But the deltacandle is green. Why?

I experienced this when my script - that I was coding very accurately - gave me different signals than I saw in the deltabar. What will give me the OFcumDeltaClose[0] here, a higher close than the Close[1]? Or what should give the OFCumDeltaClose[0] here?

Thank you!
Tony

[NinjaTrader_Kate]

Hello tonynt,

Thank you for your patience.

I've gotten some further information about how the cumulative delta is calculated from our dev team, and it's not as simple as just what the delta of the bar is.

Here's how it works:

For each tick, when the last price is >= ask → volume is added. When last price is <= bid, volume is subtracted. When price is in-between → whatever was done last is done again. This is tracked per bar via OHLC plots. In session mode, the open is the close of the last bar until new session, then it resets to 0. In bar mode, the open is always 0.

So, basically, it's dependent on where the last price is in relation to the bid and ask prices for each tick - it's not just the bar delta itself that determines whether it's a up or down bar.

Please let us know if we may be of further assistance to you.

[Swing123]

Hi
This is not my thread, but i am following and very interested to understand why the matter Tonynt has tagged is occuring.

Can you please explain in more layman type terms, what you mean by

" For each tick, when the last price is &gt;= ask → volume is added. When last price is &lt;= bid, volume is subtracted. When price is in-between → whatever was done last is done again. This is tracked per bar via OHLC plots. In session mode, the open is the close of the last bar until new session, then it resets to 0. In bar mode, the open is always 0."

Thanks
Swing

[NinjaTrader_Kate]

Hello Swing123,

Thank you for your reply.

Looks like the forum may have originally stripped greater than and less than signs from my reply - I've put them back in there which should be a bit less confusing.

To clarify, though, let's say we have a 10 tick bar series, and we are looking at the first bar of the session. Either way, the open of the first cumulative delta bar will be 0. For each tick that comes in, it will compare the last traded price to the current ask and bid. If the last traded price is greater than the ask, the volume for the tick is added to the open of the bar. If the last traded price is less than the bid, we subtract that volume. If the price is between the two, whatever was done for the previous tick is repeated.

So let's say I have a first tick that has 3 volume, and the last price is greater than the ask. In that case, 3 volume gets added to whatever the close value is. The next tick, the last price is between the ask and bid. Since last time we added the volume, we do that again for this tick's volume. The next tick sees the last price below the bid, so it subtracts the volume for that tick. If the last price goes back between the bid and ask on the next tick, it would subtract the volume for that tick again, and so on, until the end of the bar.

Hopefully that clarifies a bit!

Please let us know if we may be of further assistance to you.

[Swing123]

Hi Kate
sorry for the delay in my reply.

Yes the extra info makes it very clear and is very helpful.
Thank you.
Cheers
Swing