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Order Flow Cumulative Delta Up Down Tick Volume

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    Order Flow Cumulative Delta Up Down Tick Volume

    Hello,
    Bid Ask Accumulates the volume of orders filled at the bid or less vs ask or more. Orders filled at the ask or more price are considered buying pressure. Orders filled at the bid or less price are considered selling pressure. If the current tick price is between ask and bid, the volume will be recorded to the same pressure as the previous tick.
    Up Down Tick Accumulates the volume of up ticks vs down ticks. Up ticks are considered buying pressure. Down ticks are considered selling pressure. If the current tick price is the same as the previous tick price, the volume will be recorded to the same pressure as the previous tick.
    I've bolded part of the definition for the calculation from the documentation.

    I wanted to clarify that in this context, "volume" is synonymous with "number" or "quantity" of up/down ticks. Put another way, is this value calculated by summing the number of up ticks vs the number of down ticks? As opposed to referring to a volume of orders filled.

    Or, on the other hand, is it referring to volume as the quantity of contracts transacted at the moment of an up tick vs down tick.

    Thanks!

    #2
    Hello butt_toast,

    It refers to the volume as the quantity of contracts transacted at the moment of an up/down tick. I tested the Order Flow Cumulative Delta in combination with a T&S window using the Simulated Data Feed. The Order Flow Cumulative Delta indicator updated with the volume of each tick, not the amount of ticks.
    JasonNinjaTrader Customer Service

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      #3
      Originally posted by NinjaTrader_Jason View Post
      Hello butt_toast,

      It refers to the volume as the quantity of contracts transacted at the moment of an up/down tick. I tested the Order Flow Cumulative Delta in combination with a T&S window using the Simulated Data Feed. The Order Flow Cumulative Delta indicator updated with the volume of each tick, not the amount of ticks.
      Thanks Jason that's very helpful.

      I guess I could have done that myself but instead was too lazy and posted here lol.

      Thanks again for your helpful effort.

      Comment

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