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Order Flow Cumulative Delta values

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    Order Flow Cumulative Delta values

    I am testing an indicator that uses the Cumulative Delta values from the Order Flow Cumulative Delta indicator. I noticed a strange set of values on the ES March 22 contract chart where the computed value of delta is larger than the total volume on the bar.
    In the image, the Data Box shows the total volume on the 17:18 bar is 5. However, the Delta Open for the bar is shown as 11884 and the Delta Close as 12204, implying a positive delta of 320, which is more than 60 times greater than the total volume on the bar. So, how is the Cumulative Delta being calculated?

    Click image for larger version

Name:	ES 03-22 Cumul Delta.JPG
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    #2
    Hello Scotty33,

    I have not been able to find this bar, could you confirm if the discrepancy is still there after right clicking and selecting Reload All Historical Data?

    Could you also take a screenshot showing the 17:18 bar with Volumetric Bars with all Bar Statistics enabled?

    Please also let me know who your data provider is, and let me know your platform's time zone. (Control Center > Tools > Options > General)

    Thanks in advance.
    JimNinjaTrader Customer Service

    Comment


      #3
      Thanks for your reply Jim.
      Reloading historical data corrects the volumes on the bars that were showing low volumes (the 17:18 bar on yesterday's chart was not the only one with very low volume).
      I did another test today after restarting NT8 and saw the same problem.
      In the attached screenshot, I reloaded historical data on the 16:09 bar (my time zone is UTC + 1:00). Initially, it displayed just the top 6 or 7 price levels but then did a sharp drop on that bar with most price levels showing zero volume. Subsequent bars reverted to the very low volumes I described in my earlier post.
      My data provider is CQG Continuum.
      This is only a problem on the ES 03-22 contract. Other Futures contracts are plotting normally and the ES 12-21 contract had no problems.
      Let me know if you need any more information.

      Click image for larger version

Name:	ES 03-22 Volumetric.JPG
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      Comment


        #4
        Hello Sctooty33,

        Thanks for clarifying.

        This is going to show up when using a Merge Policy other than Do Not Merge, because the data from ES 12-21 is being used and we have not yet rolled over to ES 03-21. After you reload data, the ES 12-21 data is shown. Realtime data after that is using ES 03-22, but still has the previous ES 12-21 data.

        You can set the Control Center's Tools > Options > Market Data > Merge Policy option to Do Not Merge, and then if you reload all historical data on that chart, we will have all ES 03-22 data on the chart and will continue with the ES 03-22 realtime data.

        More information on Merge Policy can be found here - https://ninjatrader.com/support/help...rge_policy.htm
        JimNinjaTrader Customer Service

        Comment


          #5
          Many thanks for the explanation, Jim. I wasn't even aware of the Merge Policy.

          Comment

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