Inverted head and shoulders on the SPX?

Quote from foreverstudent:

Yes, I believe so. Let's give it a go. Could you tell me if today's ES S&P mini 1min/ accumulative delta bar chart using the new IRT version looks right?
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spot on :cool:
 
Quote from chuckt101:

spot on :cool:
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This chart ( http://www.elitetrader.com/vb/attachment.php?s=&postid=2355542 ) got my attention !

I coded a Cumulative Delta Vol using Ninja and eSignal feed and here is what I got live :


This was nothing near foreverstudent's chart (no lower lows in the afternoon), so I played a replay, and here is what I got :


Spot on !

chuckt or AMT4SWA, could you confirm the second one is the correct one, with lower lows on CD in the afternoon ?

Have you CD guys already experienced this kind of discrepancy between live and replay with ZenFire, or any other feed ?

Thanks a lot.
 
Quote from AMT4SWA:

On a side note for some of you sharp programmer/computer types (like some of the posters in this thread.....you guys are GOOD!).......take a look at SPY and QQQQ using the delta and see the data inconsistencies there. I started to look at these two instruments a few years ago and then just never took the time to finish the work.......can any of you sharp guys find any fixes??? It would be nice to find a "clean" way to track the delta data for these instruments too!


THNX In Advance! :cool:
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I took a look at these transactions a while back B.D. (before delta hehe). These instruments trade in very many weird exchanges (Cinccinnatti??? wtf). (in comparison with futures which trade in a single centralized exchange), and strange transactions happen (or are reported) on an untimely basis, including after hours, cancelling big trades, etc, etc. As if "someone" very big was taking money out of one pocket and putting it in the other, etc, etc. Most volume goes off in NYSE for example, but then there are a few odd, unusually large transactions in another exchange, that do not get reported timely, or only after hours, cancels, etc.

Looks like interbank forex or cash gold: Can't never be sure of the volume transacted (unless you are "running the game").

Just my 2c.

JW
 
great job on the code!

let me get this straight.. You're saying your live eSignal feed produced the first chart and the tick data collected from that feed was then replayed and it produced the second (correct chart)?

This is odd; you may have read earlier, I was having problems with obtaining a chart that "made sense". I have not had a chance to verify the accuracy of the ninjatrader replay utility but if anything I would have expected the replay to be wrong, not the live feed. I plan to run some tests this weekend to compare replay with the live data I collected this week.


p.s. for what it's worth, I saw an IRT/eSignal live combination for yesterday that produced an incorrect chart. Feed or platform I can't say...
Quote from gomifromparis:

This chart ( http://www.elitetrader.com/vb/attachment.php?s=&postid=2355542 ) got my attention !

I coded a Cumulative Delta Vol using Ninja and eSignal feed and here is what I got live :


This was nothing near foreverstudent's chart (no lower lows in the afternoon), so I played a replay, and here is what I got :


Spot on !

chuckt or AMT4SWA, could you confirm the second one is the correct one, with lower lows on CD in the afternoon ?

Have you CD guys already experienced this kind of discrepancy between live and replay with ZenFire, or any other feed ?

Thanks a lot.
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