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Market Delta by bolter
- Thread starter bolter
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Here's the response from Trevor/Chad,
"Trades that occur at or above the ask are considered ask volume. Trades that occur at or below the bid are considered bid volume. Trades that occur between the bid and ask are handled in a proprietary manner which considers the distance between the bid and ask as well as the direction of recent price activity."
That should clear up the matter - sort of.
bolter
"Trades that occur at or above the ask are considered ask volume. Trades that occur at or below the bid are considered bid volume. Trades that occur between the bid and ask are handled in a proprietary manner which considers the distance between the bid and ask as well as the direction of recent price activity."
That should clear up the matter - sort of.
bolter
Ticktrade, perhaps you can help me out here - in MD/IRT how do you apply an indicator to indicator? For example, your MA in the VB. I haven't figured this out yet. Either I'm an idiot or it requires the Pro version (or both).
Looking forward to more great posts from you.
bolter [/B][/QUOTE]
The chart I posted has the VB study:accumlated >99 delta and another VB study accum. >99 and in the statistic box, average, period 10. In the bottom left you can tell it which pane to drop in or you can always click and drag. Hope this answered your question.
Another way to do an indicator of indicator is create a custom indicator. eg. MACD(VB) hit check and it will pop these up to fill in the paramaters as well as add the tokens to your token list. You have to be careful with running indicators of VB realtime. I was using a TSI(VB) that I set up over the weekend a while back. I liked what it did but when live data started coming it brought my pc to it's knees. If it isn't a Statistic function of the VB study it will overwhelm you computer. At least this is my experience.
I did some backtesting of when the VB and average VB(like in the posted chart) cross a couple weekends agao after you started this thread. During the first and last 90 minutes(non chop is better put) of trading this can work well. Anyway once again when live data came in the program acted like it was on ludes, I started deleting things I had changed over the weekend and finally found a signal marker on one of the charts representing the backtesting. Once deleted all was normal again.
Looking forward to more great posts from you.
bolter [/B][/QUOTE]
The chart I posted has the VB study:accumlated >99 delta and another VB study accum. >99 and in the statistic box, average, period 10. In the bottom left you can tell it which pane to drop in or you can always click and drag. Hope this answered your question.
Another way to do an indicator of indicator is create a custom indicator. eg. MACD(VB) hit check and it will pop these up to fill in the paramaters as well as add the tokens to your token list. You have to be careful with running indicators of VB realtime. I was using a TSI(VB) that I set up over the weekend a while back. I liked what it did but when live data started coming it brought my pc to it's knees. If it isn't a Statistic function of the VB study it will overwhelm you computer. At least this is my experience.
I did some backtesting of when the VB and average VB(like in the posted chart) cross a couple weekends agao after you started this thread. During the first and last 90 minutes(non chop is better put) of trading this can work well. Anyway once again when live data came in the program acted like it was on ludes, I started deleting things I had changed over the weekend and finally found a signal marker on one of the charts representing the backtesting. Once deleted all was normal again.
ticktrade,
Thanks for that - seems rather obvious when you point it out. Sometimes it's the little things that defeat me.
FYI - Chad sent the following to me earlier, possibly in response to your comments. Obviously he's keeping a sneaky little eye on this thread.
"I've added the ability to apply any other indicator to the VB indicator...directly from within the VB indicator. There is now a new Statistic called "Indicator"....that when chosen, presents you a list of indicators (and allows you to specify their preferences). So can do the CCI of VB, MA of VB, MACD of VB, etc."
bolter
Thanks for that - seems rather obvious when you point it out. Sometimes it's the little things that defeat me.
FYI - Chad sent the following to me earlier, possibly in response to your comments. Obviously he's keeping a sneaky little eye on this thread.
"I've added the ability to apply any other indicator to the VB indicator...directly from within the VB indicator. There is now a new Statistic called "Indicator"....that when chosen, presents you a list of indicators (and allows you to specify their preferences). So can do the CCI of VB, MA of VB, MACD of VB, etc."
bolter
Quote from dcraig:
These figures come from bid and ask as reported in Level 1 feed. They may or may not be the same if best bid and ask from Level 2 stream is used. I havn't tried the latter.
One market that is a bit odd is SGXNK. As we know, tick size is 5 pts, but trades are frequently reported at other than a multiple of tick size. These will fall between bid and ask. IB say the trade prices are correct. I don't fully understand this, but I assume these trades are not going through the book ?
Hi dcraig,
This is an IB specific thing. I used to see it all the time too. Since switching to DTN I have NEVER seen that occur. My thinking was that IB snapshot presents you with an average price, thus they sometimes show between the 5 pt intervals.
Kind regards,
MK
Quote from MidKnight:
Hi dcraig,
This is an IB specific thing. I used to see it all the time too. Since switching to DTN I have NEVER seen that occur. My thinking was that IB snapshot presents you with an average price, thus they sometimes show between the 5 pt intervals.
Kind regards,
MK
Hi MK,
To the best of my knowledge IB reports LAST not average price. It seems that this is something peculiar to SGXNK (or perhaps SGX) and IB. I have received a PM from somebody at IB who is following it up further. I'll post any update as it becomes available.
Quote from dcraig:
Hi MK,
To the best of my knowledge IB reports LAST not average price. It seems that this is something peculiar to SGXNK (or perhaps SGX) and IB. I have received a PM from somebody at IB who is following it up further. I'll post any update as it becomes available.
Get quotes for the Osaka mini Nikkei if you are intrested in trading the Nikkei. That market is much more liquid.
Getting this thread back on topic ....
On the other MD thread, I posted a couple of times about the order book delta (otherwise known as ACV). I define this to be ratio of total contracts at ask at all levels to total contracts in book. Which gives a maximum range of 0 to 1.0
One way of using this is to identify capitulation in a down move in conjunction with a bar of large negative delta.
On the attached charts the lower four subcharts are
1. Market delta as a 'histogram' type plot
2. Order book delta as a candlestick plot
3. Smoothed order book delta
4. Smoothed market delta
Both charts are from IB data feed and each bar is 10 'IB ticks' wide. In both cases we see a large negative market delta, but size has either started to, or soon after moves onto the ask in the book. While size stays on the ask or at least the order book delta is around 0.5 or higher, the upmove remains intact. This is a very common pattern.
I've read various explantions for 'the market moves towards size' but here's my take. At any time there are more or less equal numbers of buyers or sellers in the maket (otherwise it would take off at great speed). However they are not necessarily equally enthusiastic. When the market anticipates increasing price, the buyers are placing marketable orders (limit, market or stop). These are not visible in the book but their effect is visible in the market delta and time and sales. If you believe the market is rising, there is not a lot of point is placing a buy limit below last traded price. The market exists to facilitate trade. On the other hand, the sellers anticipating a rise in price, are placing sell limits which are visible in the book. In this sense, the order book on occasion leads all other indicators of market activity and shows a majority view of where the market is heading.
The charts:
On the other MD thread, I posted a couple of times about the order book delta (otherwise known as ACV). I define this to be ratio of total contracts at ask at all levels to total contracts in book. Which gives a maximum range of 0 to 1.0
One way of using this is to identify capitulation in a down move in conjunction with a bar of large negative delta.
On the attached charts the lower four subcharts are
1. Market delta as a 'histogram' type plot
2. Order book delta as a candlestick plot
3. Smoothed order book delta
4. Smoothed market delta
Both charts are from IB data feed and each bar is 10 'IB ticks' wide. In both cases we see a large negative market delta, but size has either started to, or soon after moves onto the ask in the book. While size stays on the ask or at least the order book delta is around 0.5 or higher, the upmove remains intact. This is a very common pattern.
I've read various explantions for 'the market moves towards size' but here's my take. At any time there are more or less equal numbers of buyers or sellers in the maket (otherwise it would take off at great speed). However they are not necessarily equally enthusiastic. When the market anticipates increasing price, the buyers are placing marketable orders (limit, market or stop). These are not visible in the book but their effect is visible in the market delta and time and sales. If you believe the market is rising, there is not a lot of point is placing a buy limit below last traded price. The market exists to facilitate trade. On the other hand, the sellers anticipating a rise in price, are placing sell limits which are visible in the book. In this sense, the order book on occasion leads all other indicators of market activity and shows a majority view of where the market is heading.
The charts:
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