Market Delta strategies
- Thread starter newbie2006
- Start date
As I always say, market delta alone is useless, you have to combine it with the price action to start jumping to conclusions.
If you see increasing market delta while the price is not increasing this usually means some evil big seller sitting on the ASK, and usually all of a sudden you will see dramatic decreasing in market delta with falling price.
If you see increasing market delta while the price is not increasing this usually means some evil big seller sitting on the ASK, and usually all of a sudden you will see dramatic decreasing in market delta with falling price.
Yes, IB for prototyping and also once some bugs have been resolved opentick data.
If you use IB, you'll need to be aware of the effect that the data bundling has on time and sales and market delta etc.
Take a look at the MarketDelta videos. Specifically, this video. It explains it very clearly and in very simple terms for anyone interested:
http://www.marketdelta.com/recordings/MD_Simplified.wmv
I'll refrain from providing any further explanations of my own as it seems to be a highly contentious topic.
Thanks 5Pillars. I found that blog thanks to the Yahoo! Market Delta group which also has some good content on there.
Momenythansens
Thanks for sharing.
Ok, will try to explain what fearless9 meant. Fearless9, feel free to correct me if I'm wrong. By sharing with one another we become better ourselves.
What marketdelta.com and many of us mean when we say 'aggressive buys' are trades at the ask side (and vice versa for aggressive sell).
However, in the real context this is not exactly true as one may enter a limit order to buy at a lower price. However, if the market happens to 'jump to a lower price, this limit order will then be executed at the ask price. Most softwares will capture this 'limit order' as an aggressive buy when in true fact, it is a 'passive buy'. As far as I know there is no software yet that will be able to capture the 'real context' as wished by fearless9. IMHO, I think that it would be very difficult as there are many factors to consider such as late reporting etc. Also, I don't think that this 'inaccurate capturing' will materially affect any strategies etc. As such, we tend to use the terminoloy that marketdelta.com offers.
Hope this helps
Thanks for sharing.
Ok, will try to explain what fearless9 meant. Fearless9, feel free to correct me if I'm wrong. By sharing with one another we become better ourselves.
What marketdelta.com and many of us mean when we say 'aggressive buys' are trades at the ask side (and vice versa for aggressive sell).
However, in the real context this is not exactly true as one may enter a limit order to buy at a lower price. However, if the market happens to 'jump to a lower price, this limit order will then be executed at the ask price. Most softwares will capture this 'limit order' as an aggressive buy when in true fact, it is a 'passive buy'. As far as I know there is no software yet that will be able to capture the 'real context' as wished by fearless9. IMHO, I think that it would be very difficult as there are many factors to consider such as late reporting etc. Also, I don't think that this 'inaccurate capturing' will materially affect any strategies etc. As such, we tend to use the terminoloy that marketdelta.com offers.
Hope this helps
Please ignore my earlier explanation. On reading this a 2nd time, I think I did not explain it correctly. Maybe somebody can explain it better than me. There was some discussion on this a long time ago in ET and that's where I picked it up. Sorry for the confusion.
Quote from billp:
Momenythansens
Thanks for sharing.
Ok, will try to explain what fearless9 meant. Fearless9, feel free to correct me if I'm wrong. By sharing with one another we become better ourselves.
What marketdelta.com and many of us mean when we say 'aggressive buys' are trades at the ask side (and vice versa for aggressive sell).
However, in the real context this is not exactly true as one may enter a limit order to buy at a lower price. However, if the market happens to 'jump to a lower price, this limit order will then be executed at the ask price. Most softwares will capture this 'limit order' as an aggressive buy when in true fact, it is a 'passive buy'. As far as I know there is no software yet that will be able to capture the 'real context' as wished by fearless9. IMHO, I think that it would be very difficult as there are many factors to consider such as late reporting etc. Also, I don't think that this 'inaccurate capturing' will materially affect any strategies etc. As such, we tend to use the terminoloy that marketdelta.com offers.
Hope this helps