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Trade Point Technologies

  #32 (permalink)

Hartford, CT. USA
Trading Experience: Intermediate
Platform: NinjaTrader
Broker/Data: AMP/CQG, Kinetick
Favorite Futures: RTY
RJay's Avatar
Posts: 685 since Jun 2009
Thanks: 745 given, 768 received

Prtester View Post
In the NT Forum theres an indicator named GOMCD with a recorder indicator, in the file the author "define" the following :

if (ask<bid) // should not happen but does
                    if (price<ask)             tickType=TickTypeEnum.BelowBid;
                    else if (price==ask)     tickType=TickTypeEnum.AtAsk;
                    else if (price<bid)     tickType=TickTypeEnum.BetweenBidAsk;
                    else if (price==bid)     tickType=TickTypeEnum.AtBid;
                    else                     tickType=TickTypeEnum.AboveAsk;
                else if (bid<ask) //normal case
                    if (price<bid)             tickType=TickTypeEnum.BelowBid;
                    else if (price==bid)    tickType=TickTypeEnum.AtBid;
                    else if (price<ask)        tickType=TickTypeEnum.BetweenBidAsk;
                    else if (price==ask)     tickType=TickTypeEnum.AtAsk;
                    else                    tickType=TickTypeEnum.AboveAsk;
                else //bid==ask, should not happen
                    if (price<bid)            tickType=TickTypeEnum.BelowBid;
                    else if (price>ask)        tickType=TickTypeEnum.AboveAsk;
                    else                    tickType=tickType=TickTypeEnum.BetweenBidAsk;
Then according to this she calculates the cumulative delta, don't know if this information is what you look for or help you.


I don't know about you, but this is beyond my limited expertise.

I'm going to do some more studying and thinking, then ask the source!!!


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