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Understanding futures market ( delta , time and sale )

  #10 (permalink)

Singapore
 
 
Posts: 65 since Apr 2015
Thanks: 15 given, 8 received



hobart View Post
First,i think your answer was tailored to the experience level of the original poster, and is a good simplification. i wanted to add to it with the delta piece

in context of "delta", there are three scenarios

a) MKT orders hitting the other side (causes delta to increment)
b) LMT orders hitting the other side (causes delta to increment)
c) MKT orders unable to locate a counterparty, and have to look to a new price level (extending range by a tick, causes delta)

thanks a lot for such a detailed explanation. i'm really appreciate it.
Apart from that, thanks for sharing the cumulative delta trading style.
Having different data provider, will the delta calculation among the data provider will be different as well because some of them are using bundle /unbundle feed. I'm asking this because i saw a post in link here that showing the different cumulative delta between DTNQIFEED and ZENFIRE .

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