cumulative delta volume 'ask/bid' vs 'uptick/downtick' | Traders Hideout - futures trading strategies, market news, trading charts and platforms

Traders Hideout

Discuss day trading practices and futures trading strategies on this forum for all markets. This forum is also for discussing and reviews for brokers, data feeds, and commercial or third party add-ons


cumulative delta volume 'ask/bid' vs 'uptick/downtick'

  #1 (permalink)

Trading Experience: Beginner
Platform: NT / Proprietary
Broker/Data: IB / may be Kinetic
Favorite Futures: ES, CL, NQ, YM, 6E
Posts: 25 since Nov 2015
Thanks: 162 given, 6 received

cumulative delta volume 'ask/bid' vs 'uptick/downtick'

I watch the seminar "cumulative delta volume" (pretty cool)

1) I understand there are 4 modes ['ask/bid' vs 'uptick/downtick'] of ['Volume' or 'nb of trades'], but I do not get well what is the difference between ask and uptick? an uptick is when the price move up; ask is when hitting the ask
To make thing easier let's imagine this serie of price/qty: 99/2, 100/3, 100/2, 100/1
- So in the case of ask volume I need to increment the ask counter by volume when the trade is at the ask (counter should be at 3+2+1)
- In the case of ask 'nb of trade' I need to inc a counter of +1 everytime the trade is at the ask (counter should be at 1+1+1)
- In the case of uptick volume, do I need to inc a counter only when the tick went up? it means the counter increase at 3 (first time it moves up, it had a vol of 3)?
- In case of uptick '# of trades' I need to inc a counter at 1 the first time the price move 1 tick up
Is this correct? (I'm asking becaue in few places, it says for uptick, the counter increase for the first one but also if it hit the same price, which I do not understand as I think it will be the same as ask)
I will think uptick '# of trades' will be pretty correlated to the price and the ask volume to the vwap (without the division...), is it correct?

2) at 1h29m I see people have been buying at least 6000 contracts from 1.4256 to 1.38 (6K contracts are left) and then the price goes up, but it doesn't get back to the same level but a tiny bit lower than 1.4256..
how did they make some money if the price didn't go at least upper? or they need to add more position but the 6K do not seem to have made money, correct? I think there is something I do not get

Thanks for your help

Reply With Quote