cumulative delta volume 'ask/bid' vs 'uptick/downtick' | Traders Hideout


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

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Legendary Market Wizard
Calgary, Alberta
 
Trading Experience: Advanced
Platform: NinjaTrader 8
Broker/Data: Kinetick
Favorite Futures: ES
 
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Posts: 1,102 since Apr 2012
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I can answer in part. I have not watched the webinar you referred to, however...

It does not make sense to look at both uptick/downtick volume and bid/ask volume in parallel. In fact the uptick/downtick volume method is typically viewed as an approximation of the bid/ask method.

Historically with NT7, the bid and ask traded volume was not available in an orderly fashion. The reason was the time stamp granularity of 1 second that was imposed by NinjaTrader, so it made it impossible to synchronize order book data with trade data.

This resulted in the bid and ask traded volume only being available in real-time. You would need the chart to fill with live data until a sufficient number of bars was available but everything would disappear again when pressing F5 or adding a new indicator.

The infamous GOM database allowed for storing bid and ask data as historical data (GOM recorder), but it was very cumbersome and a pain to setup.

Therefore the uptick/downtick with continuation method was used, which allowed approximating the genuine delta by using historical / real-time data in NinjaTickFile format. The uptick/downtick continuation is between 75% to 85% accurate, which is probably good enough for trading.

With NinjaTrader 8, it is possible to load bid and asked data which is synchronized with trade data, due to microsecond granularity. However, this multiplies the weight of your historical data base.

You can therefore either use the uptick/downtick with continuation method (requires trade data only) or use the bid and ask traded volume method (requires both trade data and level 1 order book data)

The two methods should not be used together as there is no benefit, just adds to the confusion.

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