Platform: Sierra Chart, TOS, Tradestation, NinjaTrader
Favorite Futures: energy
Posts: 114 since Jul 2012
Thanks: 80 given,
I dont know. there could be some differences in CME products depending on MDP 3.0 vs bundled. I dont have access to both to run a comparison. My hope is that it wouldnt be too different on appropriate time frames (such as what i posted), but may look wildly different on a volume based BvA/Numbers chart, or a fast 300 tick chart. Ive watched it for many years on a number of different products, platforms and data providers, and they have all had about the same character and behavior on 3-5min bar timeframes.
The following user says Thank You to hobart for this post:
I think @hobart has given a good explanation and ties in OF & nuances of how it is done. @hobart thnx.
Its what happens during and after the markets hit which causes the ebbs in OF and how participants react or capitulate which hobart described. Also the way in which the market orders are generated. Its not that i understand all of it... but its the key to markets....
cheers n only good luck...your questioning mind is on the right track
This post has been selected as an answer to the original posters question
I think it's easier to explain with a footprint chart.
a delta can be seen on every single price level. in my example we look at the transaction at 1,922.25. at that time the market was 1,922.00 (bid) to 1,922.25 (ask). a marketable order (marketable orders are either market orders, or buy and sell limit orders whose limit price is at or above/below the current market price. A marketable buy limit order would have a limit price set at or above the current ask in the market) was executed at the offer (1,922.25). meaning a buyer of 3 contracts hit a limit order at that price. now we have a buyer of 3 contracts and a seller of 3 contracts. same amount of buyers and sellers. but since the transaction happened on the offer (ask), we now have a positive delta of 3.
of course you can also analyze the delta of candles, the whole session etc, whatever you want to.
time & sales also reports a buy of 3 contracts at 1,922.25 at around 16:15. again we need a marketable order to hit a limit order to have a transaction.
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The following 7 users say Thank You to Silvester17 for this post:
and how is possible that the delta(at candle end) is negative and the candle end bullish.. and viceversa??
In this case... limit orders at bid (passive buyers) are more strongest than sellers (market orders. aggressive sellers) ??
The following user says Thank You to jossfx for this post:
yes, exactly. it's called a delta divergence. many times this happens at a swing low (your example) or a swing high. not a entry signal one can take blindly, but still a pretty interesting piece of information.
there're various indicators to help recognize the divergence. like this one here: