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Market Delta for MC
Started:July 26th, 2011 (08:15 AM) by lax00 Views / Replies:2,513 / 2
Last Reply:July 28th, 2011 (03:06 PM) Attachments:0

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Market Delta for MC

Old July 26th, 2011, 08:15 AM   #1 (permalink)
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Market Delta for MC

Please see this thread for code for a Market Delta indicator:

multicharts. com

With a couple of little adjustments I was able to get it to compile and run, however it does not display correct data... trade volume is sometimes added to the wrong column (buys in the sell volume and vice versa).

Hunting around, I came across this as a likely reason:

"TS & MC are not the best platforms for this type of work. In a nutshell the mechanisms they use to get bid and ask (insidebid,insideask) do not return the data synchronously. They return the current bid and ask not the value that occurred at the time of the tick that you are processing."

Can this issue be resolved with the enhancements in MC7? Also forgive my ignorance, but surely the trade tick information says if the trade was a buy or a sell?

Final problem... I want to use this on a tick chart (say 1500 ticks), but sometimes the most recent bar is drawn on top of the prior bar for part of the 1500 ticks before being drawn in the correct position , and sometimes a whole bar is left empty with no volume deltas drawn.

Any assistance or thoughts apreciated!

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Old July 26th, 2011, 08:15 AM   #2 (permalink)
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Old July 28th, 2011, 03:06 PM   #3 (permalink)
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Hmm. I am using cumulative delta volume on MC7 and compared it to Sierra Chart and Investor/RT and the results were identical. Those platforms have known-good calculations, so I feel the method for determining bid ask volume is working correctly in MC7

You might check here:


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