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Cumulative delta algo ?
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Cumulative delta algo ?

  #1 (permalink)
Elite Member
Paris, France
Futures Experience: Intermediate
Platform: SC, NT, ToS
Favorite Futures: CME & Eurex Futures
Posts: 116 since Apr 2011
Thanks: 336 given, 187 received

Cumulative delta algo ?


I use GomCD but would like to have a better understanding of the Cumulative Delta algorithm because it can be applied on volume but also on trades, etc...
This may look obvious, but I believe it is not. For ex, what happens when Bid=Ask.

I would appreciate your comments on :
1. the definition of cumulative delta volume
2. or, on the ninja pseudo code below.

Cumulatice delta volume is :
Delta is up when Price is at or above Ask, down when Price is at or below Bid.
when Ask = Bid, Delta is unchanged.

And can be coded as follow :
double currentBid         = 0;
double currentAsk         = 0;
double currentPrice     = 0;
long   currentVolume   = 0;
long   cumulativeDelta     = 0;

protected override void OnMarketData(MarketDataEventArgs e)
    if    ( e.MarketDataType == MarketDataType.Bid ) 
        currentBid    =    e.Price;
    else if    ( e.MarketDataType == MarketDataType.Ask ) 
        currentAsk    =    e.Price;
    else if ( e.MarketDataType == MarketDataType.Last ) 
        currentPrice = e.Price;
        currentVolume= e.Volume;
        if ( currentPrice >= currentAsk )
            cumulativeDelta += currentVolume;
        if ( currentPrice <= currentBid )
            cumulativeDelta -= currentVolume;
Thank you.

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