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Investor R/T vs. Marketdelta vs. GOM
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Investor R/T vs. Marketdelta vs. GOM

  #11 (permalink)
Market Wizard
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DionysusToast View Post
Cumulative delta based on trades @ bid vs trades @ offer can't possibly be valid unless it's connected 24/6 or backfilled. It'll simply be wrong. You will see bars but they won't contain the correct data.

Long term Volume profiles based in IRT are (as far as I know) based on 1 mins bars and not actual volume at price. I imaging GOMI does the same but you cannot draw on a custom profile onto a long term chart with GOMI which I think is a necessity when looking at local ranges.

especially over such a long period I would say that cum delta based on up / down tick is more than sufficient. so no need to be connected 24/7 or backfilled.

with gom mp you even have choices

- ninja tick file, which is pretty precise and low on resources
- minute data, which is NOT very precise but low on resources
- 1 tick data, which is very precise but high on resources

I have no clue what you mean with: "you cannot draw on a custom profile onto a long term chart with GOMI which I think is a necessity when looking at local ranges"

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  #12 (permalink)
Market Wizard
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Silvester17 View Post
especially over such a long period I would say that cum delta based on up / down tick is more than sufficient. so no need to be connected 24/7 or backfilled.

with gom mp you even have choices

- ninja tick file, which is pretty precise and low on resources
- minute data, which is NOT very precise but low on resources
- 1 tick data, which is very precise but high on resources

I have no clue what you mean with: "you cannot draw on a custom profile onto a long term chart with GOMI which I think is a necessity when looking at local ranges"

I disagree - Cumulative Delta is all about consumption of liquidity. The only way to see consumption of liquidity is what hit the bid & offer.

Forr uptick/downtick - how can a tool accurately assess that on anything less than a 1 tick chart? Price bars only give you OHLC and volume, so what you will see is an estimation of what the upticks/downticks were. So with no historical backfill, on a 60 min chart, your upticks/downticks won't be correct.

The last bit was on how IRT allows you to draw custom profiles over ranges on your charts. Probably not a huge issue but definitely useful.

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  #13 (permalink)
Market Wizard
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DionysusToast View Post
I disagree - Cumulative Delta is all about consumption of liquidity. The only way to see consumption of liquidity is what hit the bid & offer.

Forr uptick/downtick - how can a tool accurately assess that on anything less than a 1 tick chart? Price bars only give you OHLC and volume, so what you will see is an estimation of what the upticks/downticks were. So with no historical backfill, on a 60 min chart, your upticks/downticks won't be correct.

The last bit was on how IRT allows you to draw custom profiles over ranges on your charts. Probably not a huge issue but definitely useful.

I really don't want to go further in details here. if you need more details, just do a search and you should find them.

- up / down tick: again you don't need a backfill and they will be correct. on a 60 min chart, you can even have them with a 1-tick data series.

- with gom mp you can draw as many custom profiles over ranges as you wish.

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  #14 (permalink)
Market Wizard
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Silvester17 View Post
I really don't want to go further in details here. if you need more details, just do a search and you should find them.

- up / down tick: again you don't need a backfill and they will be correct. on a 60 min chart, you can even have them with a 1-tick data series.

- with gom mp you can draw as many custom profiles over ranges as you wish.


Don't worry @Silvester17, I'm not going to go all anal retentive on you.

Put aside the validity of the uptick/downtick delta format. If you look @ what FT71/L2ST do, they both have long term profiles that span back potential years.

I take you at your word that you can use 1 tick bars to build up a 60 min bar profile. To do that you'd need to be paying for IQFeed because most feeds wont give you that qty of tick bars going back.

This aside, have you done this in Ninja? I'm tempted to myself, I imagine having a NinjaTrader chart working on 12 months of 1 tick data would be a machine killer. Does it actually still let you use the rest of your PC?

My only point here is that IRT was made to do this but I think saying Ninja can do what IRT does for long term profiles seems a lofty claim considering the sheer volume of 1 tick data Ninja would need to crunch.

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  #15 (permalink)
Market Wizard
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DionysusToast View Post
Don't worry @Silvester17, I'm not going to go all anal retentive on you.

Put aside the validity of the uptick/downtick delta format. If you look @ what FT71/L2ST do, they both have long term profiles that span back potential years.

I take you at your word that you can use 1 tick bars to build up a 60 min bar profile. To do that you'd need to be paying for IQFeed because most feeds wont give you that qty of tick bars going back.

This aside, have you done this in Ninja? I'm tempted to myself, I imagine having a NinjaTrader chart working on 12 months of 1 tick data would be a machine killer. Does it actually still let you use the rest of your PC?

My only point here is that IRT was made to do this but I think saying Ninja can do what IRT does for long term profiles seems a lofty claim considering the sheer volume of 1 tick data Ninja would need to crunch.

no, I haven't done this in nt. pretty sure it would take some time to load.

of course this is a matter of opinions, so imho I don't see a big advantage using these kind of tools for day trading. I'm going more and more away from the "big picture" view and concentrate fully on order flow.

but I agree about irt. if that kind of stuff plays a big part in your trading, then irt would be the way to go.

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  #16 (permalink)
Elite Member
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What about sierrachart? Can it do the job just as good?

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  #17 (permalink)
Elite Member
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NinjaTrader 8 will support the following:

- Each stored tick record will hold bid and ask price known at time of trade
- Our historical data servers will record and store this data (CQG, Zen-Fire, BigTick and FXCM)
- Kinetick supports this data as well
- Indicators and any object that can access historical data has the ability to access this data
- On any time frame chart you will have the ability on adding the indicator to “replay” all ticks that make up the bar so that the historical indicator calculations will be based of all ticks of that bar

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  #18 (permalink)
Elite Member
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When is NT8 being released?

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