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Difference between Cumulative Delta Bars (CDB) - Up/Down Tick Volume and CDB Volume


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Difference between Cumulative Delta Bars (CDB) - Up/Down Tick Volume and CDB Volume

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  #1 (permalink)
Nick Berlin
Berlin, Europe
 
 
Posts: 12 since Mar 2015
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Concerning the two indicators (studies) I have a problem to understand the difference.

In one case SC describe the "Calulation Method" as " ... difference between the Uptick volume and the Downtick volume ..." and in the other case as "... difference between the AskVolume and the BidVolume...".

But isn't it the same? An Uptick volume is an AskVolume and a Downtick volume is a BidVolume.

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Many thanks for your help.

Nick

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  #2 (permalink)
Nick Berlin
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Good Morning LukeGeniol,

many rhanks for your reply. The first explanation I understand. Okay.

The up/ down tick for the second one I understand too. But what about the bid/ ask. What dicedes wether it was bid or ask triggered?

Coming now to the third part. In the T&S setting you have the option to set this case difference (below bid or above ask). But what do you mean with "... that take place between the ask/bid spread ..." and what must happen to consider it as "above..."/ "below..."

I am just asking to understand more the "tape"

Many thanks.

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  #3 (permalink)
Nick Berlin
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Hello LukeGeniol,

additional to my former post I attached a screenshot. On the left hand side you find a T&S, in the middle there is a tickchart and on the right hand site the chart value window for the marked position. Region 1 and 2 are not relevant for that example because I changed a 5M chart in 1T chart.

In Region 4 there are the up- and down tick volume study and in Region 5 the bid and ask volume study.

My focus is on position: 08:13:40.0 with a volume of 5.

T&S and bid/ ask volume study define it as an "Ask Trade" but the up/down tick shows it as a downtick. At 08:13:48.002 and 003 you see the same story.

And this is the point I do not understand. What could be the story behind that?

Many thanks for your help.



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 Jolew 
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It is as has already explained...

The 08:13:40.0 trade was at a lower price than the previous trade, so it was classified as a downtick. However, the trade occurred at the ask, so it is classified as an ask trade.

What actually happened was that someone put in a new sell limit order at a lower price and someone else lifted the offer.

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  #5 (permalink)
Nick Berlin
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Many thanks for help

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  #6 (permalink)
jeff31
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Hello everybody, it is possible to merge cumulative delta bars and cumulative delta bars up/down tick volume?

I almost got but in my chart is impossible to change the line in candlestick bars

thank you and sorry for my english I learn this best language ^_^

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  #7 (permalink)
 packoz 
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...between up/down and bid/ask? Seems like Luke did but decided to delete his responses...

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 Schnook 
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@packoz the cumulative delta bid / ask measures the volume traded at the bid or ask while the uptick / downtick volume measures the volume traded on an uptick vs. a downtick of price regardless of whether it occurs at the bid or ask. An example of where this will differ is when a trader or traders put in limit buys at the ask or limit sells at the bid in excess of standing limits at those levels, thus moving the market by a tick. So for example let's say the ES is quoted 2364.25 bid at 2364.50 offer, 1000 up. Someone (Trader A) wants to buy 2000 contracts here and places a limit order bid for 2000 at the ask price of 2364.50, which has the effect of lifting the offer (buying at the ask) for 1000 and leaving a bid at the same level for the remaining 1000. Now let's say someone else (Trader B) comes in and hits that 2364.50 bid for 1000, so that now 2000 contracts have traded at that level. Since the second trade is done at the bid, it is counted as a -1000 on the bid/ask delta, netting out the previous +1000 that was counted when Trader A lifted those first 1000 contracts at the ask, whereas the up/downtick volume will now read +2000 because both trades and all of the volume occurred on an uptick.

Set up a numbers bars sheet on SC showing bid volume x ask volume with a trading DOM alongside it and you will see this very scenario in action all day long. Some thinner markets, like GC, for example, often show a big difference between bid/ask delta and uptick/downtick delta since a lot of larger market participants (market makers and arbs in particular) often push the full stack higher or lower with large staggered limits.


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 Blash 
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Bladesmith View Post
@packoz the cumulative delta bid / ask measures the volume traded at the bid or ask while the uptick / downtick volume measures the volume traded on an uptick vs. a downtick of price regardless of whether it occurs at the bid or ask. An example of where this will differ is when a trader or traders put in limit buys at the ask or limit sells at the bid in excess of standing limits at those levels, thus moving the market by a tick. So for example let's say the ES is quoted 2364.25 bid at 2364.50 offer, 1000 up. Someone (Trader A) wants to buy 2000 contracts here and places a limit order bid for 2000 at the ask price of 2364.50, which has the effect of lifting the offer (buying at the ask) for 1000 and leaving a bid at the same level for the remaining 1000. Now let's say someone else (Trader B) comes in and hits that 2364.50 bid for 1000, so that now 2000 contracts have traded at that level. Since the second trade is done at the bid, it is counted as a -1000 on the bid/ask delta, netting out the previous +1000 that was counted when Trader A lifted those first 1000 contracts at the ask, whereas the up/downtick volume will now read +2000 because both trades and all of the volume occurred on an uptick.

Set up a numbers bars sheet on SC showing bid volume x ask volume with a trading DOM alongside it and you will see this very scenario in action all day long. Some thinner markets, like GC, for example, often show a big difference between bid/ask delta and uptick/downtick delta since a lot of larger market participants (market makers and arbs in particular) often push the full stack higher or lower with large staggered limits.

I feel there is a slight issue with the bold sentence above, please. One can not place a limit buy order at the ask or a limit sell order at the bid. Limits placed at the ask can only be for selling and limits placed at the bid can only be for buying. The opposite orders, markets, can be placed there... market sells at the bid and market buys at the ask.

I had a fun time with this post found here....


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 Silvester17 
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Blash View Post
I feel there is a slight issue with the bold sentence above, please. One can not place a limit buy order at the ask or a limit sell order at the bid. Limits placed at the ask can only be for selling and limits placed at the bid can only be for buying. The opposite orders, markets, can be placed there... market sells at the bid and market buys at the ask.

I had a fun time with this post found here....


Ron

looks like a little confusion

what @Bladesmith says makes absolutely sense. he wants to buy at the offer and sell at the bid. if you put a buy limit order at the ask (at that price), it's similar to a market buy order. with the difference you might not get filled for the entire order. then the rest of your order becomes bid of that former ask price. in other words, you might not get filled for the entire order, but there'll be no slippage. I like that strategy in thinner markets.

hopefully I'm making sense.

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