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Sierra Chart Cumulative Delta
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Sierra Chart Cumulative Delta

  #41 (permalink)
 Vendor: www.sierrachart.com 
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Big Mike View Post
I don't mean to pester... but I want to be sure we are on the same page.

I realize the actual total volume number will be different. But this is what I meant:

Monday - IRT starts with xxx,xxx volume in panel 2
Monday - IRT ends with xxx,xxx+50,000 volume in panel 2

Monday - SC starts with xxx,xxx volume in panel 2
Monday - SC ends with xxx,xxx+??,??? volume in panel 2

Does SC's ending value, the difference between start and end of session, match the IRT value? Or come very close at least?

Mike

Mike, could you please test Sierra Chart with your DTN IQ Feed and do these comparisons.

You will need to be very certain though that you are loading an identical number of days into the chart compared to IRT . If you have any questions please let us know. Preferably on our Support Board.

If you need your Sierra Chart account activated, please let us know.

We can assure you though that with the way that Sierra Chart calculates the cumulative Delta, it is 100% accurate. The only issue we are aware of , and this is a subtle issue, is that if you are using chart bars based on Volume. This just has to do with the splitting of data records and the issue of handling that.

If you have tick by tick data and your bars are based on a specific Time, Range or Ticks, you will get 100% accurate results.

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  #42 (permalink)
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I plan to do it. I am setting up all my charts right now on the new box.

Mike

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  #43 (permalink)
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SierraChart View Post
Please use the current version of Sierra Chart and you will want to use the study named Cumulative Delta Bars. This can be found in Analysis >> Studies. This is a very easy study to use and does not depend on other charts.

I am executing via TT but use DTN for data. There does not seem to be a way to do this in SC without having two installations of SC?

Can you/someone confirm the specifics of the new Cumulative Delta Bars study --- is this building bid/ask delta based on volume or trades? For the method I was previously using, I need two studies - one built on volume, and one on trades (ticks) as there are important differences.

Mike

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  #44 (permalink)
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Mike,

I use the Cum Delta Bars study but it is based on volume. I also want to have a cum delta based on uptick/downtick as presented in the FT webinar but I have not been able to come up with anything in SC. Here is a link to a SC thread which addresses this issue

Tick cumulative delta - Sierra Chart

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  #45 (permalink)
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@SierraChart
Hi
i set up my study exactly as shown in SC's support board and here

@BigMIke
Hi
apologies , i didn't want be rude ,English isn't my language ,i have to study it more
maybe i didn't understand , you meant CDV or volume ?
if you meant CVD i found the figures different .(little)
i set up CVD daily values on MD and reset at start trading day (YES) on SC.
differences are very small , today BUND in SC 1 minute chart i have - 2678 CVD, BUND in MD shows -2671.
maybe is due to different ways to manage time of the instruments or the timestamp of the ticks?

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  #46 (permalink)
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@crazybears - no you have been helpful, thank you. It's just that I cannot load Investor/RT anymore due to the issue I mentioned, so I am "blind" unable to compare against a known-good source.

That is why I was asking for a daily difference between SC and IRT, using the same session period. Since the absolute total value will not be the same, depending on how many days back each charting app is set to, it is simpler just to do the math on one day.

The new SC built-in study for Cumulative Delta bars is very nice and makes things a lot easier. All I had to do was change the default so it wasn't resetting daily, and modify the bar colors to my liking. So very nice indeed After what I've been through with MultiCharts and CDV, I just wanted to verify against IRT.

@sctrader, thank you. I looked at the thread but will have to look again more closely. I've not used Sierra for charting in many months, and only for a few days back then, so I am having to re-learn everything.

Here is my chart as it stands right now, working to duplicate FulcrumTrader's chart as a baseline.

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Mike

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  #47 (permalink)
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Sierra will be doing a more advanced webinar today @ 4:30PM Eastern, check it out:

https://futures.io/sierra-chart/13487-webinar-sierra-chart-advanced-sep-15-2011-a.html

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
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  #48 (permalink)
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interpetation of Cummulative Delta

thank you for the SC webinar.
I have installed SC - Cumulative Market Delta - with Bid/Ask Volume Difference Numbers Bars
questions. I am using 610t and 144t charts.
1. is the indicator calculating difference in ticks or in contracts?
1.1 -I read somewhere that CD only tracks Market Orders - then I read that this is impossible as the broker does not know the order type submitted. Which is true ?
2. the settings show colors for OHLC and the scale on the right goes from positive thru zero to negative

COLOURS
2.1 when the bar is green, I assume buyers AT THE MOMENT (compared to last bar) are more aggressive than sellers
2.1.1 this is where you would look for divergence. i.e if the price bar is red and the CD bar is green, prepare for price going up. From looking at today's 6E (2011-9-29 7:15:32 PST) I see that this is not always the case.
2.1.2 when the price is ranging wildly but the CD bars are staying pretty flat, this shows indecision in the market.

SCALE
2.2 I assume that when the CD bar is green but the scale shows negative this means that from the start of the day, the cumulative Ticks is in the sellers favor, but because the bar is green AT THE MOMENT buyers are more aggressive.


Last edited by Superdoug3; September 29th, 2011 at 02:41 PM. Reason: just more clarification, added 1.1
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  #49 (permalink)
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It tracks only trade volume right now. They are planning to add ticks soon, so you can see the 'pressure' ie "hitting the bid real hard" and then compare that with the actual volume, like what IRT or MD can do.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

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  #50 (permalink)
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SC Cum Delta Ticks


Sierra now has a Cumulative Delta Bars - Ticks study

The latest release also has a horizontal ray tool, so you can quickly mark delta levels with a single click, and then when the line is met, you can cut the line.

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