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Daily Delta Values for ES
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Daily Delta Values for ES

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Daily Delta Values for ES

Does anyone know where I can obtain the historical daily delta values for the ES? I am using the Fin-alg program but the daily totals are not historically correct (the program wasn't intended to provide this data - only intraday data). Thanks.

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You can download level 2 data, and then use that to calculate.

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phantomtrader View Post
Does anyone know where I can obtain the historical daily delta values for the ES? I am using the Fin-alg program but the daily totals are not historically correct (the program wasn't intended to provide this data - only intraday data). Thanks.

Take a look at the main Cumulative Delta thread:
https://futures.io/elite-circle/11179-cumulative-delta-volume-trading.html

Gomi's framework is the best way for historical bid/ask processing. You can find the framework and the GomCD here:
https://futures.io/elite-circle/6802-gomrecorder-2-a.html

Historical data is here:
https://futures.io/elite-circle/7279-official-gomrecorder-qcollector-data-sharing-thread.html

And also a NinjaTrader-IQFeed backfill app here:
https://futures.io/elite-circle/23765-babar-application-discussion-support.html

Mike

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Thanks for the responses. Actually, someone gave me a short TradeStation ELD which will calculate the delta. It's a little screwy to get it setup, but works well. It's just UpTicks minus DnTicks but has to be setup on a 460 minute chart with price bars hidden. I'll get his permission to post the ELD in downloads.

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