Daily Delta Values for ES

October 20th, 2012, 09:26 AM

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.

October 20th, 2012, 02:07 PM

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

October 20th, 2012, 02:37 PM

phantomtrader

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:

Cumulative Delta Volume Trading

I am no expert in CDV, but as I learn more about it I wanted to start a thread to discuss trade ideas. If you see me making mistakes in my analysis, by all means let me know.

Some basics:

CDV = Cumulative Delta Volume

Cumulative meaning growing or …

Gomi's framework is the best way for historical bid/ask processing. You can find the framework and the GomCD here:

GomRecorder 2

Hi guys,

Here's the new major release of GomPackage, released this time in Elite because it was a lot of hard work.
THIS VERSION IS FOR NT 7 ONLY

Indicators developed with GomRecorder 1.3 still work on 2.0

Majors changes with 1.3b are the …

Historical data is here:

Official tick data sharing thread for raw data, GomRecorder and QCollector

I keep getting requests for people to share their GomRecorder data. A few threads have been started on the subject but not many are following thru it would seem.

I am collecting data from IQFeed via QCollector. All data contains bid/ask and is tick …

And also a NinjaTrader-IQFeed backfill app here:

BaBAR NinjaTrader IQFeed Backfill Application Discussion and Support

This is the support thread for the Backfilling Bid/Ask Recorder Application, which is in the Elite Circle Downloads area, here (.

This is a standalone application that creates data files for the GOMI toolset.

I wrote this application to get around …

Mike

October 21st, 2012, 11:00 AM

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.

Daily Delta Values for ES

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Daily Delta Values for ES