cumulative delta volume 'ask/bid' vs 'uptick/downtick'

October 20th, 2016, 09:26 PM

I watch the seminar "cumulative delta volume" (pretty cool)
https://nexusfi.com/elite-circle/12629-webinar-fulcrumtrader-cumulative-delta-volume-analysis-cme-fx-futures-7.html

Questions:
1) I understand there are 4 modes ['ask/bid' vs 'uptick/downtick'] of ['Volume' or 'nb of trades'], but I do not get well what is the difference between ask and uptick? an uptick is when the price move up; ask is when hitting the ask
To make thing easier let's imagine this serie of price/qty: 99/2, 100/3, 100/2, 100/1
- So in the case of ask volume I need to increment the ask counter by volume when the trade is at the ask (counter should be at 3+2+1)
- In the case of ask 'nb of trade' I need to inc a counter of +1 everytime the trade is at the ask (counter should be at 1+1+1)
- In the case of uptick volume, do I need to inc a counter only when the tick went up? it means the counter increase at 3 (first time it moves up, it had a vol of 3)?
- In case of uptick '# of trades' I need to inc a counter at 1 the first time the price move 1 tick up
Is this correct? (I'm asking becaue in few places, it says for uptick, the counter increase for the first one but also if it hit the same price, which I do not understand as I think it will be the same as ask)
I will think uptick '# of trades' will be pretty correlated to the price and the ask volume to the vwap (without the division...), is it correct?

2) at 1h29m I see people have been buying at least 6000 contracts from 1.4256 to 1.38 (6K contracts are left) and then the price goes up, but it doesn't get back to the same level but a tiny bit lower than 1.4256..
how did they make some money if the price didn't go at least upper? or they need to add more position but the 6K do not seem to have made money, correct? I think there is something I do not get

Thanks for your help
w

December 1st, 2016, 05:48 PM

I can answer in part. I have not watched the webinar you referred to, however...

It does not make sense to look at both uptick/downtick volume and bid/ask volume in parallel. In fact the uptick/downtick volume method is typically viewed as an approximation of the bid/ask method.

Historically with NT7, the bid and ask traded volume was not available in an orderly fashion. The reason was the time stamp granularity of 1 second that was imposed by NinjaTrader, so it made it impossible to synchronize order book data with trade data.

This resulted in the bid and ask traded volume only being available in real-time. You would need the chart to fill with live data until a sufficient number of bars was available but everything would disappear again when pressing F5 or adding a new indicator.

The infamous GOM database allowed for storing bid and ask data as historical data (GOM recorder), but it was very cumbersome and a pain to setup.

Therefore the uptick/downtick with continuation method was used, which allowed approximating the genuine delta by using historical / real-time data in NinjaTickFile format. The uptick/downtick continuation is between 75% to 85% accurate, which is probably good enough for trading.

With NinjaTrader 8, it is possible to load bid and asked data which is synchronized with trade data, due to microsecond granularity. However, this multiplies the weight of your historical data base.

You can therefore either use the uptick/downtick with continuation method (requires trade data only) or use the bid and ask traded volume method (requires both trade data and level 1 order book data)

The two methods should not be used together as there is no benefit, just adds to the confusion.

cumulative delta volume 'ask/bid' vs 'uptick/downtick'

Discussion in Traders Hideout

cumulative delta volume 'ask/bid' vs 'uptick/downtick'