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Who offers the most accurate cumulative delta indicator for the spot fx markets? Sierra chart+iqfeed and Multichart+iqfeed
both have massively differing values for cumulative delta but I'm inclined to believe that what I'm seeing in multichart is the more accurate of the two but I'm not 100% sure. Also, I think certain pairs pay have issues that others don't. USDJPY for example shows a constant downtrend in cumulative delta for the last month which doesn't seem right.
Can you help answer these questions from other members on NexusFi?
This can be a complicated project, FX is a very fragmented market and the location of price discovery changes frequently. A monster order on an institutional ECN like currenex or something might not even show up on whatever order book you're monitoring. Worth considering if the information that you're seeing in a footprint chart/cumulative delta from a retail data provider is giving you actionable information or mostly noise. That being said, CBOE FX/Hotspot offers streaming and historical order book data.
^good post. Agreed. And even on an ECN like Currenex, your liquidity stream can be completely different from 1 account to another. The more "accurate" one is whatever you are executing against and only you really have it.
