Would it be possible to include Advanced Volume Charting around the concept of Delta.
Delta refers to the net difference between buying and selling volume at each price level. Cumulative Delta builds upon this concept by recording a cumulative tally of these differences in buying vs selling volume.
Cumulative Delta calculation uses the following formula:
Market Buy Orders – Market Sell Orders = Delta
When this result is a positive value, the buyers are seen as more aggressive and vice versa. Cumulative Delta keeps a running tally which displays a comprehensive historical and real-time view of order flow delta activity.
Advanced Volume Charting - Delta
dvwooly wrote: ↑Thu Dec 31, 2020 5:03 pmWould it be possible to include Advanced Volume Charting around the concept of Delta.
Delta refers to the net difference between buying and selling volume at each price level. Cumulative Delta builds upon this concept by recording a cumulative tally of these differences in buying vs selling volume.
Cumulative Delta calculation uses the following formula:
Market Buy Orders – Market Sell Orders = Delta
When this result is a positive value, the buyers are seen as more aggressive and vice versa. Cumulative Delta keeps a running tally which displays a comprehensive historical and real-time view of order flow delta activity.
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Not sure I understand this...dvwooly wrote: ↑Thu Dec 31, 2020 5:03 pm
Delta refers to the net difference between buying and selling volume at each price level. Cumulative Delta builds upon this concept by recording a cumulative tally of these differences in buying vs selling volume.
Cumulative Delta calculation uses the following formula:
Market Buy Orders – Market Sell Orders = Delta
When this result is a positive value, the buyers are seen as more aggressive and vice versa. Cumulative Delta keeps a running tally which displays a comprehensive historical and real-time view of order flow delta activity.
At each price level the number of buy & sell orders are matched exactly (in terms of amount) and any residual money is simply the volume of money waiting to be matched at that price, in which case you are just looking at the weight of money on either side of the book & how that changes?
For example
Lay price=5.00 £50 traded
Back price=4.95. £30 traded
Delta is lay money traded minus back money traded so 50-30=20 is positive Delta on the other hand if £30 was traded at 5 and £50 traded at 4.95 Delta would be 30-50=-20 negative Delta.
Cumulative Delta is the above process done many times therefore if + more layers if- more backers, could give market sentiment.
I am trying to put together some automation for the above process.
Lay price=5.00 £50 traded
Back price=4.95. £30 traded
Delta is lay money traded minus back money traded so 50-30=20 is positive Delta on the other hand if £30 was traded at 5 and £50 traded at 4.95 Delta would be 30-50=-20 negative Delta.
Cumulative Delta is the above process done many times therefore if + more layers if- more backers, could give market sentiment.
I am trying to put together some automation for the above process.
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Thanks for explaining )
Will have a think but watching the ladies game atm...
First thought is that you could look at VWAP and compare with current price as a short cut... Think Dallas posted a bot that used VWAP and crossovers with current some time ago... Maybe something there you can use.
Will have a think but watching the ladies game atm...
First thought is that you could look at VWAP and compare with current price as a short cut... Think Dallas posted a bot that used VWAP and crossovers with current some time ago... Maybe something there you can use.
- ShaunWhite
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I'm not sure if any of this helps..... viewtopic.php?t=16116
It's a bit shocking how long ago that was It probably isn't quite what you're looking for but might be similar and have similar issues.
It's a bit shocking how long ago that was It probably isn't quite what you're looking for but might be similar and have similar issues.
- ShaunWhite
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- Joined: Sat Sep 03, 2016 3:42 am
The idea was to measure pressure by keeping a seperate tally for money taken either side, but conflation was the killer, ie each update being, potentially, the net of several intervening transactions. The api only updates about every 17ms and when the market is extremely busy a lot can happen in that timeframe.
It was interesting, although I didn't find much in it, but frankly was the clincher about moving from BA data to raw api data, When you start to get into the minúcia such as doing that across all runners in multiple markets simulatiously then the weaknesses of using just BA get more problematic.
- firlandsfarm
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I confess to not having thought this through but is there a difference in the impact on the market of the money to offer a price and the money to accepting a price offered? For example does the market see someone setting a price by offering to lay say £100 @ 5.00 as having the same impact as the same person accepting a price of someone wanting to back £100 @ 5.00. I'm juggling in my mind whether the offering of a price is a greater driver than the accepting of an offered price.
- ShaunWhite
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- Joined: Sat Sep 03, 2016 3:42 am
It's about supply and demand (all trading is), so the rate of new money offered, rate of money taken and rate of money cancelled all contribute.
"I confess to not having thought this through".....it's tricky, it can get quite mathsy....
But one simpler way to picture it is by placing the current queue size on a grid, and imagining which axis will be touched first if money is added, taken and withdrawn, ie whether the bid or ask queue is exhausted first. That gives you the direction of the next tick. .
The positive thing about working on this is that these market micro dynamics are present in all market types. Crack it on one and with some tuning it can work everywhere, and will keep working. And of course it will also work on every selection in every market too. It's incredibly powerful but not surprisingly it's difficult. It's one of those elusive 7-figure algorithms alongside predicting SP.
"I confess to not having thought this through".....it's tricky, it can get quite mathsy....
But one simpler way to picture it is by placing the current queue size on a grid, and imagining which axis will be touched first if money is added, taken and withdrawn, ie whether the bid or ask queue is exhausted first. That gives you the direction of the next tick. .
The positive thing about working on this is that these market micro dynamics are present in all market types. Crack it on one and with some tuning it can work everywhere, and will keep working. And of course it will also work on every selection in every market too. It's incredibly powerful but not surprisingly it's difficult. It's one of those elusive 7-figure algorithms alongside predicting SP.
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