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How to linke cumulative delta to the timeframe of the main chart?
I am new to MC and I am using the AMP version (MC12).
I inserted cumulative delta as a second instrument into a chart window.
But when I want to switch the timeframe I have to do that for both each time.
So I wonder how to set it up that when I switch timeframe in the main chart
the timeframe of cumdelta changes as well.
When I link those together they somehow are either cumdelta charts or simple
bar charts. Thanks.
Can you help answer these questions from other members on NexusFi?
Thank you, but when I link by resolution then either both are either cumulative delta charts or when swichting delta off they both are bar charts.
BTW, just realized that cumulative delta is way off compared to other platforms. Any idea what might went wrong here?
I've attached a gold screenshot from yesterday. One from MC, one from Sierra Chart.
I am leaning towards Multicharts has it wrong. Someone showed me his Ninjatrader cumulative delta and it's pretty much the same as Sierra Chart (total numbers are tiny bit off but the relative highs/lows are the same).
I'd agree with leaning towards MC being inaccurate. There maybe could be a fix or an explanation to be offered by the MC Support team, if they were shown exact evidence of miscalculation within MC, not involving any other platform. (i.e. if someone were to give them a spreadsheet with price, volume and CD as saved by MC data export, and another column with a "correct" user CD calculation pointing out specific bars where the cumulative calculation goes off the rails.
Here is a CSV file of Nov 13 GCEZ18 5-minute Cumulative Delta Ask vs Bid chart data, saved using MC Export Data. It isn't making sense because when I calculate (1 * UpVolume + -1 * DownVolume) for any bar, to my understanding, this should be the "delta" value that determines the "Close" value vis-a-vis the previous bar's Close.. But it seems to have zero accuracy relative to the "Close" delta values reported in the exported Close column - there's no logical explanation that I can come up with for this.
(I am also assuming here that the up and down volume exported are the actual ask-traded and bid-traded totals)
Edit: There are also columns in the attachment for Up and Down Ticks. These actually do correspond to the Close column. It is confusing, because CD based on Up/Down ticks is a different option from Ask/Bid. My exported chart was definitely Ask vs. Bid. In any case, it comes down to each platform's internal calculation of what constitutes ask vs. bid volume. Multicharts specifically requests Ask and Bid tick-by-tick data from CQG as seen in Quote Manager log. Don't know about SC. Also MC and SC both document the CD process using almost the same language on their websites. They possibly differ in interpreting how to account for trades priced between the bid and ask - but it doesn't seem that this would explain such a dramatic difference between their results.
one reason for the difference you are seeing appears to be that the delta is reset at different times on the two charts.
However even with accounting for that the results still differ. What does Sierra Chart displays exactly for the "Cumulative Delta Bars - Volume"?
Different timezone doesn't matter if you just compare from exchange open to exchange close. But I tried - same result. And it is on every future contract in any timezone that MC differs from Sierra and Ninjatrader. So it's more a question what does MC display here.
I am not allowed to post links on this board yet but a simple google search will link you to the description of cumulative delta in Sierra. There is not much that can be calculated differently. There are basically two different methods. You either calculate delta of the actual bid/ask volume or of the tick volume.
And it seems that cumulative delta based on tick volume is calculated correctly as I just had a glimpse at it. But unfortunately it's the delta based on bid/ask which most traders are interested in.
