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Cumulative volume delta with size & time filters


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Cumulative volume delta with size & time filters

  #11 (permalink)
 
chipwitch's Avatar
 chipwitch 
Nashville, TN
 
Experience: Beginner
Platform: NinjaTrader
Broker: NinjaTrader, Continuum Data
Trading: MES for now... baby steps
Posts: 322 since Feb 2022
Thanks Given: 230
Thanks Received: 631


Carguychae View Post
Any luck with this? I wanted to ask about it and what you're asking I'm also looking for the same exact thing. Found this online and can't find any reviews besides a couple about this guy on the vendor forum here. The package is quite expensive and I literally just want this.

ZoneTraderPro Cumulative Delta Indicator

I'm currently working on it, but it's more complicated than it seems on the surface (I think). I wrote an indicator (still tweaking it) that I can set in low, medium and large block sizes taken from time and sales, but it doesn't give a complete picture as nearly all orders on T&S will be less than 4 contracts. The ZoneTrader uses T&S plus monitors the order book for large limit orders and then monitors them to see if they eventually get executed or cancelled. By comparing the two data products (order book and T&S) you can build a more complete picture. I may attempt to add that feature, but I haven't played with the order book enough yet to know what data is available and how fast it's delivered. The algorithm to monitor the book is a bit more complex than your plain indicators and I'm not sure how much it will slow your computer system down when running.

Theoretically, the investment in the ZTP could pay for itself in short order.

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  #12 (permalink)
 kv712 
Toronto, ON
 
Experience: Intermediate
Platform: Ninjatrader
Trading: Futures
Posts: 5 since Jul 2021
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@Silvester17
Wow..Thanks so much for sharing this..you saved me a lot of time & money

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  #13 (permalink)
 kv712 
Toronto, ON
 
Experience: Intermediate
Platform: Ninjatrader
Trading: Futures
Posts: 5 since Jul 2021
Thanks Given: 1
Thanks Received: 2


That sounds an interesting concept. Please keep us posted here on progress. Looking forward to hear from you. I am no programmer so cannot help much.


chipwitch View Post
I'm currently working on it, but it's more complicated than it seems on the surface (I think). I wrote an indicator (still tweaking it) that I can set in low, medium and large block sizes taken from time and sales, but it doesn't give a complete picture as nearly all orders on T&S will be less than 4 contracts. The ZoneTrader uses T&S plus monitors the order book for large limit orders and then monitors them to see if they eventually get executed or cancelled. By comparing the two data products (order book and T&S) you can build a more complete picture. I may attempt to add that feature, but I haven't played with the order book enough yet to know what data is available and how fast it's delivered. The algorithm to monitor the book is a bit more complex than your plain indicators and I'm not sure how much it will slow your computer system down when running.

Theoretically, the investment in the ZTP could pay for itself in short order.


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Last Updated on March 24, 2022


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