Support Board
Date/Time: Wed, 05 Feb 2025 11:57:16 +0000
Cumulative Delta issue
View Count: 1216
| [2020-03-09 08:36:20] |
| WarriorTrader - Posts: 245 |
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Hello, I know you have had some issues with the CQG feed in the past and the new Denali Exchange Data Feed is superior in every way but I am trading the Nikkei 225 through the OSE exchange which is only available through CQG. There is an issue with the cumulative delta that is identical to a cumulative delta problem with Gain Capital feed back in 2017. Your team was able to identify the problem and fix it back then - hopefully it is the same issue with the CQG feed. When the market volatility is high bids are reported as asks and asks are reported as bids - so as the market price goes down sharply the cumulative delta actually goes up. The is the opposite of what is expected. Hopefully you can apply what you learned with the Gain Capital feed and apply it to the CQG feed. Below is the old post from 2017. At the end of the post your team reports the problem as fixed: Gain Capital Cumulative Delta Gain Capital Cumulative Delta Thanks, -WT |
 CQG_Delta.png / V - Attached On 2020-03-09 08:28:35 UTC - Size: 102.3 KB - 266 views |
| [2020-03-09 09:00:18] |
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In the case of CQG whether a trade is at the bid or ask is simply determined by comparing the last trade price to the current bid or ask. So if the market is very active the question is whether the exchange is transmitting the latest bid and ask data at every trade. Even the CME has problems with this. We do not know much about the technology of Asian exchanges but if they are developing their own stuff, not to speak poorly of them, but they may not do a very good job with it. But we see that you are referring to a Japanese exchange so maybe they have good technology. We really do not know. So we tend to think the issue probably lies with the exchange but maybe CQG. We really do not know. For more information about this, refer to the Definitions section here: Numbers Bars: Definitions For the record our own order matching processor and Market data generation from that, does not have this kind of issue. This is something we plan to release as a simulated exchange and would be the foundation of a contract exchange. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2020-03-09 09:01:34
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| [2020-03-09 09:49:33] |
| WarriorTrader - Posts: 245 |
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We do not know much about the technology of Asian exchanges but if they are developing their own stuff, not to speak poorly of them, but they may not do a very good job with it. But we see that you are referring to a Japanese exchange so maybe they have good technology. We really do not know.
It was not mentioned in my original post, but there are similar problems with the ES contract. It is not limited to the OSE Exchange. Like I mentioned, this was fixed in the past with the Gain Capital feed. Did you read the old post? Gain Capital Cumulative Delta Thanks, --WT |
| [2020-03-09 11:58:36] |
| User745789 - Posts: 356 |
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@WarriorTrader - Regarding NKMJ, take a very close look at the very first trade on the RTH session (0845hrs Tokyo) and also the O/N session (1630hrs Tokyo). The sessions open with an exchange matching of orders, for want of better terminology. I do not know the details, but every RTH session starts with one huge "trade" of about 4000 contacts paid into the offer, so instant positive delta. I start all my delta charts charts at 2 seconds after the open to avoid this delta distortion. The same thing often happens in the very first "trade" of the the O/N session. In the bar you are referring to at the very start of the O/N, the session started with an "order" of approx 4500 paid into the offer. This is a transaction by the exchange. It doesn't move the market. It is not two-way trade in the sense that you are trying to gauge with Delta. You need to filter it out, and you'd find there was -ve delta for that large down bar :) Edit: it relates to the Opening Auction at exactly 0845hrs and 1630hrs Tokyo time, which uses the Itayose Method of matching and opening price discovery.https://www.jpx.co.jp/english/derivatives/rules/trading-methods/ Watch the time and sales or Numbers Bars at session open and it really stands out. Date Time Of Last Edit: 2020-03-09 18:28:06
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| [2020-03-09 16:24:57] |
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We definitely do not see how we can help with this in regards to CQG.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2020-03-09 23:01:32] |
| User745789 - Posts: 356 |
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There is nothing to be done. CQG are simply including the Itayose opening auction balance before trading commences. Warrior Trader has unknowingly been trading on distorted Cumulative Delta all this time. It pays to know one's market. Edit: See attached ror benefit of the OP. March 10th T&S at O/N session open, 1630hrs Tokyo time. Shows the opening auction match-up: 2884 lots bought at 55 comprising 830 separate orders. Then the first trade of the session was 63 sold at 55. I'd rather not post this much. Pls excuse. Date Time Of Last Edit: 2020-03-10 07:42:52
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| Annotation 2020-03-10 163120.png / V - Attached On 2020-03-10 07:41:49 UTC - Size: 15.24 KB - 237 views |
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