Support Board
Date/Time: Sat, 22 Feb 2025 17:16:47 +0000
Huge divergence between price action and cumulative delta bars
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| [2021-01-20 13:32:40] |
| BenjFlame - Posts: 335 |
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Hi, here is a chart of stock GRTS on the date of January 19 2021. 1mn chart. Using SC stocks feed. As you can see the stock goes straight up, but the cumulative delta bars straight down. How can it be? Those bars are supposed to be the difference between ask and bid volume. How can a price go straight up if there are constantly more BID volume? Sure there are always divergence between price and cumulative delta.... but that much? Are those results normal? |
 cumulative.PNG / V - Attached On 2021-01-20 13:32:03 UTC - Size: 54.75 KB - 421 views |
| [2021-01-22 11:14:23] |
| BenjFlame - Posts: 335 |
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Any feedback on this? I'm worried something is wrong with the data. |
| [2021-01-31 09:56:31] |
| Sierra_Chart Engineering - Posts: 18527 |
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Regarding this, the reason we did not answer because what are we to do about something like this? The data is the data. It is what it is. The identification of whether a trade occurs at the bid or ask, this is what affects the Cumulative Delta Bars-Volume study, is from the Open Feed which we get from the data provider Barchart. We do not like to be in positions of having to explain certain market data behaviors. The data is what it is. It may look wrong. But why do you think it is wrong and we need an explanation that makes technical sense. What we want you to do is start looking at each individual trade, during the time period you have a question about, through the Intraday Data Editor: Intraday Data Editor You can see the bid and the ask prices for each record in the Intraday Data Editor and you can also see the volume assigned either to bid volume or ask volume. So if you see a trade that does not look right. Then why is it not right? We had a quick look at this ourselves and could not identify any obvious problem. 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, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2021-01-31 10:29:31
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| [2021-01-31 10:10:25] |
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Actually we had a look at IQ Feed and we have the easy answer: http://www.sierrachart.com/image.php?Image=1612087706106.png You can see it looks the same. So the data is correct. So now we have data from two different sources that match and the algorithm that we use for IQ Feed to identify whether a trade occurs at the bid or ask would be the alternative we were thinking of using but it gives the same result. And actually the divergence really makes sense because after the market went up, it goes right back down again, showing that it was weak volume wise going up. So therefore, the study actually did precisely what it is supposed to do, it failed to confirm the price action which meant, that there was an indication to sell, during the rising prices. 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: 2021-01-31 10:14:02
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