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Denali - Cumu Delta Differences

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[2021-09-28 12:22:17] #1 [Go To First Post]
stockwet - Posts: 34
Hi, I am using Denali with IB order routing. I'm using the Cumu Delta Bars - Volume study on my main chart and Numbers Bars Calculated Values with Cumu Delta enabled on a footprint chart. I'm noticing discrepancies (large ones) in the delta values between the two. The documentation states that these should be the same. I have both to reset at session start. Checking session start, it appears that both are zeroed out correctly. But, over the course of the session, I'm seeing drastic changes. In the example below, there appeared to be a delta volume spike lower in ES, according to the Cumu Delta Bars study. But, the cumu delta on the Numbers Bars study didn't seem to register the spike. Take a look at the values from about 10:20 - 10:30. If I'm to understand the Numbers Bars Calculated Values figure, at any given time, the value in that box for cumu delta should match the value in Cumu Delta Bars - Volume study. Or, am I misinterpreting that data? Thanks.


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[2021-09-28 16:02:28] #2 [Go To First Post]
John - SC Support - Posts: 38292
It appears that the timeframes of the two charts are different. If they are, then that would explain the differences. If they are not, then we need to be able to see the actual data for each one at the time that you are referencing (using the Tool Values window). For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2021-09-28 16:18:21] #3 [Go To First Post]
stockwet - Posts: 34
Hi John, Thanks for the speedy reply. Can you explain what you mean by timeframe? There's the session start time and then the timeframe for the bars. * Session Start time - Exactly the same for the charts - 8:30 AM CT. * Bar time frame - Completely different. FP uses 2.5pt Range, Cumu Delta Bars - Vol uses 3000 volume. Since the value I'm comparing on both should be the cumulative delta for the day, up to that point in time, then I would assume that the values would at least be close, accounting for differences in bar timeframe settings. At approximately 10:27 AM ... * Numbers Bars Calculated Values Cumu Delta (Day) = -730 * Cumu Delta Bars - Vol = < -4200 That's too large a difference to account for the range vs volume bar difference. Thanks again.

[2021-09-28 17:21:41] #4 [Go To First Post]
John - SC Support - Posts: 38292
I was referencing the Time Frame for the two charts. But we understand how you are looking at this now. We just looked at what we see for the data, and everything looks correct on our end. We see the Cumulative Delta for the Numbers Bars Calculated Values dropping more negative to around a -6500 level, similar to the Cumulative Delta for that time. The one thing we want you to check is that you are looking at the correct Cumulative Delta for the Numbers Bars Calculated Values study. Make sure you have the Cumulative Sum of Ask Volume Bid Volume Difference - Day, which is Subgraph 10 (SG10 in the list). If it is not the wrong subgraph, then get us a Chartbook with those two charts in it so we can take a look at the setup. You can get us a Chartbook by using the following instructions, just ignore where it talks about 1 chart, we need to have both of them: Support Board Posting Information: Providing Chartbook with Only a Single Chart For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2021-09-28 17:48:50] #5 [Go To First Post]
stockwet - Posts: 34
Gotcha. Yes, SG10 is enabled and that's what's showing at the bottom. I modified the label just to make sure I was looking at the right thing. I'm attaching my charts here. Apologies in advanced if I've done something wrong with my setup here that's causing the issue. Thanks. EDIT: Posted a chart with additional studies by accident. Updated File. Date Time Of Last Edit: 2021-09-28 17:55:35


Private File

[2021-09-28 18:07:39] #6 [Go To First Post]
John - SC Support - Posts: 38292
The problem is that one of the charts is for MES and the other is for ES. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2021-09-28 18:18:15] #7 [Go To First Post]
stockwet - Posts: 34
Oh snap! I see that now. I was adding in MES as the trade symbol and I must have messed that FP chart up. Geez. You and your keen eyes. Somehow, I knew I was doing something boneheaded!

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