Support Board
Date/Time: Tue, 26 Nov 2024 10:45:00 +0000
Cumulative Delta Bars - Up/Down Tick Volume
View Count: 819
| [2023-12-11 04:24:43] |
| User630795 - Posts: 89 |
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what is the difference between these two: - Cumulative Delta Bars - Up/Down Tick Volume - Cumulative Delta Bars - Trades I already read your documentation, but it is not clear to me. More specifically, it is not clear to me what exactly is "Up/Down Tick Volume." 1) if 5 up tick trades are made simultaneously, do they count as: - 1 or 5 for "cumulative delta bars - up/down tick volume" calculation? AND - 1 or 5 for "cumulative delta bars - trades" calculation? the expression "tick volume" is not clear to me what it means. thank you. |
| [2023-12-11 17:09:38] |
| John - SC Support - Posts: 36286 |
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UpTick Volume is the sum of the volume of trades that occur at a higher price than the previous trade. DownTick Volume is the sum of the volume of trades that occur at a lower price than the previous trade. For the Cumulative Delta Bar - Trades, the number of trades above the Ask is kept as one value and the number of trades at the Bid or below is a second value. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2023-12-11 17:37:01] |
| User630795 - Posts: 89 |
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thank you. then, how is Cumulative UpTick Volume Delta different than Cumulative Volume Delta? |
| [2023-12-11 19:45:23] |
| John - SC Support - Posts: 36286 |
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Cumulative Delta - Volume, the volume traded at the Ask is kept and the volume traded at the Bid is kept, and then the Ask Volume minus the Bid Volume is determined. Again, all of this is described in the each of the documentation pages for the particular study. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2023-12-11 21:56:04] |
| User630795 - Posts: 89 |
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i read your documentation and what you wrote here but i still don't clearly understand the difference between up/down tick vs volume (cumulative delta). i am sure they are very clear to you but they are not so clear to me. can you explain again in a way a dummy like me can understand? perhaps use an example? thanks.
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| [2023-12-12 01:50:47] |
| Sierra_Chart Engineering - Posts: 17179 |
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No we cannot spend further time on this. And our very strong advice is if you are going to use one of these studies, only use Cumulative Delta Bars-Volume. Do not use the others, as they do not really make any sense.
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 |
| [2023-12-12 15:29:58] |
| User630795 - Posts: 89 |
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i disagree. perhaps you are not a trader. more than most of the other studies that lags price action, these are information/data that shows what the traders are doing at the moment and i find them extremely helpful in trading. how they correlate or diverge with/from each other (including price action) is very insightful. i just want to accurately understand how you programmed these studies. it is the users (your customers) that decides if a study is useful or not. as i said above, i ready read your documentation and your replies carefully but they still are not clear. i think it is your obligation to explain your products/features/studies in a way that your customers clearly understand them. thank you. Date Time Of Last Edit: 2023-12-12 15:57:22
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| [2023-12-12 21:23:14] |
| Sawtooth - Posts: 4120 |
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Here is my understanding, FWIW: The term 'Tick' is the smallest increment of price movement. The term 'Volume' is the number of contracts traded, some at Ask and some at Bid. The term 'Trades' contains one or more traded contracts. Therefore this value is always less than Volume. The three cumulative delta bar studies do this: - Uptick/Downtick: If price upticks or downticks, the Ask Volume and Bid Volume are captured and their difference is accumulated. - Volume: The Ask Volume and Bid Volume are continuously captured and their difference is accumulated. - Trades: If a trade of any size occurs, the Ask Volume and Bid Volume are captured and their difference is accumulated. You would think that all three would produce the same OHLC bars, but they are slightly different because not all of the three events begin and end within each of the chart bar's bar period. You can have Volume without an Uptick/Downtick. You can have an Uptick/Downtick without a Trade (of a quantity >1 contract). The reason Volume is the better of the three, IMO, is because nothing happens without Volume. |
| [2023-12-13 01:13:51] |
| User630795 - Posts: 89 |
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thank you, Sawtooth for your attempt to clarify. i know the differences among tick, volume, and trade and other things you explained except your two statements at the bottom: - You can have Volume without an Uptick/Downtick. - You can have an Uptick/Downtick without a Trade (of a quantity >1 contract) can you elaborate these two statements? perhaps w/ some examples? - when/how do you generate "volume" w/o Uptick/Downtick (bid/ask traders)? - when/how do you have an Uptick/Downtick w/o a trade? i do not understand how these two situations can occur. thank you again for your help. |
| [2023-12-13 01:44:07] |
| Sawtooth - Posts: 4120 |
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You can have Volume without an Uptick/Downtick. Price can stay the same when a contract is traded. More Volume at the same price. You can have an Uptick/Downtick without a Trade (of a quantity >1 contract). Price can Uptick/Downtick from individual contracts trading, while at the same time no trade of size happens. |
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