Support Board
Date/Time: Wed, 05 Feb 2025 11:44:11 +0000
Post From: Cumulative Delta issue
| [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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