MultiCharts and Cumulative Delta Volume Analysis

[FulcrumTrader 10]

Wanted to give everyone here a quick update in regards to MultiCharts. I have been looking for a charting platform to do some light back testing and simplistic automated trading for some new set ups I have been developing recently. After a review of what options were available it became pretty clear that MC would be a good fit (and they connect with DTN.IQ feed which I must use for proper Cumulative Delta work).

 

I was going to let everyone know that I have talked with MC and they are currently looking at building up the very simplistic code for tracking BID/ASK differential in the order flow for futures (Cumulative Delta Volume as candlesticks like we have with Investor RT Pro and some other platforms like NT7). If you are a MC current user and you want Cumulative Delta Volume within your platform then now is the time to chime in.

[FulcrumTrader 10]

Wow, this ended up in the wrong area of the site. TL crew....if you want to move this over to the Automated Trading section that would be fine with me.....or where ever you think best.

 

 

TIA!

[Ceschiatti 10]

Hi, Fulcrum! Did you give up using VecTrader?

[FulcrumTrader 10]

No....I have been using TradeVec now for several months for my order execution platform and it has been working great. TradeVec does not yet have the back testing capability I was looking for so that is why I have been talking with MS.

[kjb1891 10]

Chris, doesn't Investor R/T Pro have a back testing feature?

[electroniclocal 10]

Good luck in getting this done Fulcrum. I tried doing the same over 6 months ago and even offereed to pay the cost but was told that they didn't have the time then. I'm working with MarketDelta now to get the testing done.

[kjb1891 10]

Chris, how's come you don't use Investor R/T's backtesting feature?

[Mel_Function 10]

Hi Chris,

 

installed the MC trail 2 weeks ago and love what I see so far. Been using Ninjatrader / InvestorRT combo for years now and would like to drop the NT for a faster and more stable platform.

 

Hope the MC guys have an open ear for their customer requests and start to work on a Cumulative Delta add-on.

[FulcrumTrader 10]

So far they seem to be plugging away with the project, so next week I will see how they are progressing. Since the GomCD code (from Ninjatrader forums) is already out and available to the world I really don't know how this could be very difficult.....no brainer freebie for MC if they take the time to get CD built up as one of their standard volume studies. Funny thing, I know directly as friends about 11 traders who trade money professionally in funds and ALL of them have shifted to using this order flow information in their trading these days. Paying attention to the MARKET ORDER driven order flow has so many benefits imo and the code needed to track the BID/ASK differential is not at all complex......I am shocked that more charting apps do not take the time to add such a simple volume tool.

 

Here is a short list of those well behind the power curve who do not have any proper CD candlestick volume studies at this time........... MultiCharts, TS, Esignal, Amibroker, Neoticker, Ensign, OEC, TOS, IB's TWS, etc. I am happy to report that TradeVec built up the ability to track CD as candlesticks in about a week and it is working perfect (with DTN.IQ feed) and I have attached a sceenshot of the DAX.

 

As of right now, a trader can have access to Cumulative Delta CANDLESTICKS (OHLC plot) within marketdelta.com, Inv RT Pro, TradeVec, NT7, and Sierra Charts. In the works there are strong rumors that Tradestation is in full tilt mode to change their entire datafeed structure just so they can also add Cumulative Delta as a new standard feature for their platform (their current datafeed is the problem so that has to be changed first). XTrader7 XStudy already has the CDV (but only as a crappy line....LOL!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!) and CQG already has TFlow BID/ASK differential, so the writing is on the wall.....many futures traders are seeking access to these very important volume tools!

[baldeagle1959 10]

Fulcrum Trader,

Why can't you back test using Inv RT Pro?

[BlowFish 10]

I hope they get it right when they do it. (take a look at MC's volume profile a evidence of how they can work hard at implementing a feature and mar it by not giving enough user control or doing something 'daft').

 

I think there some fundamental issues with MCs architecture which is why it is probably taking a while. The database only has 1 second resolution and no sequencing info across different series (bid & ask are stored as separate series). More worryingly there appear to be some anomalies processing live data (users report indicators not getting called on every tick for example).

 

Anyway the more people that get on their case the better chance of getting this done in a timely (and useful) fashion.

 

Oh you can have CD bars with ninja though it needs code slotting in for a custom bar type.

[alex_laxya 10]

Well here are few guys asking why few dont use investor rt's backtesting tool? I would like a reply from them,wt i found is that,backtesting results r erratic,furthermore there r limitations to backtest profile related studies more than 300days,if ur using developing pocs in ur strategy then its not possible more than 3 months,optimisation takes heck of a time. Having said that market profile users has no any better option than market delta by investor rt,in MC it really sucks,tick handling is poor as blowfish mentioned,i tried one mp strategy n i got yesterdays poc on todays profile so again had to change d code so u can guess that how much tuning u need to do,its like start from d scratch. Eventually u will get mp in MC but then delta related studies again a tough ask,tried to code footprints in it but never get satisfied results,had to work through lot of limitations,hope this time MC guys will build something useful for cd users,its very essential tool for trading,all those candle bars n various ma things are of stone age analysis school,ta has been evolved a lot to cope with information technology & speed of electroic trading,cd is a virtual pit for electroic profile traders hope we wont get deprived of it.

[FulcrumTrader 10]

The main reason I do not do any back-testing in Inv RT Pro is the problem of taking what I have programmed and building it up properly in Inv RT Pro for potential back-testing. I am not a programmer, but those who program for me find it much easier to get my system concepts built in either MC or NT7. Also, I do think the back-testing capabilities in MC are more extensive than Inv RT Pro.

 

Hopefully MC will correct the various issues and get robust tick by tick operations functioning properly for accurate BID/ASK differential tracking/tools......we will see!

 

Can you imagine how many traders who currently use MD.com, Inv RT, or NT7 (with GomCD) would move over to using MC if they had a properly functioning CD capability mixed with easy language programming compatibility and decent backtesting.......WOW!

 

I know of several hundred......if I was the owner of MC I would be working my crew full tilt to get this project DONE!

[FulcrumTrader 10]

BTW, if you feel having Cumulative Delta Volume capabilities within MC as a standard feature is a good thing that you would like to see as a trader, I would highly suggest letting them know first hand at this time;

 

Send your email to.......... support@tssupport.com

 

In the SUBJECT block of your email put............ Cumulative Delta Volume

 

There is a critical window of opportunity right now imo to push this project and let the MC crew see the potential demand.

[FulcrumTrader 10]

I hope they get it right when they do it. (take a look at MC's volume profile a evidence of how they can work hard at implementing a feature and mar it by not giving enough user control or doing something 'daft').

 

I think there some fundamental issues with MCs architecture which is why it is probably taking a while. The database only has 1 second resolution and no sequencing info across different series (bid & ask are stored as separate series). More worryingly there appear to be some anomalies processing live data (users report indicators not getting called on every tick for example).

 

Anyway the more people that get on their case the better chance of getting this done in a timely (and useful) fashion.

 

Oh you can have CD bars with ninja though it needs code slotting in for a custom bar type.

 

GREAT point Blowfish, and they really need to get the MP working properly for those who use that tool. Sub second tick by tick functionality is a MUST too, and I am glad you have brought up the potential technical problems to this discussion as I very much value your opinion!

[Guest Tresor]

FalcrumTrader,

 

I visited TradeVec website. Unfortunately there are no screenshots of the platform available. I could only find this small image: http://tradevec.com/images/cc/launched.jpg

 

Could you please post a sreenshot of complete TradeVec interface (with a chart, position tracking, manual orders, etc.)?

 

Thanks

[Ceschiatti 10]

Any news about Cumulative Delta Volume on MultiCharts?

[Tams 20]

Any news about Cumulative Delta Volume on MultiCharts?

 

don't waste your time waiting...

MultiChart (and EasyLanguage) was not designed to handle those data requirements.

if you are serious on CD, MD, etc. type of analysis, you should investigate in one of those dedicated programs that have a proven track record. Trading is about making money, not experimenting new gadgets

[Mel_Function 10]

A request for Cumulative Delta has been submitted a few days ago:

 

MultiCharts Project Management - Issue MC-25 - Add Cumulative Volume Delta capabilities

 

Please sign-up and vote for the project. The more people show interest the sooner

the developing could start.

 

Maybe you are interested in keyboard shortcuts also?

 

MultiCharts Project Management - Issue MC-34 - Add keyboard shortcuts for drawing tools

[FulcrumTrader 10]

Just a heads up, the MC crew will be out in Vegas for the Online Trade Expo [ The Traders Expo Las Vegas ] and if you want to talk to them first hand about Cumulative Delta here is your chance. BTW, the Online Trade Expo is free so register early here........... The Traders Expo Las Vegas

 

 

I will arrive in Vegas on Sunday the 14th and will be staying at one of my homes there until Monday the 22nd. The FulcrumTrader Group has a great get together of Cumulative Delta Volume based traders that will be out at my place the 18th to 20th. We will have an informal get together for any traders that want to show up and "talk shop" at Caesars Palace Wednesday night at 7:00 pm (come join us at the SHADOW BAR in Caesars Palace..... Caesars Nightlife Shadow a Bar at Caesars Palace ).

 

If anyone wants to get a hold of me with questions contact my email here for get together details: info@fulcrumtrader.com

[BlowFish 10]

don't waste your time waiting...

MultiChart (and EasyLanguage) was not designed to handle those data requirements.

if you are serious on CD, MD, etc. type of analysis, you should investigate in one of those dedicated programs that have a proven track record. Trading is about making money, not experimenting new gadgets

 

I disagree on part of this:). Sure it needs some re-architecting (it was a mistake to copy TS's limitations). Historical data needs proper sequencing information and/or millisecond or better time stamps, that's simply a design limitation (as you say) they will have to fix it eventually to remain competitive. I have had some indication in emails they will but who knows when?

 

Arguably real time data handling is 'bugged'. It is possible for race conditions to exist, they seem to have fixed a lot of the issues there but it is possible to have variables (like close) change between the beginning and ending of a function. That should plain just not happen. This is not really a design decision, it is that the internal architecture is simply not 'robust'. (Probably some multicore issue).

 

I would go further, if you want to do any work where precision is important MC perhaps is not the best choice. It's a shame really as it's a decent product that I have a lot of time invested in (since version one if memory serves).

[BlowFish 10]

I hope they get it right when they do it. (take a look at MC's volume profile a evidence of how they can work hard at implementing a feature and mar it by not giving enough user control or doing something 'daft').

 

I think there some fundamental issues with MCs architecture which is why it is probably taking a while. The database only has 1 second resolution and no sequencing info across different series (bid & ask are stored as separate series). More worryingly there appear to be some anomalies processing live data (users report indicators not getting called on every tick for example).

 

Anyway the more people that get on their case the better chance of getting this done in a timely (and useful) fashion.

 

Oh you can have CD bars with ninja though it needs code slotting in for a custom bar type.

 

A quick update.

 

I have been doing some testing with TSSuport I am pleased to say they are taking these issues very seriously and have been doing a lot of work behind the scenes.

 

I had heard on the grapevine that Rithmic had made some changes to their infrastructure and that it the data was currently pretty top notch. I decided to spend a few days testing and doing a bit of platform testing at the same time. I actually used Zen which in theory should see the same improvements.

 

As MC is my package of choice I decided to write the initial test stuff there. It quickly became apparent. that something weird was going on, one of the things I logged was if the bid >= ask. That was triggering now and then. It would appear that there are a couple of 'wrinkles' with how Zen reports some trades anyway to cut to the chase TSS have changed their zenfire connector to accommodate these. I notice you get crosses in Ninja too incidentally.

 

I also hear that we will be ale to construct historical bars tick by tick, initially for IQfeed, this should allow cumulative delta to be plotted correctly when loading a new chart.

 

I am rather looking forward to V7.0!

 

Edit: I have not seen race condition for quite some while, hopefully that has been fixed in all the updates. I guess I should turn back on the code that deliberately tries to cause one!!

[waveslider 10]

Hi Blowfish - been a while.

 

I think you were one of my inspirations for joining MC after leaving TS. Anyway - I still use them as a historical data provider. I am becoming more interested in intra-bar order flow and am about to migrate to IQfeed as a data provider.

 

Sounds like TS will not likely have sub-second data any time soon, agree?

 

Now my only issue with MC is on the automated side, but that is a different story...

[BlowFish 10]

It has (been a while). A far as I am aware TSSuport have a kind of 'interim solution' for CD that is restricted to IQfeed and reads their (IQfeed's) historical data rather then the MC database. This is rather limiting not least because IQfeed does not supply enough historical data for a complete CD calculation. (Depending on how far back you want to go). A shame really but I guess better than nothing and possibly good enough for what you require.

 

To be honest when it became apparent that was as good as it was going to get for the foreseeable future I stepped back a bit.

 

Automation seems to be an area that they are more receptive to working on