Cumulative / Volume Delta

Optuma Forums Optuma Feature Requests Cumulative / Volume Delta

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  • #56115
    AvatarChris
    • Topics: 1
    • Replies: 2
    • Posts: 3

    Hi I’ve been speaking to Darren, who has advised that I post this idea here to see if it is something that would be possible to script in Optuma using Interactive Brokers data feed. Culumative Volume Delta is the indicator (it has a number of names, as there is a bunch of studies based on the same data and premise). They requires data that provides historical BidVolume and AskVolume. All variations basically involve using the split/difference between contracts/stocks bought at the bid and sold at the ask. Please see a link  – I particularly want to know if Optuma could chart this form:

    Volume Delta (Vol ∆)

    I’d really appreciate a response as I very much need to move charting platforms and Optuma is a favourite.

    Thanks in advance

    Chris

    #56121
    AvatarChris
    • Topics: 1
    • Replies: 2
    • Posts: 3

    Some base this indicator on tick values, but you can also base it on time intervals.

    #56153
    MathewMathew
    • Topics: 32
    • Replies: 1,590
    • Posts: 1,622

    Hi Chris,

    Thanks for posting this. I’ve looked at Delta a number of times but the issue I have always come back with is that there is no way to get the historical data for Bid and Ask Volume. Usually it is a thing which is only reported at the time. Given that we are not the data provider and we only connect when your PC is on, there is no way for us to get access to the data to produce these.

    Here you will see the historical data which is made available through their API – Bid/Ask Volume is not included.
    https://interactivebrokers.github.io/tws-api/historical_bars.html

    Unfortunately I can not see that we will be able to produce those tools.

    All the best

    Mathew

    #56171
    AvatarChris
    • Topics: 1
    • Replies: 2
    • Posts: 3

    Hi Mathew

    Thank you so much for the quick and helpful reply.

    That is a real shame. Are you saying that if the data provider could give such data then Optuma could do this? The reason I ask is that other platforms (InvestorRT, NinjaTrader, Sierreacharts) can do this, so there must be data providers out there that offer the required data.

    I’ll contact NTrader today and see what data provider is required to support there delta indicators, this might give us an answer.

    Cheers
    Chris

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