I am a user of the NinjaTrader trading platform. As a techie, I’m also interested in the open nature of that platform to develop my own software to work with it. As part of that experience I developed a Cumulative Delta indicator to help me understand the data behind such an indicator as well as the development process. It is fully functional, efficient, and provides results almost identical to the commercial variants of such indicators. My reason for posting here is 2 fold. 1, it will encourage me to develop further iterations of software for the platform, and 2, I could not actually find such an indicator freely available anywhere without payment. (Note – I’m not averse to paying. The commercial one per the example below is one I subscribed to for a couple years from a popular vendor, so don’t think I did this because I am cheap :)). Given this is a fundamental of the sort of trading I do, I thought I would share it freely in case it is useful to others.
Here is a screen shot of the original indicator in use on the ES. It is the first indicator in the image. The second is a commercial cumulative delta indicator for comparison. (please note I have since updated the indicator and new screen shots are below, further down the page)
There are 2 plots on the indicator. The Total and the Per Bar total. The line is red or green depending on whether delta is rising or falling during that period.
One nice thing about this indicator is that it will work with historical data rather than real-time only, per the indicator supplied with NT. This is because it uses the up-tick/down-tick method to calculate data, NOT bid/ask in real-time.
There are options to plot the session total, per bar total, or both (both are on by default). You can also choose whether to reset the total at the start of a new session, or have it accumulate (it resets by default).
UPDATE 2016.10.03 – Full details below in the updates section, but some screenshots with some of the newer features below. Some of the really new stuff NT8 only, but some were present in the latest NT7 version
You can download the latest version of the indicator here
New downloads coming SOON
Note, for the NT8 version, for some features you
will need to enable ‘tick replay’ you might want to enable tick replay for your Data Series – see the use tick replay option in the options and read the release notes here for more.
The application uses TICK data and uptick/downtick for accuracy. Bear in mind adding this to a very long term chart, it may take some time to plot. There are a LOT of ticks in a month/year!
UPDATE 2017.10.13 (NT8 only)
I’ve added a new option to the indicator. ‘useTickReplay’. This is OFF by default. There are also (probably) some small tweaks I’ve made since the last release. The indicator by default adds a tick series of the data you are charting so it has access to tick by tick data to do its calculations. In a few circumstances, you might have tick replay on for other indicators. If this is the case, it’s not really very efficient for the indicator to load its own tick dataset. If you use tick replay on your data series and update to this version, you can enable the ‘useTickReplay’ option and the indicator will use the data from your own data set, rather than loading it’s own. This also seems to help with ‘alignment’ in that 2 tick series data sets loaded on the same chart in NT8 can sometimes, it seems, be processed very slightly apart. This probably has no real bearing on anything, but at least with this option enabled, everything is coming from the same aligned data source.
I’ve updated the NT7 version to include the SMAvg parameter for plotting the smoothed CD, per the newer NT8 versions. Download it from the link above. It also includes the SMAOnly switch so that you can plot the smoothed CD by itself if you prefer. Because I no longer use NT7, I have not tested this extensively. Just in case, the old version of the NT7 indicator is still hosted here. Upgrade should just be a matter of downloading and importing the new version, then refresh your charts.
I’ve updated the NT8 version. This has a few new bells and whistles. New features are
- Delta Momentum – Plots accumulated delta until delta direction reverses (grey bar plot in example screen shot above)
- SMAvg – Plots an smoothed version of the cumulative delta, with colouring for up/down. Filters out the wiggles with standard cumulative delta. The period is the number of bars to smooth/avg over.
- Per BarTotals now have wicks if the bar type is selected (candles).
- Imbalance figures can now be printed on bar totals. This tells you by what percentage sellers outnumbered buyers and vice versa. No good on tiny bars, so this is really for short term charts, footprints, etc.
- ShowImbalance – Plots the imbalance
- ShowHighLow – Plots the delta high and low for the session
- ShowSMA only – Plot only the smoothed CD, not the actual CD as well.
So there; quite a few nice improvements (I think) as well as a couple things to experiment with. Please let me know how you use these in your trading.
There is an updated screenshot showing some of the new features above.
There was apparently an issue with the NT7 version installing on some machines due to reference to an unused third party indicator on my NT7 set-up. I’ve removed this reference and people reporting the issue now report all OK. If it did not install for you before, hopeful it will now. You have the benefit of some new features in this version that I had not released yet. I will write them up when I put up the new NT8 version shortly.
If you have any problems importing this version, please let me know. I’ve changed the way it is compiled and have NOT tested it on a clean system. I’m working on adding divergence detection etc. Cool new stuff 🙂
There is also a new version converted to run on Ninjatrader 8.
I’ve cleaned this up a little and changed the per bar delta to a bar type and coloured them green and red for >0 and <0 respectively. This is much easier to read. Image of the indicator now, below. The thickness of the bars can be changed in the indicator properties, if desired. ‘3’ seems pretty nice for daily charts. An hour later, I’ve also added options to hide either of the plots, which will help in scaling in a small window if you are only interested in the per bar delta, per session data only, or want to chart both, but in 2 panes as separate plots.
A special thank you those who have contributed.
Ranjan S*****r, Michael B****n, S** H*AC, Guido T***
It really is appreciated and you should know this drives me to share more and improve this product.
PJSCumDelta is free for non-commercial use but if you find it useful and wish to donate beer money, you can do so Via Bitcoin or PayPal. Any amount (no matter how small) will give you a warm fuzzy feeling and help me keep the power on. Be fair, just donate what you think is right. Thank you.
Bitcoin to 1PsQP6ECsevKRck4NPNJ3ZLnGaSJLxNyUT
PayPal to pjs DOT guernsey AT gmail DOT com
Commercial arrangements and custom versions are available if you wish to re-distribute or use for commercial purposes. Please do not redistribute this, but feel free to link to it here.
At the very least, if you liked this or found it useful, please let me know in the comments section below, give it a like/share above, or if you wish to share some trading knowledge, get in touch. Thanks!
You can view my linkedin here