Technical Studies Reference


Cumulative Delta Bars - Up/Down Tick Volume

Cumulative Delta Bars - Up/Down Tick Volume is the cumulative sum, over the data in the chart or the trading day, of the difference between the UpTick Volume and the DownTick Volume, displayed as High-Low CandleStick bars.

Calculation Method

  1. The difference between the Uptick volume and the Downtick volume is calculated during the creation of each bar. Uptick volume is the volume that occurred at a higher trade price than previously. Downtick volume is the volume that occurred at a lower trade price than previously. If the last trade price does not change, then it is considered an uptick if there was previously an uptick or a downtick if there previously was a downtick.
  2. The maximum and the minimum of the difference of the Uptick volume and the Downtick volume calculated in the prior step are maintained for each chart bar. This is called the DifferenceHigh and the DifferenceLow.
  3. CDB = Cumulative Delta Bars in the following description.
  4. A CDB candlestick Open is set to the prior CDB candlestick Close. If there is no prior candlestick or the study is set to reset at the start of the trading day, then this is set to 0. The Open is adjusted to be within the range of the High and Low of the Cumulative Delta chart bar at the same index if it is out of that range. So it may not always be equal to 0 in this case.
  5. A CDB candlestick High is set to the prior CDB candlestick Close + the DifferenceHigh for the bar.
  6. A CDB candlestick Low is set to the prior CDB candlestick Close + the DifferenceLow for the bar.
  7. A CDB candlestick Close is set to the prior CDB candlestick Close + (the AskVolume - the BidVolume for the main price bar).
  8. In the case where Reset at Start of Trading Day Input is set to Yes, the CDB candlestick Open, High, Low, Close bar values are reset back to 0. Each of these values also start at 0 at the beginning of the chart.

Important Note: In order for the study to provide an accurate result there must be tick by tick data in the Intraday chart data file. Otherwise, the results of this study will not be accurate. To be certain Sierra Chart is maintaining tick by tick data in the Intraday chart data files, refer to Tick by Tick Data Configuration.

Using Drawing Tools on Cumulative Delta Bars.

Resolving Cumulative Delta Bars Differences.

Cumulative Delta Bars Study with Volume Filtering.

Cumulative Delta Bars Study with Different Volume Filtering.

Inputs

  • Reset at Start of Trading Day: When this Input is set to Yes, then the cumulative sum calculation is reset at the start of the trading day. The start of the trading day is determined from the Session Times in Chart >> Chart Settings. This will be the Start Time or if the Evening Session is enabled, then it will be the Evening Start Time.

    When it is reset at the start of the trading day, the opening value which will be equal to the Ask Volume and Bid Volume difference at the first trade or Intraday data record, will not be at zero. This is normal and expected.
  • Reset at Both Session Start Times: When this Input is set to Yes, then the Input Reset at Start of Trading Day is implied to always be on and the description for that Input applies. Additionally, there is another reset which occurs at the Evening Start Time if the Evening Session is enabled for the chart.

*Last modified Friday, 06th April, 2018.