Support Board
Date/Time: Fri, 04 Jul 2025 22:18:22 +0000
Post From: Cumulative Delta issue
| [2020-03-09 08:36:20] |
| WarriorTrader - Posts: 247 |
|
Hello, I know you have had some issues with the CQG feed in the past and the new Denali Exchange Data Feed is superior in every way but I am trading the Nikkei 225 through the OSE exchange which is only available through CQG. There is an issue with the cumulative delta that is identical to a cumulative delta problem with Gain Capital feed back in 2017. Your team was able to identify the problem and fix it back then - hopefully it is the same issue with the CQG feed. When the market volatility is high bids are reported as asks and asks are reported as bids - so as the market price goes down sharply the cumulative delta actually goes up. The is the opposite of what is expected. Hopefully you can apply what you learned with the Gain Capital feed and apply it to the CQG feed. Below is the old post from 2017. At the end of the post your team reports the problem as fixed: Gain Capital Cumulative Delta Gain Capital Cumulative Delta Thanks, -WT |
 CQG_Delta.png / V - Attached On 2020-03-09 08:28:35 UTC - Size: 102.3 KB - 277 views |