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Date/Time: Sat, 18 May 2024 05:59:19 +0000

Post From: (Cumulative Delta)

[2015-01-08 18:49:03] Link To Thread - Link To Post [Go To First Post]
Sawtooth - Posts: 4000
Delta mean symmetric difference. https://en.wikipedia.org/wiki/Symmetric_difference Cumulative Delta Bars - Volume is the cumulative sum, over the data in the chart or the trading day, of the difference between the Ask Volume and the Bid Volume, displayed as OHLC Candlestick bars, for the duration of each corresponding price bar. http://www.sierrachart.com/index.php?page=doc/doc_TechnicalStudiesReference.html#s292 You can also create Cumulative Delta Bars from #Trades at Ask/Bid and Uptick/Downtick Volume. All three of these are based on the difference of two data. It's not possible to create OHLC bars without a delta. So creating Delta Uptick bars requires the difference of two data, and creating Delta Downtick bars requires the difference of two data.