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Direct MessagesDate/Time: Mon, 29 Apr 2024 14:27:06 +0000
SPY - CVD Study - Miscalculation****
View Count: 224
| [2024-03-10 22:27:37] |
| User677437 - Posts: 15 |
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I have SPY open on a 1 minute chart with cumulative volume delta study, set to normal default settings, (no, 10, yes, no). There is a drastic difference between the actual volume study. It's impossible for cumulative delta to trend negatively with price, diverging from CVD for an hour long trend. Trading view has the correct calculation for reference. My next question pertains is this a CVD study miscalculation, or the underlying volume data in equities? I'd say it's more likely the latter, since my experience with CVD in futures hasn't had any problems. Or maybe there is a limit in the size or speed of the CVD calculation. Thank you. Hope this can get resolved in a future update. Date Time Of Last Edit: 2024-03-10 22:33:18
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| [2024-03-10 22:43:51] |
| Sierra_Chart Engineering - Posts: 14136 |
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There is definitively not a problem here at all. The data that you see, and the Cumulative Delta Bars - Volume is 100% precise and accurate especially with NASDAQ TotalView. Nothing for us to do at all. We want to make that 100% clear. You are also comparing two different symbols. A NASDAQ TotalView symbol to a consolidated tape symbol. You need to use the SPY symbol for the consolidated tape. So Trading View is incorrect. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2024-03-10 22:45:46
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| [2024-03-10 23:09:05] |
| User677437 - Posts: 15 |
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There can be a misunderstanding. With Trading view CVD indicator, I know it's a continuous contract. The numbers of the CVD is irrelevant to me, because of the number of days in the lookback period, and so what I have been relying is the relative difference between candle stick bars. From bar to bar the difference will stay the same regardless of the lookback period, which just accumulates are larger positive or negative number. And so I was shocked to see such a difference in the price to CVD divergence. And yes there is a difference between SPY-NQTV, and 'SPY'. You'll have to excuse me, the platform has a learning curve. But even in that case of puling up the consolidated tape. There are differences between the volume study and Cumulative Delta. I can easily compare differences in color. Something doesn't add up between volume and CVD. The Trading View CVD shape/trend is correct (Don't care about continuous contract), and that better correlates with the SC volume study. The SC volume study better correlates to increasing and decreasing price more so than CVD. I'm saying it's impossible to have this massive divergence between selling SPY ETF stock, and the actual price increasing for over an hour. |
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| [2024-03-10 23:19:29] |
| Sierra_Chart Engineering - Posts: 14136 |
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It is possible for there to be a divergence. A divergence can happen and the confirmation that it is the fact that you see this with NASDAQ TotalView. NASDAQ TotalView is an order by order data feed. We know when processing that feed, who the aggressor is, if they are on the buy side or the sell side, when matched with a resting limit order. This is a type of data feed, which gives us a full inside view of the market. So the fact that you see the divergence with NASDAQ TotalView does prove that the divergence is valid. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2024-03-10 23:26:00
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| [2024-03-10 23:26:18] |
| User677437 - Posts: 15 |
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Trust me, I'm a CVD and orderflow guy. I love my price and volume divergences. But when the CVD is not being correlated to the actual Volume study, that's how I know something is wrong. And let me show you a good segment. Where the Volume study is saying the correct thing. But CVD is not. And it's an incorrect - miscalculation, because of the underlying supply and demand mechanics. If there are more net sellers, price goes down. If there are more net buyers price goes up, that is the general state of the volume to price relationship, and why divergences are very accurate signals for reversals even though they occur infrequently. This segment between the two rays shows a contradiction between volume and CVD studies. The volume study supports the price narrative. |
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| [2024-03-10 23:29:01] |
| User677437 - Posts: 15 |
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I will re upload the attachment to make sure, I can rely what I am seeing.
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| [2024-03-10 23:37:22] |
| Sierra_Chart Engineering - Posts: 14136 |
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What does this mean: If there are more net sellers,
Buyers and sellers are always balanced 100%. Cumulative Delta, is derived off of what is called Bid Volume and Ask Volume which is determined, from who the aggressor of a trade is, the buyer or the seller. And this is determined, from whether the buyer or the seller is the one who has a resting limit order already in place and that gets matched either with a market order or another limit order subsequently placed. The aggressor, is the buyer/seller hitting the resting limit order. The CFE data feed, is also an order by order data feed. The EUREX data feed is also an order by order data feed. It is a common code base in Sierra Chart processing all of these feeds. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2024-03-10 23:37:55
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| [2024-03-11 01:51:33] |
| User677437 - Posts: 15 |
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If there are more net sellers, net volume being done on the bid. First I thought the massive volume price divergence was weird. Because I knew ES was not going to look like that. I pulled up SPY on trading view and saw CVD, how I thought I would, trending upward with price, opposite to SC CVD. And TW CVD match up with volume, and volume matched up with candle stick color. So in SC on SPY consolidated tape I looked at Volume to CVD in SC and it didn't match up that well. Then I compared Volume study to Price candle stick color and that was 100% correct every green bar matched with every blue candle, and every red bar matched with every white candle. And I did the same for ES futures, every volume bar matched up with corresponding color, in this same time period that we are looking at spy. March 8th 2pm - 3pm EST. So Total volume is a combined ask + bid volume with no net difference calculation, and shows the larger volume side based on color, shouldn't that color match up with CVD and/or ask/bid volume difference bars, because those two studies show the predominate side, and momentum of buyers or sellers on a histogram or chart basis, matching the predominate color in volume study. EDIT* Someone pointed out to me that the Volume study... is not calculated from the predominate volume of bid + ask, and that it is calculated according to price Open/Close color change..... Nonetheless TW CVD is very different than SPY consolidate Tape. TW CVD makes more sense following the usual trend with price. Seeing a completely negative correlation between Price and CVD for over an hour. Is an anomaly. You won't see this happen in Futures and that's all I've been looking at. This is the first day that I've become aware of this on SPY Date Time Of Last Edit: 2024-03-11 02:44:45
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| [2024-03-11 02:55:30] |
| User677437 - Posts: 15 |
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March 1st. SPY. If you put up a poll of these two side by side, regardless of CVD number, and asked which one is right. I mean the response might shock you.
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| [2024-03-11 03:53:11] |
| Sierra_Chart Engineering - Posts: 14136 |
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What we would recommend doing is set the Cumulative Delta Bars study not to reset every day and then you can look at the trend of it over a longer time which may give more what you are looking for when looked over a long time frame. And there is always the possibility to create custom chart bars: ACSIL Interface - Custom Chart Bars And the Bid Volume and Ask Volume can be altered during the building of the bars. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-03-11 11:54:48] |
| User907968 - Posts: 802 |
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@User677437 The TradingView CDV indicator that you are using is total garbage. It's not based on actual ask/bid volume, it's a derivation of price and volume (which is why it always tracks the price chart so well). You might as well delete it from you chart, it's not showing you what you think it is. 100% not showing you cumulative delta. You probably don't believe me, but if you open up the script for it you will see for yourself. |
| [2024-03-11 12:14:07] |
| User677437 - Posts: 15 |
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In a previous message in this sticky. I mentioned that changing CVD to reset or not, only changes the y axis CVD delta number, which I don't use to detect divergences, because the lookback period makes it irrelevant. I only look at CVD candle color, shape and pattern, in accordance to price color, shape, pattern. Changing the lookback period does not change the relative net change of delta from bar to bar. A downward net negative trend, is not an upward net positive trend. Which is the clear contrast between TW and SC. Here is another comparison of TW 1M SPY on March 6th to Spy Consolidate Tape. I have all the lines color coded, and correctly time stamped. Changing the lookback period will not fix the relative trend, the reversal points, higher highs/lows, lower highs/lows. |
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| [2024-03-11 14:04:39] |
| User907968 - Posts: 802 |
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The TradingView CDV indicator that you are using is total garbage.
Date Time Of Last Edit: 2024-03-11 14:05:29
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| [2024-03-11 14:44:54] |
| Sierra_Chart Engineering - Posts: 14136 |
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Yes, we were thinking it must be something like this: It's not based on actual ask/bid volume, it's a derivation of price and volume (which is why it always tracks the price chart so well). Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
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