Indicator: Advanced CVD, Stops, Icebergs, Large orders

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fibdax
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Re: Indicator: Advanced CVD, Stops, Icebergs, Large orders

Post by fibdax » Tue Dec 18, 2018 7:43 pm

hello explain to me this thing, the CVD during the descent goes from negative to positive but the gain does not change from positive to zero and then again positive but remains above zero reaching a minimum of about 1,400k. It is not clear to me how do you go from a negative to a positive cvd while the PL is always positive? The same thing happened to me yesterday when the CVD was close to zero while the PL was always positive . thanks
Attachments
cvd.png
cvd.png (365.58 KiB) Viewed 3043 times
CVD change.png
CVD change.png (260.72 KiB) Viewed 3046 times
cvd change two.png
cvd change two.png (318.22 KiB) Viewed 3046 times
PL CVD.png
PL CVD.png (285.94 KiB) Viewed 3046 times

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Serg
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Re: Indicator: Advanced CVD, Stops, Icebergs, Large orders

Post by Serg » Wed Dec 19, 2018 10:46 am

SuperDriveGuy wrote:
Tue Dec 18, 2018 12:09 pm
onceI installed the VS2017 redist 64, as you suggested, the error went away.
Great. Sometimes it comes with Windows automatic updates, but it's unclear when it happens after Windows installation. The next Bookmap build will include these libraries.

Serg
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Re: Indicator: Advanced CVD, Stops, Icebergs, Large orders

Post by Serg » Wed Dec 19, 2018 10:59 am

SuperDriveGuy wrote:
Tue Dec 18, 2018 12:09 pm
So now I have successfully been able to load the Advanced CVD Indicator, but the values are 0, irrespective of whichever parameters I change, what am I missing?
Annotation 2018-12-18 120727.JPG
This indicator requires Market-by-order (MBO) data, which is currently provided only by Rithmic and only for CME group exchanges. But your image shows that it's FDAX @Eurex. The same settings work well on ES. It seems that Eurex itself does provide MBO, but it's not available via Rithmic. I will check if / when it's planned to be available.

SDG-settings.png
SDG-settings.png (276.21 KiB) Viewed 3039 times

Serg
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Re: Indicator: Advanced CVD, Stops, Icebergs, Large orders

Post by Serg » Wed Dec 19, 2018 11:21 am

fibdax wrote:
Tue Dec 18, 2018 7:43 pm
hello explain to me this thing, the CVD during the descent goes from negative to positive but the gain does not change from positive to zero and then again positive but remains above zero reaching a minimum of about 1,400k. It is not clear to me how do you go from a negative to a positive cvd while the PL is always positive? The same thing happened to me yesterday when the CVD was close to zero while the PL was always positive . thanks
Hi. I reviewed your images, they all look correct. It's easier to look first at the periods when CVD remains relatively constant:
  • If CVD is positive, P&L is correlated with price
  • If CVD is negative, P&L is anti-correlated with price
  • If CVD is near zero, P&L remains constant
When CVD is changing, the dynamics of P&L is more complicated (same as when you change your own position during price movements). But you can always zoom-in into such periods until CVD becomes relatively constant where the above description becomes applicable.

SuperDriveGuy
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Re: Indicator: Advanced CVD, Stops, Icebergs, Large orders

Post by SuperDriveGuy » Wed Dec 26, 2018 8:46 pm

Serg wrote:
Wed Dec 19, 2018 10:59 am
SuperDriveGuy wrote:
Tue Dec 18, 2018 12:09 pm
So now I have successfully been able to load the Advanced CVD Indicator, but the values are 0, irrespective of whichever parameters I change, what am I missing?
Annotation 2018-12-18 120727.JPG
This indicator requires Market-by-order (MBO) data, which is currently provided only by Rithmic and only for CME group exchanges. But your image shows that it's FDAX @Eurex. The same settings work well on ES. It seems that Eurex itself does provide MBO, but it's not available via Rithmic. I will check if / when it's planned to be available.


SDG-settings.png
Hi Serg,
Thanks! I will eagerly await any information on Order By Order(MBO) from Rithmic for Eurex.

I thought that Order by Order(MBO) would just have more levels than the 15 currently available on Eurex and hence the Advanced CVD indicator would work on Eurex too, as the format would not be any different.

Regards,

SDG

Serg
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Re: Indicator: Advanced CVD, Stops, Icebergs, Large orders

Post by Serg » Tue Jan 08, 2019 12:31 pm

SuperDriveGuy wrote:
Wed Dec 26, 2018 8:46 pm
Serg wrote:
Wed Dec 19, 2018 10:59 am
SuperDriveGuy wrote:
Tue Dec 18, 2018 12:09 pm
So now I have successfully been able to load the Advanced CVD Indicator, but the values are 0, irrespective of whichever parameters I change, what am I missing?
Annotation 2018-12-18 120727.JPG
This indicator requires Market-by-order (MBO) data, which is currently provided only by Rithmic and only for CME group exchanges. But your image shows that it's FDAX @Eurex. The same settings work well on ES. It seems that Eurex itself does provide MBO, but it's not available via Rithmic. I will check if / when it's planned to be available.


SDG-settings.png
Hi Serg,
Thanks! I will eagerly await any information on Order By Order(MBO) from Rithmic for Eurex.

I thought that Order by Order(MBO) would just have more levels than the 15 currently available on Eurex and hence the Advanced CVD indicator would work on Eurex too, as the format would not be any different.

Regards,

SDG
Hi, here is an update on MBO data for Eurex (they call it DBO – Depth by Order). According to Rithmic, they are working on it, but they cannot give a date for DBO yet.

fibdax
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Re: Indicator: Advanced CVD, Stops, Icebergs, Large orders

Post by fibdax » Tue Jan 08, 2019 2:52 pm

I noticed that it is not possible to save the settings of this new indicator will it be possible to do it in a future version? thank you

Serg
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Re: Indicator: Advanced CVD, Stops, Icebergs, Large orders

Post by Serg » Tue Jan 08, 2019 5:54 pm

fibdax wrote:
Tue Jan 08, 2019 2:52 pm
I noticed that it is not possible to save the settings of this new indicator will it be possible to do it in a future version? thank you
It should keep the settings. If it doesn't, it's a bug and will be fixed.

fibdax
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Re: Indicator: Advanced CVD, Stops, Icebergs, Large orders

Post by fibdax » Wed Feb 06, 2019 1:10 pm

when will there be updates on the indicator? example when it will be possible to use the history as the CVD thanks

Serg
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Re: Indicator: Advanced CVD, Stops, Icebergs, Large orders

Post by Serg » Fri Feb 08, 2019 3:40 pm

fibdax wrote:
Wed Feb 06, 2019 1:10 pm
when will there be updates on the indicator? example when it will be possible to use the history as the CVD thanks
It's planned to be updated during next week. The computation will be performed on all available data (not only since indicator was enabled), and it will update the values if settings are changed. Anything else needed?

Best
S

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