This Microsoft Excel® dashboard uses RTD formulas to pull in market data based on a new CQG chart type called Delta Bar. Delta Bar is similar to the Constant Volume chart type except instead of a user-set amount of executed volume to determine when a new bar is built, the Delta Bar chart uses a user-set parameter for the difference between volume executed at the ask versus volume executed at the bid. For example, if you set the parameter to 1,000 contracts, then when either the traded volume at the ask exceeds the traded volume at the bid by 1,000 contract or vice versa, a new Delta Bar starts building.
This new chart type can be accessed via RTD formulas for charts and studies. Similar to the post detailing four new chart types, the chart type can be called via the symbol:
The parameters are:
- symbol (EP in this example)
- volume (1,000 in this example)
- volume type:
- Exchange (traded volume)
- Tick (tick volume)
The attached spreadsheet allows you to enter in a symbol and a volume parameter. In addition, two extra columns are included: the executed volume at the bid and the executed volume at the ask.
Requires CQG version 17.10 or higher and Footprint Charts and Studies (MarketDelta) enablement.