Volume Study

CQG version 2017 includes updates to the volume study, available for various chart types. This overview of the RTD volume study formulas includes the new parameters that the MarketDelta Footprint® Studies use.

The Setup Study Parameters window shown below details the available highlight choices. You can choose to view total trades or trades separated into trades at the bid and trades at the ask. In addition, Delta volume, Delta Momentum volume and Delta Day volume can be displayed. The three Delta volume studies require the Footprint® Charts and Studies enablement.

The new volume study offers this volume data:

  • Delta: Ask traded volume minus bid traded volume
  • Delta Momentum: Accumulation of previous deltas, directly relates to volume and order flow, more pure data point
  • Delta Day: Net order flow for the day, running total of delta used to look for inverse relationships in the market

For more information, access the help file.

Here are the RTD formulas used to pull this data. The RTD formula for total volume is:

=RTD("cqg.rtd",,"StudyData", "CLE?", "Vol", "VolType=auto,CoCType=Commodity", "Vol","D","0","ALL",,,"TRUE","T")

To use a different symbol, simply replace "CLE?" and make sure to use quotes. If you want to reference a cell for the symbol, replace "CLE?" with the cell reference, such as A1. Do not use quotes. Replace "D" with a time frame of your choice, such as "15". "0" is the current bar. For previous, bars use "-1" or "-2", etc.

To pull in specific contract volume data instead of total volume, use:

=RTD("cqg.rtd",,"StudyData", "CLEZ", "Vol", "VolType=auto,CoCType=Contract", "Vol","D","0","ALL",,,"TRUE","T")

To pull in bid volume and ask volume, use (this is for 5-minute bars):

=RTD("cqg.rtd",,"StudyData", "CLE?", "Vol", "VolType=auto,CoCType=Contract", "VolBid","5","0","ALL",,,"TRUE","T")

=RTD("cqg.rtd",,"StudyData", "CLE?", "Vol", "VolType=auto,CoCType=Contract", "VolAsk","5","0","ALL",,,"TRUE","T")

To pull in the Delta volume, use:

=RTD("cqg.rtd",,"StudyData", "CLE?", "Vol", "VolType=auto,CoCType=Contract", "VolDelta","5","0","ALL",,,"TRUE","T")

You can also pull in the volume data for positive delta and negative delta (only one will show values):

=RTD("cqg.rtd",,"StudyData", "CLE?", "Vol", "VolType=auto,CoCType=Contract", "VolDeltaPos","5","0","ALL",,,"TRUE","T")

=RTD("cqg.rtd",,"StudyData", "CLE", "Vol", "VolType=auto,CoCType=Contract", "VolDeltaNeg","5","0","ALL",,,"TRUE","T")

Similarly, for Delta Momentum and Delta Day, there are three sets each:

=RTD("cqg.rtd",,"StudyData", "CLE?", "Vol", "VolType=auto,CoCType=Contract", "VolDeltaMom","5","0","ALL",,,"TRUE","T")

=RTD("cqg.rtd",,"StudyData", "CLE?", "Vol", "VolType=auto,CoCType=Contract", "VolDeltaMomPos","5","0","ALL",,,"TRUE","T")

=RTD("cqg.rtd",,"StudyData", "CLE?", "Vol", "VolType=auto,CoCType=Contract", "VolDeltaMomNeg","5","0","ALL",,,"TRUE","T")


=RTD("cqg.rtd",,"StudyData", "CLE?", "Vol", "VolType=auto,CoCType=Contract", "VolDeltaDay","5","0","ALL",,,"TRUE","T")

=RTD("cqg.rtd",,"StudyData", "CLE?", "Vol", "VolType=auto,CoCType=Contract", "VolDeltaDayPos","5","0","ALL",,,"TRUE","T")

=RTD("cqg.rtd",,"StudyData", "CLE?", "Vol", "VolType=auto,CoCType=Contract", "VolDeltaDayNeg","5","0","ALL",,,"TRUE","T")

Attached is an Excel sample file that will pull in historical values.

Requires CQG Integrated Client or CQG QTrader version 17.10 or higher and the Footprint Charts and Studies (MarketDelta) enablement.


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