ZTP Cumulative Delta Indicator
The ZoneTraderPro cumulative delta indicator has now been added to the suite. Unlike other similar indicators, including the one that is packaged with NinjaTrader Volumetric bars, the ZoneTraderPro indicator uses a reconstructed tape feature that allows you to filter for large orders.
Any cumulative delta indicator can show divergence, but no other indicator can show you filtered divergence.
As you can see from the chart on the left, the small retail buyers were the buyers as the market traded up, and the large lot traders were the sellers at the same time. Only with ZoneTraderPro would you know not to be a retail buyer, but a seller in this situation.
Also note what the cumulative delta calculation is telling you the retail crowd was net long by 6000 contracts, but the large lot traders were net short -4000 contracts. Going into the exhaustion pattern, who was right?
Tape Reconstruction Filtering
Tape Reconstruction Filtering is another completely unique tool that ZoneTraderPro offers. NinjaTrader and other indicators report the size of the fill in the time and sales window.
The time and sales window reports the size of the fill, and not the size of the order. So when this order for 334 contracts to buy went off, the largest fill size was 22. Other software would only pick up a trade for 22 contracts as the largest order.
NinjaTrader includes a cumulative delta indicator with the volumetric bars package. However, and this is very important, if you put a filter value in of 100, this trade would not have been captured.
The indicator is accurate if there is no filter used. But if you want follow the large lot traders, then only ZoneTraderPro has your answer.
Filtering Based on Trade Size
Now we can set multiple filters to display on the same display pane. The large block traders are the black line, and notice that they are correct when they are selling and buying.
It is also a very easy way to spot divergences between the large traders and the retail traders. That is why the 25-149 line is green and thicker.
Here is what the Delta Strength chart looked like
Here is what the Point and Figure looked like, accurately calling each market turn
Tape Reconstruction Filtering with the Cumulative Volume and Delta Strength Indicator
In this video we look at the updates made to the Cumulative Volume and Delta Strength Indicators and see how they worked in today’s market.
Tape Reconstruction Filtering with the Cumulative Volume and Delta Strength Indicator - Part 2
In this video we look at a live market while it is rading to illustrate the tape reconstruction features of the software when using the ZoneTraderPro Delta Strength and Cumulative Delta indicators. Tape reconstruction is an advanced feature not found in other software and is essential for looking at the order size of a trade, not the fill size which is commonly reported.
ZoneTraderPro captures a 500 lot Trader Making 15 Buys Before a 35 Point Move
In this video we look at the ZoneTraderPro Delta Strength and Cumulative Delta indicators capturing a large trader making a significant accumulation of at least 7500 contracts over a 40 minute period, before the market rises a staggering 35 points. But this trader wasn’t alone. The ZoneTraderPro Cumulative Delta indicator was picking up strong divergences in trader that were making trades of 25 contracts or more.