Volume Delta: Difference between revisions
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Dave Masalov (talk | contribs) |
Dave Masalov (talk | contribs) |
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#:* If the current tick price is the same as the previous tick price, the volume is recorded either to BUY or to SELL volume depending on what was the last recorded volume.<br><div style="background-color: #E5F6FF;">'''Example''': If a new tick comes with higher than previous price and volume is recorded as BUY volume, and then another tick comes with the same as previous price, its volume is also recorded as BUY volume.</div> | #:* If the current tick price is the same as the previous tick price, the volume is recorded either to BUY or to SELL volume depending on what was the last recorded volume.<br><div style="background-color: #E5F6FF;">'''Example''': If a new tick comes with higher than previous price and volume is recorded as BUY volume, and then another tick comes with the same as previous price, its volume is also recorded as BUY volume.</div> | ||
#:* If a tick is first one in the series, its volume goes to BUY volume. | #:* If a tick is first one in the series, its volume goes to BUY volume. | ||
#: <div style="background-color: #E3FBE5;">'''Note''': | #: <div style="background-color: #E3FBE5;">'''Note''': If '''Ask Traded vs Bid Traded''' is selected, MultiCharts will additionally request '''historical ask''' and '''bid''' '''tick data''' from your data source for the data range specified in the chart settings regardless of the selected chart resolution. </div> | ||
#: <div style="background-color: #E3FBE5;">'''Important information''': The logic described above is for | #: <div style="background-color: #E3FBE5;">'''Important information''': The logic described above is used for real-time data collection. For historical data the following algorithm is used. Let's assume there are 3 historical trades, 9 historical bid quotes and 12 historical ask quotes. All of them have the same timestamp. To find out which historical ask and bid quotes were used to generate the trades, they are all divided into 3 equal parts (because there are 3 trades). In the first “batch” there are 3 asks, 1 trade and 4 bids. The most recent ask/bid matching the trade price is considered to be the price at which the trade was made. If ask price is considered to be the fill price, then the trade’s volume goes to BUY volume. If bid price is considered to be the fill price, then the trade’s volume goes to SELL volume.</div> | ||
#* '''Up Ticks vs Down Ticks''' method: | #* '''Up Ticks vs Down Ticks''' method: | ||
#:* If the current tick price is higher or equals current ASK tick price, the volume of the current tick goes to BUY volume. | #:* If the current tick price is higher or equals current ASK tick price, the volume of the current tick goes to BUY volume. | ||
