Support Board
Date/Time: Thu, 27 Feb 2025 02:21:08 +0000
Post From: Please Consider Average Trade Size For Numbers Bars Text
| [2018-09-05 01:52:17] |
| cmet - Posts: 651 |
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Would it be possible to first combine all volume with same price/time (like you can do in the Time and Sales) and then run the division? This would reduce the number of trades by combining a great deal of the 1-2 lots that are inevitably executed when someone dumps a big market order in the the bid/ask. All volume executed with the same timestamp is very likely to be from the same order so it gives you a better indication of actual trade size (at least for CME products). Date Time Of Last Edit: 2018-09-05 01:53:38
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