Support Board
Date/Time: Sun, 24 Nov 2024 19:46:46 +0000
Post From: volume imbalance charts
| [2013-11-05 13:49:31] |
| User62375 - Posts: 12 |
|
I think you are absolutely right, user 85153. We don't want to compare # of contracts traded at a bid price compared to those traded at the ask at the same price... we want to see the real inside market by looking at the number of contracts traded at a bid versus the number of contracts traded at the offer married to that bid which obviously would be one tick higher, That would be the active offer. The advantage to the MD imbalance indicator is that it actually compares the true inside market. Example: The true available prices for execution are the "bid" and then one tick higher at the "offer." when you sell, you hit the bid, but at that same time, if you wanted to aggressively buy, you would have to go up a tick to the active offer to get long. ...RE: Footprints...DON’T THINK LATERALLY (horizontally in the cell) when viewing a footprint chart, THINK DIAGONALLY. on a bias. Meaning: Example: look at the # of contracts traded at a Bid of 1784.25, but compare them to the # of contracts traded one tick higher, at the offer at 1784.50. afterall, that’s the true market. you can sell the bid or buy the offer, but they are not at the same price for the inside market, you sell at bid, buy at offer (that offer for two sided trade is one tick higher than the bid). This indicator marks the footprint cells where either one of the diagonally compared # of contracts traded reaches a certain multiple of the other side ... For instance, if you designate 300%, then when the number contracts traded at the offer is 3 times (or more) larger than the # of contracts traded at the bid (which would be 1 tick lower than the offer referenced), then the offer side # of contracts traded is printed in green font color. .....65 x 2500......1784.50 ....200 x 1700......1784.25 ...1650 x 1800......1784.00 In the example above, that 2500 contracts traded at the offer of 1784.50 is more than 3 times the number of contracts traded at the bid of 1784.25, so that 2500 contracts traded at the offer would have a text color of green, indicating a bullish imbalance. Just the opposite is true also, if the # of contracts traded at the bid reaches 3 times (or more) of the number of contracts traded at the offer (active offer being one tick higher than the bid), then the # of contracts at the bid would have a text color of RED. This is not the same as color for the dominant side... color for the dominant side only compares horizontally... it compares the number of contracts traded at the bid of 1784.25 vs the number of contracts traded at the same price of 1784.25, that's not a true inside market. That is an artificial battleground, the true battleground between sellers and buyers is Bid price for sellers and then one tick higher, offer price for buyers. Can this be done in Sierra Charts? (of course it can, afterall, it's the greatest charting package in the world) |