Support Board
Date/Time: Sun, 24 Nov 2024 15:54:18 +0000
Post From: Volume Imbalance Inside Market
| [2013-11-05 14:15:58] |
| User62375 - Posts: 12 |
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SC support, please take the time to read this. There is another thread here volume imbalance charts addressing it, but I did not see any SC support response. Volume imbalance at Market Delta is really just a measure comparing the true 'inside' market The indicator DOES NOT measure the # of contracts traded at a bid price vs the # of contracts traded at the same price... The true inside market is found by looking at the number of contracts traded at a bid versus the number of contracts traded at the offer married to that bid, and the offer married to that bid is one tick higher than the bid, 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: NUMBARS 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. 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 uses different color font in numbar for either the bid volume or the ask volume (a tick higher) depending on whether a certain threshold has been reached. For instance, if you designate 300% difference, then when the number of 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, the offer price for buyers. Can this be done in Sierra Charts? (of course it can, after all, it's the greatest charting package in the world) Thanks for your attention |