Support Board
Date/Time: Thu, 06 Mar 2025 06:06:03 +0000
Post From: Tick Size vs Volume at Price Multiplier aggregation method is different
| [2019-07-04 11:05:36] |
| binaryduke - Posts: 378 |
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Referring to this link: Numbers Bars: Adjusting Tick Size For Larger Increment The volume aggregated by tick size changes aggregates across a different range to the Volume at Price Multiplier. Image 1 - 'control' is CL chosen for a clean 0.01 tick. The Numbers Bars are displaying Ask Volume - Bid Volume at each price level. We need only concern ourselves with the final bar in the chart. Image 2 - 'ticksize' shows that when adjusting the tick size from 0.01 to 0.1, volume is aggregated from n.6 below the new tick to n.5 above the new tick, i.e. 57.10 is aggregating 57.06 to 57.15; 57.20 is aggregating 57.16 to 57.25, etc. Image 3 - 'VAP multiplier' shows that the Volume at Price Multiplier is aggregating from n.5 below to n.4 above (i.e. 57.10 is calculating 57.05 to 57.14; 57.20 is calculating 57.15 to 57.24 Is this intentional and if not, if & when the calculation changes would it affect tick size or VAP multiplier aggregation? Date Time Of Last Edit: 2019-07-04 11:06:07
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 1-control.png / V - Attached On 2019-07-04 10:59:28 UTC - Size: 64.18 KB - 383 views 2-ticksize.png / V - Attached On 2019-07-04 10:59:34 UTC - Size: 41.95 KB - 374 views 3-VAP multiplier.png / V - Attached On 2019-07-04 10:59:40 UTC - Size: 42.41 KB - 377 views |