Support Board
Date/Time: Tue, 26 Nov 2024 05:41:17 +0000
Post From: Numbers bar study bid - ask split incorrect behaviour
| [2014-03-30 11:07:59] |
| Pawel_Szpak - Posts: 48 |
|
Just to clarify, my main issue was always that looking at the numbers bar study & dom the trades were not accumulating on the side of the aggressor - if an offer gets lifted that trade should count on the offer side of the numbers bar study and vice versa for bids getting hit. Anything else is just incorrect. While I'll accept your argument that it is impossible to make it 100% correct, any improvements (such as what you have suggested and done above) are welcome. The fact that cumulative delta is affected is just an extra point as its data would (to my understanding) be derived from the same source as the numbers bars data. Now I don't agree that cumulative delta going down while the market is up on the day is outright non-sensical. It just appears that people were happy to sit on the bid and step up occasionally and soak up a lot of "aggressive" sellers hitting those bids. Certainly there is no reason for the market and delta to always be going in the same direction. |