Support Board
Date/Time: Thu, 28 Nov 2024 08:05:13 +0000
Post From: Number bars calculate values 2 confusion
| [2022-04-09 00:27:00] |
| User19165 - Posts: 346 |
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So to clarify please. From your documentation: "Dominant Ask Bid Percentage: These numbers are displayed as a Percentage value with two decimal places and a % sign (for example: 82.37%) when the Input for Use Default Number Formatting for All Subgraphs is set to No, otherwise these numbers will follow the formatting defined in the Value Format setting for the study." That isn't really explaining to me what the calculation is...My hunch was that it would total up the ask volume and total up the bid volume for that bar and show it as a % based on the delta side. But when I manually calculated that for a bar it did not seem to match up to your values shown. The "Average Non-Zero Ask Volume" gives the total Ask Volume divided by the number of Ask Volume levels (prices) that make up the total. Any 0 Ask volume levels are not included in this (i.e. they are not counted towards the divisor).
The "Average Ask Volume Per Price" takes the total Ask Volume in the bar and divides it by the number of prices that make up the range less 1. If preferred, this can be thought of as the number of ticks that make up the range. So if we use the last bar on the screenshot as an example. Every price in that bar has volume on the ask, that is 6 prices. No zeros are present. Total up the ask volume = 78.6. This matches the average non-zero ask volume as you describe above great. Why does your average ask volume per price minus 1? It should not be thought as the number of ticks that make up the range. By your calculation above you will use a divisor of 5 rather than the 6 it should be. That is completely in error, in this particular bar shown. You are incorrectly assuming there is a zero ask volume on the lows of a bar. |