Support Board
Date/Time: Tue, 26 Nov 2024 10:25:26 +0000
Post From: Cumulative Delta Bars - Up/Down Tick Volume
| [2023-12-12 21:23:14] |
| Sawtooth - Posts: 4120 |
|
Here is my understanding, FWIW: The term 'Tick' is the smallest increment of price movement. The term 'Volume' is the number of contracts traded, some at Ask and some at Bid. The term 'Trades' contains one or more traded contracts. Therefore this value is always less than Volume. The three cumulative delta bar studies do this: - Uptick/Downtick: If price upticks or downticks, the Ask Volume and Bid Volume are captured and their difference is accumulated. - Volume: The Ask Volume and Bid Volume are continuously captured and their difference is accumulated. - Trades: If a trade of any size occurs, the Ask Volume and Bid Volume are captured and their difference is accumulated. You would think that all three would produce the same OHLC bars, but they are slightly different because not all of the three events begin and end within each of the chart bar's bar period. You can have Volume without an Uptick/Downtick. You can have an Uptick/Downtick without a Trade (of a quantity >1 contract). The reason Volume is the better of the three, IMO, is because nothing happens without Volume. |