Support Board
Date/Time: Sun, 22 Dec 2024 07:08:26 +0000
Post From: Delta Volume average price per bar
| [2015-04-09 15:27:24] |
| nioko54130 - Posts: 108 |
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Hi dear support, i'm looking for calculate the average price of a range footprint bar with the notion of the delta volume. The goal is to be able able to calculate the average price of a range bare with the delta volume of the barre. For example, if i have a range fotoprint bare like this : Price|Bid contract|Ask contract|(Bid contract*Price)|(Ask contract*Price) 1.25 | 5 | 10 | (6.25) | (12.50) 1.24 | 8 | 80 | (9.92) | (99.20) 1.23 | 10 | 10 | (12.30) | (12.30) 1.22 | 20 | 8 | (24.40) | (9.76) 1.21 | 90 | 5 | (108.90) | (6.05) 1.20 | 200 | 2 | (240) | (2.40) Delta volume for the bar = 5+72+0-12-85-198 = - 218 total sum of the bid contract = 333 bid contract for this bar total sum of the ask contract = 115 ask contract for this bar total sum of the (bid contract*price) = 401.77 total sum of the (ask contract*price) = 142.21 Average price bid = 1.21 Average price ask = 1.24 Average Delta Volume price = 1.22 Is my calcul making sense? The aim of all of that is to know the average price of the limit order inventory for each footprint bar, and for few footprint bar. How could i do dat?? thank's |