Support Board
Date/Time: Sat, 23 Nov 2024 08:58:51 +0000
Delta Calculation Greater Than Total Volume
View Count: 150
| [2024-08-23 15:33:03] |
| User313574 - Posts: 4 |
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I am using the volume by price study and am noticing that at certain prices the ask-bid volume is greater than the total volume. How is this possible?
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| [2024-08-26 13:18:00] |
| John - SC Support - Posts: 36238 |
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Please get us an image of what you are seeing by following these instructions: Support Board Posting Information: Attaching or Posting a Screenshot/Image (Optional) For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-08-26 18:57:39] |
| User313574 - Posts: 4 |
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Volume Profile with bars set to Total Volume: https://www.sierrachart.com/image.php?Image=1724698556524.png Volume Profile with bars set to Ask-Bid (delta) overlayed on previous Volume Profile: https://www.sierrachart.com/image.php?Image=1724698524363.png As you can see there are certain prices everyday where the delta is greater than the total volume itself, which should not be possible. |
| [2024-08-26 20:58:46] |
| John - SC Support - Posts: 36238 |
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You have to keep in mind that the drawings are being drawn to the same distance, even though the underlying numbers are not the same. Therefore, what you are seeing is correctly drawn, but your inference of the data is incorrect. In particular, look at the drawing for the date of 8-22. The longest bar is a green bar at a price of about 124 1/32. Then if you look, you will see a red bar at a price of 124 16/32. That red bar is definitely longer than the total volume bar underneath it. But that does not mean the actual value of that bar is greater than the total volume. The green bar could have a value of 50, whereas the underlying total volume could be 99. So the red bar could be a value of 40, whereas the underlying volume is 41. You would need to look at the actual values in each bar to determine what is occurring, but it is not incorrect. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-08-27 13:30:20] |
| User313574 - Posts: 4 |
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I see, thank you. So currently there is no way to scale the delta as a portion of the total volume? I'm not understanding why specific price levels are drawing the delta out to the end of the bar while others are showing delta as a portion of total volume.
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| [2024-08-27 16:08:14] |
| John - SC Support - Posts: 36238 |
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We assume that you have the following Inputs set as follows: - Bid Volume Ask Volume Coloring Method: Difference of Bid and Ask Volume Coloring - Draw Difference of Bid and Ask Volume Using Percent of Max Bar: Yes - Difference of Bid and Ask Volume Coloring Percentage: 100 If we have the above correct, then what you are seeing is because you have specified that you wanted to view the delta bars stretched out to cover the full volume bars. As such, you can not compare the delta bar lengths to the total volume bar lengths. There is no relationship, apart from the largest value of each is drawn to the same point, with other values relative to that. If you set the Input for "Draw Difference of bid and Ask Volume Using Percent of Max Bar" to "No", then you will see the delta values displayed relative to the total volume, so you can compare the bar lengths in this situation. Refer to the following: Volume By Price Study: Draw Difference of Bid and Ask Volume Using Percent of Max Bar For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-08-27 16:36:38] |
| User313574 - Posts: 4 |
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The Input for "Draw Difference of bid and Ask Volume Using Percent of Max Bar" had already been set to "No" which is the issue I was referencing, as the delta values seemed to be wrongfully displayed relative to the total volume at the prices mentioned above. I have resolved the issue by displaying delta and total volume on one chart study rather than two, and changing the Volume Bar Calculation method to Total Volume while keeping difference of bid/ask volume visible. Greatly appreciate your help and support! |
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