Volume Breakdown: Bid Ask Delta

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Tue, 06/02/2020 - 09:41
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cpayne
Last seen: 1 year 4 weeks ago
Joined: 03/30/2009 - 00:00
Volume Breakdown: Bid Ask Delta

This topic is being created to explain the Volume Breakdown options of Bid Delta, Ask Delta, and Bid Ask Delta and to handle any questions related to these results.

Volume Breakdown Additions: Bid Delta, Ask Delta, and Bid/Ask Delta. Three new breakdown options were added: Bid Delta, Ask Delta, and Bid Ask Delta. These are designed to help traders identify the level of refreshed bids and offers that are occurring. The Bid Delta of each trade is computed by subtracting the difference in bid size on the book from the actual trade size. If the bid size did not change while a 20 lot went off, then the bid was refreshed and the Bid Delta would get a +20 value for this trade (positive values of Bid Delta should be considered bullish). The bid size before and after the trade occurred are compared. Similarly, the Ask Delta is computed by taking the difference in ask size before and after trade and subtracting that from the trade size. Again, positive values correspond with refreshing offers (positive values of Ask Delta would be considered bearish). The Bid Ask Delta for each trade takes Bid Delta and subtracts Ask Delta (Similar to Bid Delta, positive values should be considered bullish). These new options can be found in the "Breakdown" drop down listbox, and all results and/or statistics of the VB indicator build upon this data just as they do for the standard "Ask vs. Bid Traded" volume.

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VOLUME BREAKDOWN
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Tue, 06/02/2020 - 13:23
cpayne
Last seen: 1 year 4 weeks ago
Joined: 03/30/2009 - 00:00
Bid Ask Delta Details

Looking closer at how the Bid Ask Delta is computed....

On each tick, a value (we will call this value BA_VALUE) is assigned to that tick as follows...

  • If the trade comes in on the bid....
    • If the previous tick also came in on the bid...
      • If the TradeSize is larger than the decrease in the BidSize
        • BA_VALUE is set to the difference between the TradeSize and the decrease in BidSize and is considering "Buy Volume" or "Ask Volume" (Bullish because this signifies refresh of bid on some level)
      • If the TradeSize is smaller than the decrease in the BidSize
        • BA_VALUE is set to the difference between the decrease in BidSize and the TradeSize and is considering "Sell Volume" or "Bid Volume" (Bearish because this signifies a pulling of the bid size larger that the trade that went off)
      • If the TradeSize is equal to decrease in BidSize
        • BA_VALUE is 0 for this tick
    • If the previous tick came in on the ask
      • BA_VALUE  is 0 for this tick
  • If the trade comes in on the Ask....
    • If the previous tick also came in on the ask...
      • If the TradeSize is larger than the decrease in the AskSize
        • BA_VALUE is set to the difference between the TradeSize and the decrease in AskSize and is considering "Sell Volume" or "Bid Volume" (Bearish because this signifies refresh of ask on some level)
      • If the TradeSize is smaller than the decrease in the AskSize
        • BA_VALUE is set to the difference between the decrease in AskSize and the TradeSize and is considering "Buy Volume" or "Ask Volume" (Bullish because this signifies a pulling of the ask size larger that the trade that went off)
      • If the TradeSize is equal to decrease in AskSize
        • BA_VALUE is 0 for this tick
    • If the previous tick came in on the bid
      • BA_VALUE  is 0 for this tick

 

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