Four bid/ask related quotepage columns with corresponding RTL tokens are available:
- Bid Tick Count (RTL: BTICK)
- Ask Tick Count (RTL: ATICK)
- Bid Volume (RTL: BVOL)
- Ask Volume (RTL: AVOL)
These market data items update in real-time as trades are received for the instruments you are tracking:
- BTICK counts the number of trades that occurred at or below the current bid.
- ATICK counts the number of trades that occurred at or above the current ask.
- BVOL accumulates the trade volume for trades that occur at or below the current bid.
- AVOL accumulates the trade volume for trades that occur at or above the current ask.
The values of these four instrument properties are reset to zero automatically the session opens. The values can also be examined or SET in RTL formulas. For best results, Investor/RT should run continuously during the trading sesssion. If you quit and startup Investor/RT during the day however, the values of these items will be retained and will pick up where you left off once data reception resumes.
There are many interesting ways you can utilize these new tokens to monitor buying/selling activty for the instruments you track. For example, you can create a custom indicator with the formula (AVOL/BVOL) * 100. This formula calculates the percentage ratio of trading volume at the ask price vs. the bid price. Save the custom indicator, naming it "Buy Sell Volume Ratio", for example. You may then create a custom column referencing this indicator for display in your quotepages. Values near 100 indicate an approximately equal level of buying vs. selling volume. Numbers above 100 indicate more buying volume than selling volume, and conversely, numbers below 100 indicate more selling volume. You can color code the quotepage custom column using rules to improve the visual effect, displaying, for example, values between 95 and 105 with a neutral background, values above 105 with a green background, and values below 95 with a red background.
Another way to utilize the Buy Sell Volume Ratio custom indicator is to track the values of this ratio for specific instruments over time in a chart. This can be accomplished by setting up the Buy Sell Volume Ratio custom indicator as one of your "Custom Prices". Do this in Setup: Preferences: Prices, Custom. For example, assign "Buy Sell Volume Ratio" to custom price slot P8. Since custom instruments can reference custom price values, you may then create a custom instrument to track the ratio historically for any ticker symbols you wish. Here's how:
Suppose you want to historically track the buy sell volume ratio indicator for ticker symbol INTC. Go to Setup: Custom Instruments. Create a new custom instrument, assigning it a ticker such as INTC_BSVR. Setup up INTC_BSVR as a "Sum". It will have only one component. The component is "INTC", the underlying ticker we wish to monitor, with a "Value" of P8:Buy Sell Volume Ratio. Note that P8 is the "custom price" setup previously. Press the Save button. Thereafter, each time INTC trades, the value of the custom instrument INTC_BSVR will update to reflect the current value of the buy sell volume ratio indicator for Intel. INTC_BSVR can, of course, be charted like any other ticker. You can monitor INTC_BSVR in a traditional chart of any intra-day periodicity. It is interesting to watch the tick by tick progression of the ratio in a raw tick chart. To create a raw tick chart of INTC_BSVR use File: New: Chart, and choose "Raw Tick" as the Type of chart. You can even add INTC_ABVR to a separate pane of a traditional chart window containing INTC itself. You can easily observe the correlated movement of the ratio with the price action in the underlying INTC.
Since INTC_ABVR is tracking the ratio tick by tick, you can also set alarms on it like any other instrument. Using the automatic stepping feature of the Investor/RT alarm feature could be useful. Alarms on the value of the buy sell volume ratio can alert you to significant swings in either direction.