I've been researching this topic and it's confusing to me on how it's calculated with a Level 1 data feed.
From what I've been reading, it appears that a Level 2 data feed is required to calculate it properly.
After all, it's supposed to be an order flow indicator.
Can someone clarify this ?
Volume Delta calculation
- TJ
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Re: Volume Delta calculation
Thanks for that TJ....especially valuable was the definition of the two different break-downs.
Is Volume Delta available to Power Language studies ?
I see this for BidSize and AskSize.....re: "Quote Fields cannot be referenced historically."
So it appears these cannot be aggregated and that one must use a 1 tick chart to get for instance the Volume Delta for the past 100 ticks.
Correct ?
Is Volume Delta available to Power Language studies ?
I see this for BidSize and AskSize.....re: "Quote Fields cannot be referenced historically."
So it appears these cannot be aggregated and that one must use a 1 tick chart to get for instance the Volume Delta for the past 100 ticks.
Correct ?