Changes

Jump to navigation Jump to search

Volume Delta

20 bytes added, 17:11, 8 November 2012
# Select the '''Resolution''' your chart will be based on. It allows you to choose which type of data (for more details see [[Tick, Minute and Daily Data]]) and what detailed resolution will be used for building the bars.
# Select '''Breakdown by''':
#* '''Up Ticks vs Down Ticks''' method:
#** If the current tick price is higher than the previous tick price, the volume of the current tick goes to BUY volume.
#** If the current tick price is lower than the previous tick price, the volume of the current tick goes to SELL volume.
#** If the current tick price is the same as the previous tick price, the volume is recorded either to BUY or to SELL volume depending on what was the last recorded volume.<br><div style="background-color: #E5F6FF;">'''Example''': If a new tick comes with higher than previous price and volume is recorded as BUY volume, and then another tick comes with the same as previous price, the volume is recorded also to BUY volume.</div>
#** If a tick is first one in the series, its volume goes to BUY volume.
#: <div style="background-color: #E3FBE5;">'''Note''': When you plot Volume Delta chart, take into account that it doesn't matter what resolution is selected, additionally MultiCharts will request '''historical tick ask''' and '''bid''' data from your data source for the specified in chart settings data range, if '''Ask Traded vs Bid Traded''' is selected. </div>
#: <div style="background-color: #E3FBE5;">'''Important information''': The logic described above is for data collected in real-time. The following logic is used for historical plots. '''Example''': Assume there are 3 historical trades, 9 historical bid quotes and 12 historical ask quotes. All of them have the same timestamp. To find out which historical asks and bids were used to generate the trades, they are all divided into 3 equal parts (because there are 3 trades). the first “batch” there are 3 asks, 1 trade and 4 bids. The most recent ask/bid matching the trade price is considered to be the price where the trade was made. If ask price is considered for the fill, then the trade’s volume goes to BUY volume. If bid is considered for the fill, then the trade’s volume goes to SELL volume..</div>
#* '''Ask Traded vs Bid Traded''' method:
#:* If the current tick price is higher than the previous tick price, the volume of the current tick goes to BUY volume. #:* If the current tick price is lower than the previous tick price, the volume of the current tick goes to SELL volume.#:* If the current tick price is the same as the previous tick price, the volume is recorded either to BUY or to SELL volume depending on what was the last recorded volume.<br><div style="background-color: #E5F6FF;">'''Example''': If a new tick comes with higher than previous price and volume is recorded as BUY volume, and then another tick comes with the same as previous price, its volume is also recorded as BUY volume.</div>#:* If a tick is first one in the series, its volume goes to BUY volume.#: <div style="background-color: #E3FBE5;">'''Note''': If '''Ask Traded vs Bid Traded''' is selected, MultiCharts will additionally request '''historical ask''' and '''bid''' '''tick data''' from your data source for the data range specified in the chart settings regardless of the selected chart resolution. </div>#: <div style="background-color: #E3FBE5;">'''Important information''': The logic described above is used for real-time data collection. For historical data the following algorithm is used. Let's assume there are 3 historical trades, 9 historical bid quotes and 12 historical ask quotes. All of them have the same timestamp. To find out which historical ask and bid quotes were used to generate the trades, they are all divided into 3 equal parts (because there are 3 trades). In the first “batch” there are 3 asks, 1 trade and 4 bids. The most recent ask/bid matching the trade price is considered to be the price at which the trade was made. If ask price is considered to be the fill price, then the trade’s volume goes to BUY volume. If bid price is considered to be the fill price, then the trade’s volume goes to SELL volume.</div>#* '''Up Ticks vs Down Ticks''' method:#:* If the current tick price is higher or equals current ASK tick price, the volume of the current tick goes to BUY volume.#:** If the current tick price is lower or equals current BID tick price, the volume of the current tick goes to SELL volume.#:** If the current tick price is between ASK and BID prices, than the volume is recorded either to BUY or to SELL volume depending on what was the last recorded volume.<br><div style="background-color: #E5F6FF;">'''Example''': If a new tick comes with a price higher or equals current ASK tick price and its volume is recorded as BUY volume, and then another tick comes with a price that is between ASK and BID prices, the volume is recorded also to BUY volume.</div>
#: <div style="background-color: #E3FBE5;">'''Note''': When you plot Volume Delta chart, take into account that it doesn't matter what resolution is selected, additionally MultiCharts will request '''historical tick trade''' data from your data source for the specified in chart settings data range, if '''Up Ticks vs Down Ticks''' is selected. </div>
# Select '''Show Volume as''':

Navigation menu