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Inventory Grab Alert 4/30/09!
- Thread starter AMT4SWA
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This is my understanding of bid-ask delta and it might be outdated but somehow I imagine not.
Incidentally it shows up very similar to MACD on the charts.
I dropped it after pursuing it into the ground.
Bid/Ask volume is the number of shares/contracts currently wanted or offered at the bid/ask. They are QUOTES NOT TRADES.
Trade volume is the number of shares/contracts that traded in each transaction.
The Exchange only provides the price and size of quotes, as well as the price and size of transactions (strikes).
Charting software packages take this information and combine it to create what some call "pressure" indicators etc.
I do not use this information and so I have interest in any further pursuit.
The only thing that I trust is price and so that is all I watch.
If someone called me today and said they could offer accurate volume real time I would not be interested.
I am only interested in the outcome of all the strikes and the outcome is last price traded.
The rest is up to me.
regards
f9
Incidentally it shows up very similar to MACD on the charts.
I dropped it after pursuing it into the ground.
Bid/Ask volume is the number of shares/contracts currently wanted or offered at the bid/ask. They are QUOTES NOT TRADES.
Trade volume is the number of shares/contracts that traded in each transaction.
The Exchange only provides the price and size of quotes, as well as the price and size of transactions (strikes).
Charting software packages take this information and combine it to create what some call "pressure" indicators etc.
I do not use this information and so I have interest in any further pursuit.
The only thing that I trust is price and so that is all I watch.
If someone called me today and said they could offer accurate volume real time I would not be interested.
I am only interested in the outcome of all the strikes and the outcome is last price traded.
The rest is up to me.
regards
f9
Quote from ivanbaj:
If we use your good example, what decision should we make? Is the cancellation of the offer at 100 mean something to you? Will the information in T&S be accurate? Am I correct to assume that T&S will not show any information about the cancellation of the offers?
The important thing to know is that at the time of the transaction at 100, it was a buyer buying at the offer. A market buy.
If you looked at the DOM *After* the trade @ 100, it would look like it went off at the bid, a market sell.
You would really want to know what the DOM read before the trade went thru.
There are companies that sell historical data with all limit orders, cancellations, and trades. From that level of data, you could rebuild the entire book. It's a mind boggling amount of data...
Quote from fearless9:
This is my understanding of bid-ask delta and it might be outdated but somehow I imagine not.
Incidentally it shows up very similar to MACD on the charts.
I dropped it after pursuing it into the ground.
Bid/Ask volume is the number of shares/contracts currently wanted or offered at the bid/ask. They are QUOTES NOT TRADES.
Trade volume is the number of shares/contracts that traded in each transaction.
The Exchange only provides the price and size of quotes, as well as the price and size of transactions (strikes).
Charting software packages take this information and combine it to create what some call "pressure" indicators etc.
I do not use this information and so I have interest in any further pursuit.
The only thing that I trust is price and so that is all I watch.
If someone called me today and said they could offer accurate volume real time I would not be interested.
I am only interested in the outcome of all the strikes and the outcome is last price traded.
The rest is up to me.
regards
f9
As I suspected, you didn't take time to understand what this method is about.
We're not looking at "shares/contracts currently wanted or offered".
You got some homework to do! If you don't care for it, again, fine no one is forcing you to accept the method. Which brings me to my next question, why are you still in this thread? There are plenty more threads on ET for you to go trash! Spread the love
Either way, your incessant ramblings about something you don't understand is useless to me. IGNORED!
Quote from fearless9:
This is my understanding of bid-ask delta and it might be outdated but somehow I imagine not.
Incidentally it shows up very similar to MACD on the charts.
I dropped it after pursuing it into the ground.
Bid/Ask volume is the number of shares/contracts currently wanted or offered at the bid/ask. They are QUOTES NOT TRADES.
Trade volume is the number of shares/contracts that traded in each transaction.
The Exchange only provides the price and size of quotes, as well as the price and size of transactions (strikes).
Charting software packages take this information and combine it to create what some call "pressure" indicators etc.
You aren't taking the time to understand what we are measuring.
We are in fact, measuring the "strikes".. and counting them up "At Bid" or "At Ask".
I don't care AT ALL about QUOTES.
Only care about actual transactions.
F9,
Formula for the Volume Breakdown indicator from the Investor RT website:
Delta = Buy Volume - Sell Volume
Buy Volume (Ask Volume) = volume that traded at or above the ask price.
Sell Volume (Bid Volume) = volume that traded at or below the bid price.
And the description:
The Volume Breakdown is a powerful and flexible indicator used to gauge buying and selling pressure, and has attracted quite a bit of attention in recent months. It looks inside each bar, breaking down and classifying each tick and then accumulating the results, and further giving the user a variety of statistical measures (including all built-in technical indicators) to apply the these results. The most common use of the VB indicator is to calculate the delta (difference between the buy (ask-traded) and sell (bid-traded) volume) of each bar. Positive deltas signify more buying pressure, while negative deltas signify more selling pressure. The magnitude of the delta determines the strength of that pressure. Expect to see positive deltas during uptrends and negative deltas during downtrends, but look for delta turning negative at highs, or turning positive at lows...a sign of possible market turns and good entry/exit points.
I think you might have been confused about the Cumulative Delta indicator..... but hopefully this clears it up.
Formula for the Volume Breakdown indicator from the Investor RT website:
Delta = Buy Volume - Sell Volume
Buy Volume (Ask Volume) = volume that traded at or above the ask price.
Sell Volume (Bid Volume) = volume that traded at or below the bid price.
And the description:
The Volume Breakdown is a powerful and flexible indicator used to gauge buying and selling pressure, and has attracted quite a bit of attention in recent months. It looks inside each bar, breaking down and classifying each tick and then accumulating the results, and further giving the user a variety of statistical measures (including all built-in technical indicators) to apply the these results. The most common use of the VB indicator is to calculate the delta (difference between the buy (ask-traded) and sell (bid-traded) volume) of each bar. Positive deltas signify more buying pressure, while negative deltas signify more selling pressure. The magnitude of the delta determines the strength of that pressure. Expect to see positive deltas during uptrends and negative deltas during downtrends, but look for delta turning negative at highs, or turning positive at lows...a sign of possible market turns and good entry/exit points.
I think you might have been confused about the Cumulative Delta indicator..... but hopefully this clears it up.
Quote from stoneface:
You aren't taking the time to understand what we are measuring.
We are in fact, measuring the "strikes".. and counting them up "At Bid" or "At Ask".
I don't care AT ALL about QUOTES.
Only care about actual transactions.
You might want to run an audit on the authenticity on your inputs.
I do understand what you are attempting.
regards
f9
Quote from stoneface:
The important thing to know is that at the time of the transaction at 100, it was a buyer buying at the offer. A market buy.
If you looked at the DOM *After* the trade @ 100, it would look like it went off at the bid, a market sell.
You would really want to know what the DOM read before the trade went thru.
There are companies that sell historical data with all limit orders, cancellations, and trades. From that level of data, you could rebuild the entire book. It's a mind boggling amount of data...
Do you think that a market order to sell can be executed at the ASK? If yes do you think that this is very unusual and can be ignored as small error in the delta calculations?
Another thing that bothers me is that in less liquid markets the spread is bigger than one tick. Any trades executed inside the spread are reported as inside trades. Not specifically reported as market orders at bid and ask.
I have the feeling that in the markets with 1 tick spread there is an invisible, larger, spread of few ticks. Now all trades here will be reported at the bid or ask but if you to believe of the larger spread these trades are inside trades.
Another way to describe this is using a value price. If a trader believes that the value is 100 and he decides to sell market at 110 (bid/ask is 110/111). Do you think he is selling in desperation? When the price was 100 he could have put a limit order at 110 but instead waited for the bid/ask to become 110/111 and made a market order. Is there a difference for you delta guys?
Now what if this is done by algos? They can be programmed to use market only orders. The limit order will be a resting order in the software. We will never see it as a limit order in the DOM.
Quote from SoCalTrader619:
I think you might have been confused about the Cumulative Delta indicator..... but hopefully this clears it up.
I don't use volume, but you and so it is you who must be satisfied.
If you are happy to believe something written on a website then so be it.
On the other hand, if you trust nothing in this game until it is authenticated, then you would not surprise me in the least if you pursued the data to establish exactly what is being supplied to your charting guys.
regards
f9
A short scalp I took off daily PP and globex low, after a pretty big divergence in CD and price.
White line on price chart is cumulative delta, as well as indicator on bottom:
http://www.sierrachart.com/userimages/upload_2/1241716460_17_UploadImage.png
PS: SIM, not real
White line on price chart is cumulative delta, as well as indicator on bottom:
http://www.sierrachart.com/userimages/upload_2/1241716460_17_UploadImage.png
PS: SIM, not real
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