For my understanding:
volume = all shares per bar
tick = is a trade, no matter how much shares
Now i have a little Problem:
I create an indicator (using OnMarketData() ) wich cumulates the upvolume and the downwolume per bar depending of bid and ask. Then i calculate the difference. The difference shold be smaller than the whole Volume of the bar. But.....
Mu indicator shows values far greater than 10k (5 Minutes) and the standard NT-indicator oly shows values belov 10k.... Now is the question: what ist what?
volume[0] = tick count of actual bar? or real volume (all shares traded on this bar)?
e.volume = volume of last Tick, cumulated volume since begining of the bar, open interest, bid size ask size?????
who brings light in my darkness?
thank you.
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