Bid-Ask Volume vs Buy-Sell Volume ???

[ninZa]

Hi,

A client requests me a Volume Delta indicator.
(Volume Delta = Ask Volume - Bid Volume)

I take the idea from BuySellVolume, a default indicator by NinjaTrader.

As far as I know, the way NinjaTrader coded BuySellVolume is based on the well known definition:

• Buy Volume = Ask Volume (the volume that occurs at the Ask price)
• Sell Volume = Bid Volume (the volume that occurs at the Bid price)

Source: http://daytrading.about.com/od/daytr...dAskVolume.htm

So:

Buy Volume = Ask Volume
Sell Volume = Bid Volume

And therefore:

Volume Delta = Buy Volume - Sell Volume
(I mean the buy & sell volumes computed by BuySellVolume indicator)

Am I correct about this?

Thank you very much.
Pi

[sledge]

http://www.ninjatrader.com/support/forum/showthread.php?t=53329&highlight=buy+sell+delta

[NinjaTrader_CalH]

Hello NinZa,

Thank you for your post and thanks to Sledge for answering.

That is a fair assessment for the Volume difference for Buy and Sell.

If the client is looking for this kind of Delta, then when this is positive value there are more buys then sells and vice versa for negative value.

[ninZa]

Hello NinZa,

Thank you for your post and thanks to Sledge for answering.

That is a fair assessment for the Volume difference for Buy and Sell.

If the client is looking for this kind of Delta, then when this is positive value there are more buys then sells and vice versa for negative value.

Thanks sledge and Cal.

I just ask for a confirmation of the formula used to calculate volume delta. The programming is straightforward.

As Cal said, using the formula: volume delta = buy volume - sell volume is a fair assessment.

I ask this question because the client says the volume delta of my version (which uses buy & sell volumes of the default BuySellVolume indicator) is different from Gomi's version. I'm not sure Gomi used the same formula. So I just want to know if there is 1 or many formulas to compute the volume delta.

Thanks.
Pi

[eDanny]

You will probably need to use the OnMarketData() method for more accuracy and to match Gomi.

Dan

[koganam]

Thanks sledge and Cal.

I just ask for a confirmation of the formula used to calculate volume delta. The programming is straightforward.

As Cal said, using the formula: volume delta = buy volume - sell volume is a fair assessment.

I ask this question because the client says the volume delta of my version (which uses buy & sell volumes of the default BuySellVolume indicator) is different from Gomi's version. I'm not sure Gomi used the same formula. So I just want to know if there is 1 or many formulas to compute the volume delta.

Thanks.
Pi

That will depend on how you (same applies to NT and Gomi) are defining BuyVolume and SellVolume. Is there NeutralVolume/UnknownVolume/UnclassifiedVolume, and how does it affect your calculations?

[ninZa]

You will probably need to use the OnMarketData() method for more accuracy and to match Gomi.

Dan

Can you explain the difference between the OnMarketData and OnBarUpdate approaches, Dan? I have not investigated this issue thoroughly, but at a glance I see both of them use the same data:

• OnBarUpdate: get the last price via Close[0], and bid, ask prices via GetCurrentBid(), GetCurrentAsk()
• OnMarketData: get the last, bid, ask prices via MarketDataEventArgs

The same data, just the way we access them is different, so it should be identical. Am I wrong at some point, Dan?


=====================================

That will depend on how you (same applies to NT and Gomi) are defining BuyVolume and SellVolume. Is there NeutralVolume/UnknownVolume/UnclassifiedVolume, and how does it affect your calculations?

Yes I believe it's the way we define Buy vol and Sell vol. I'm not sure what neutral, unknown, unclassified volumes mean. The way I code my Volume Delta is the same as BuySellVolume of NT:

if (Close[0] >= GetCurrentAsk())
	buys += tradeVol;
else if (Close[0] <= GetCurrentBid())
	sells += tradeVol;

Buy Volume = the volume that occurs at the Ask price (last price >= Ask price)
Sell Volume = the volume that occurs at the Bid price (last price <= Bid price)

Can you make a comment on this, koganam?

A problem that seemed simple has turned into a real headache to me

Thank you very much for the kind help from you, fellow vendors.
Pi

[koganam]

Can you explain the difference between the OnMarketData and OnBarUpdate approaches, Dan? I have not investigated this issue thoroughly, but at a glance I see both of them use the same data:

• OnBarUpdate: get the last price via Close[0], and bid, ask prices via GetCurrentBid(), GetCurrentAsk()
• OnMarketData: get the last, bid, ask prices via MarketDataEventArgs

The same data, just the way we access them is different, so it should be identical. Am I wrong at some point, Dan?


=====================================




Yes I believe it's the way we define Buy vol and Sell vol. I'm not sure what neutral, unknown, unclassified volumes mean. The way I code my Volume Delta is the same as BuySellVolume of NT:

if (Close[0] >= GetCurrentAsk())
	buys += tradeVol;
else if (Close[0] <= GetCurrentBid())
	sells += tradeVol;

Buy Volume = the volume that occurs at the Ask price (last price >= Ask price)
Sell Volume = the volume that occurs at the Bid price (last price <= Bid price)

Can you make a comment on this, koganam?

A problem that seemed simple has turned into a real headache to me

Thank you very much for the kind help from you, fellow vendors.
Pi

What about the volume that occurs on the inside: neither at the Bid nor the Ask? That is what I mean by UnclassifiedVolume.

[ninZa]

Waht about the volume that occurs on the inside: neither at the Bid nor the Ask? That is what I mean by UnclassifiedVolume.

That kind of volume is simply ignored, Koganam. We neither credit it to buy vol nor to sell vol.

Thanks.
Pi

[ninZa]

Can you explain the difference between the OnMarketData and OnBarUpdate approaches, Dan? I have not investigated this issue thoroughly, but at a glance I see both of them use the same data:

• OnBarUpdate: get the last price via Close[0], and bid, ask prices via GetCurrentBid(), GetCurrentAsk()
• OnMarketData: get the last, bid, ask prices via MarketDataEventArgs

The same data, just the way we access them is different, so it should be identical. Am I wrong at some point, Dan?

I seem to figure out the difference. The data we get from the 2 approaches at any point are identical. However, the accumulation of volumes may be different because:

• OnMarketData: our volume computation is executed when ANY of the bid, ask, last prices changes.
• OnBarUpdate: our volume computation is executed ONLY when the last price changes. Therefore, sometimes the bid or ask changes and makes a qualifying volume but the volume is ignored in our computation.

Am I right, Dan?

Thanks.
Pi

[NinjaTrader_Bertrand]

You are correct in understanding Pi, the OnBarUpdate will need price updates.

[ninZa]

You are correct in understanding Pi, the OnBarUpdate will need price updates.

Thanks.
I'm editing the algorithm accordingly.

[koganam]

That kind of volume is simply ignored, Koganam. We neither credit it to buy vol nor to sell vol.

Thanks.
Pi

I must not have been clear. That is my point. You ignore it. Does Gomi?

[ninZa]

I must not have been clear. That is my point. You ignore it. Does Gomi?

I don't know anything about Gomi's algorithm

As Dan pointed out, Gomi uses OnMarketData approach.
I have edited the indicator using OnMarketData and sent it to my client.

Waiting for his reply whether my version and Gomi's produce the same results .

Thank you for your help, Koganam.

[ninZa]

Today I have just released Volume Delta as the latest free indicator by ninZa.co.

Description: http://ninza.co/product/volume-delta
File: Download now

Thank you for all your helps and supports
Pi