[mister ed]

Well, this is another thread I cannot keep up with!

Been some great points and ideas brought up, I think one of the reasons I cant keep up is there is so much to mull over. Thanks for the charts BlowFish. I too am experimenting with this stuff, there are many combinations and permutations to play with.

Can I return back to the opening discussion Jerry and I were having? I have had a few thoughts. In a nutshell. the definition I have been exclusively using (I wont define it again, its in the earlier posts) up until now is, to my mind, just a “pure� bid/ask volume. I don’t mean that in a value-judgement way, what I mean is it is just data without any interpretation placed on it. The bid was hit? That’s an aggressive sell. The ask was hit? That’s an aggressive buy. (Yeah, OK, "aggressive" is an interpretation, just call it a "buy" or "sell" if you prefer).

The uptick/downtick definition, on the other hand, places an interpretation on the data before it is presented. The bid was hit? Well, before we classify it, what was the most previous price movement, an up- or down-tick? A downtick? OK, well that bid getting hit is “supply� then. On the other hand, if the tick prior was an uptick and that bid getting hit does not represent a downtick then that bid getting hit is “demand�.

See the difference? I would suggest using the uptick/downtick to classify the buys and sells is one step removed from the data. Is there anything wrong with that? Well, actually, I think no, there isn’t; and in fact I think classifying the hits in this way can be extremely useful. DarthTrader has suggested another alternative way of presenting the data, this too looks interesting.

I have attached a chart showing yesterday’s ES (3-minute chart), with the panes below plotting, in order: total volume, straight bid/ask volume, uptick/downtick bid/ask volume. Close examination will show how the two definitions of bid/ask volume show the data differently.