Jump to content

Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.

  • Welcome Guests

    Welcome. You are currently viewing the forum as a guest which does not give you access to all the great features at Traders Laboratory such as interacting with members, access to all forums, downloading attachments, and eligibility to win free giveaways. Registration is fast, simple and absolutely free. Create a FREE Traders Laboratory account here.

raymondmanny

Delta Volume Upticks/downticks

Recommended Posts

Hi,

 

I know that Delta volume bid/ask is the difference between Market ask volume and Market bid volume. And this doesn't take in account the volume traded on Limit orders.

Am I right ?

 

But I am not sure what Delta volume upticks/downticks means in terms of Market order and Limit orders.

 

Thanks for your light,

 

Raymond

Share this post


Link to post
Share on other sites
Hi,

 

I know that Delta volume bid/ask is the difference between Market ask volume and Market bid volume. And this doesn't take in account the volume traded on Limit orders.

Am I right ?

 

Raymond,

 

Delta volume is indeed the at ask volume minus the at bid volume. This can be a summation per bar (for example a 5 min bar or a 4 tick reversal bar) or it can be delta per price per bar (i.e. the amount of volume traded at the price when it was offered minus the volume traded at the same price when it was bid, again within a set period).

 

The reason for looking at it is that supposedly market orders are aggressive and limit orders are passive. It doesn't explain who is being passive or aggressive though and to what purpose. The volume traded at limit is just the inverse of the market order trades. If a market order for 1000 lots in ES hits the bid, then someone (or probably in this case someones) must be filled by a limit order.

 

But I am not sure what Delta volume upticks/downticks means in terms of Market order and Limit orders.

 

Thanks for your light,

 

Raymond

 

Delta volume in terms of ticks is slightly different. A tick is one trade or transaction. So if I sold a 1 lot or a 100 lot at the bid, that would count as 1 tick - i.e. it happened in one single transaction. If I had a limit order for a 100 lot on the offer and someone bought into me a 17 lot then a 38 lot then 43 then 2, that would be 4 ticks even though I had one order. So tick delta is the number of aggressive transactions versus volume delta which is the volume of aggressive transactions.

 

Hope this helps.

Share this post


Link to post
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.
Note: Your post will require moderator approval before it will be visible.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.


×
×
  • Create New...

Important Information

By using this site, you agree to our Terms of Use.