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raymondmanny

Delta Volume Upticks/downticks

By raymondmanny, in Volume Spread Analysis

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raymondmanny    10

raymondmanny
Posted

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

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TheNegotiator    13

TheNegotiator
Posted
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.

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