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What blockvolume is visible? - order processing


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What blockvolume is visible? - order processing

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Santa Cruz De Tenerife; Spain
 
 
Posts: 4 since Aug 2019
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Edit Title: What kind of blockvolume is visible? - order processing

Hi everyone here,

how is blockvolume and volume in general calculated? I am wondering this since several months and one vendor didn't answer the question really and the NT support neither. I still don't know whether the blockvolume indicator (specifically NT8) shows blockvolume of both limit and market orders or only of one of them.

The indicator gets its volume from a 1 tick data series and simply detects volume above a given size. 1 tick = 1 trade. Therefore I believe it shows block market orders only. But I am not sure.

Let's say there is a 500 contract sell limit and 400 individuals buy market into it. Probably this would create 400 ask-side ticks with roughly 1,25 volume each. But open interest for eg. shows both sides of the trade. So if this would apply for normal volume as well, this example would create 401 ticks with the last tick, when the block order is worked off, 1 tick with a volume of 500.

Now the question how are orders processed really, and which block orders do really show up? I hope someone here knows!

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