I'm assuming you're talking about OnMarketData() for bid/ask, or no?
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one bids or asks and waits for a seller or buyer. in between you have to pray for that seller/buyer. if you look execution wise then you will be playing the market maker (in lack of better word i use this). the difference does not disappears but goes to the pocket of the market maker
TA wise segregating the bid/ask info is very useful if one is trying to find out the buying/selling strength based on bid ask volume and is building an indicator on this line. the whole footprint charts/delta volume is based on this approach only.
This is a good conversation and one I've worked on quite a bit. As you've noticed there is no way in NT to distinguish between buy and sell. I understand from another trader that only professionals have access to that data. They also have visibility of the resting orders and what they are whether they are buy or sell. Don't know how accurate my information is as I stated it but that's what I was taught. Because they have visibility of all resting orders, they also know where our stops are unless you use simulated stops. Anyway, that was a slight diversion but thought I'd mention what I've learned. Hopefully someone else can confirm or correct my understanding.
Now on to the real reason I'm posting. You might want to look at the OBV indicator provided with NT. It plots a line representing a relationship between buying and selling volume.
"OBV (On Balance Volume) is a running total of volume. It shows if volume is flowing in or out. When the bar closes higher than the previous close, all of the bar's volume is considered up-volume. When the bar closes lower than the previous close, all of the day's volume is considered down-volume."
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