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Buy@Ask - Buy@Bid !!!
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Buy@Ask - Buy@Bid !!!

  #1 (permalink)
 Vendor: www.innovative-trading-solutions-online.com 
Hartford, CT. USA
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: AMP/CQG, Kinetick
Favorite Futures: TF
 
RJay's Avatar
 
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Buy@Ask - Buy@Bid !!!

Hi All,

I'm still messing around with Volume.

I can seperate the bid volume from the ask volume. 2 groups.

Is there any way to seperate the volume data into these 4 groups.

buy @ bid
buy @ ask
sell @ bid
sell @ ask

Does anyone have or have seen anything I can use to research this??

Thanks,

RJay

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  #2 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
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I'm assuming you're talking about OnMarketData() for bid/ask, or no?

Mike

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  #3 (permalink)
 Vendor: www.innovative-trading-solutions-online.com 
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Big Mike View Post
I'm assuming you're talking about OnMarketData() for bid/ask, or no?

Mike

Hi Mike,

That's correct. I am looking at OnMarketData() ""feed"".

I see something on my volume charts that may be reflecting this 4 group possibility.

Has anyone seen any documentation that could backup this theory?

Thanks,

RJay

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  #4 (permalink)
 Vendor: www.tradingstudies.com 
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RJay View Post
Hi Mike,

That's correct. I am looking at OnMarketData() ""feed"".

I see something on my volume charts that may be reflecting this 4 group possibility.

Has anyone seen any documentation that could backup this theory?

Thanks,

RJay

I don't see the way you can do it. There is no buy @ bid or sell @ bid.
There is a transaction at bid price. One side is selling another is buying.

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  #5 (permalink)
Elite Member
Calcutta, India
 
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i am new at ninja so pardon my ignorance if i am wrong or misunderstood your q but is you can try this

protected override void OnMarketData(MarketDataEventArgs e)
{
if (e.MarketDataType == MarketDataType.Bid)
{
do something
}
}

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  #6 (permalink)
 Vendor: www.innovative-trading-solutions-online.com 
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There are the ask and the bid prices.

If you buy at ask, someone is selling to you at that price.

Also, If you sell at bid, someone is buying from you at that price.

Does this make sense?

Or does the price gap between bid and ask just disappear?

RJay

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  #7 (permalink)
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RJay View Post
There are the ask and the bid prices.

If you buy at ask, someone is selling to you at that price.

Also, If you sell at bid, someone is buying from you at that price.

Does this make sense?

Or does the price gap between bid and ask just disappear?

RJay

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.

cheers

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  #8 (permalink)
 Vendor: www.innovative-trading-solutions-online.com 
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RJay's Avatar
 
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Ok, I've been using "The Secret" on this idea all week.

And on Volume in general.

Conclusions...

Bid is always Bid. Ask is always Ask.

The spread goes down the rabbit hole.



Now, answer this for me... anyone!!!!

ES Futures Market

1000 contracts are bought at Ask.

In the same time span, 1000 contracts are sold at Bid.

In the same time span, the market goes up 3 ticks.

What happened???


Its my new project!!!!

RJay

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  #9 (permalink)
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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."

Mike

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  #10 (permalink)
Elite Member
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JoeBlow View Post
"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."

Mike


ya thats uptick downtick calculations. i did something on that line to calcutate profiles.

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