OnMarketData makes bid/ask available (6.5 & 7), and to my knowledge, the bid/ask is now in the db as well. It's all tick by tick.
That was what I was trying to get at, whether or not someone has proven this. I have not, it sounds like cunparis has proven it isn't perhaps.
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The non-cumulative delta is the difference between buys and sells for each bar. so this is similar to Gomi's CD indicator in non-cumulative mode. But we are showing buy and sell volumes, not delta. Non-Cumulative Delta is buy volume minus sell volume for each bar.
The buy and sell volumes in BSVTG3x come from the same place that GCD gets them from.
The idea of churn is volume that doesn't go anywhere, because the buyers and the sellers are deadlocked. Higher volume, less difference between buy and sell volume as a fraction of total volume, and less range denote higher churn.
I hope this turns out to be useful, and certainly would appreciate any feedback.
I wouldn't say deadlocked, it simply means that neither side is being aggressive. I haven't seen any significance when the buy volume & sell volume are equal but I haven't really studied the issue.
The word "churn" can be confusing if we use it in different contexts. In this thread, I have used churn for when price doesn't move much. There can be lots of buying or selling volume and still have churn. In fact this is the most interesting for me, when there are lots of aggressive buyers or sellers and price doesn't move. It means they're running into supply or demand.
I think we can agree on one of characteristic of churning is price stay within a narrow range of (open - close). Or demand is filled by hidden supply or vice versa, maybe this pic will illustrate my point.
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