Measuring volume hitting the bid vs. hitting the Ask

September 5th, 2009, 02:47 PM

Can we see in OnMarketData() the amount of volume hit the bid and how much hit the ask? That would be useful to develop something like this.

YouTube - [AUTOLINK]Delta[/AUTOLINK] Divergence Indicator

September 5th, 2009, 04:54 PM

shodson

Can we see in OnMarketData() the amount of volume hit the bid and how much hit the ask? That would be useful to develop something like this.

YouTube - [AUTOLINK]Delta[/AUTOLINK] Divergence Indicator

shodson,

Already done by volume size. if you want total bid and ask volume in one indicator, set "less than" indicator to 10,000.

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Measuring volume hitting the bid vs. hitting the Ask

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Measuring volume hitting the bid vs. hitting the Ask