Support Board
Date/Time: Mon, 22 Jun 2026 03:23:33 +0000
Ask Bid Volume Difference Bars Indicator looks very off for large cap stocks
View Count: 15
| [2026-06-21 23:57:39] |
| TonyCipriani - Posts: 118 |
|
Hi, The Ask Bid Volume Difference Bars indicator for some reason is just showing entirely negative readings for large cap stocks. For example, if you pull up a Daily chart of AAPL, TSLA, GOOGL, or NVDA, you can see that it's basically just entirely all negative which is very strange. This only seems to be the case for these large cap stocks and is fine for smaller caps. 1. For US equities like AAPL, TSLA, and MSFT on Denali US Consolidated Feed, does Sierra Chart receive a trade-direction indicator from the exchange/feed, or is it using the heuristic fallback (tick rule + bid/ask proximity) to classify bid vs ask volume? 2. When trades are reported from off-exchange venues (TRF/dark pools) at midpoint or sub-penny prices, how does Sierra Chart classify them as bid or ask volume? These prints often don't have a meaningful relationship to the NBBO, and on mega-cap stocks they can represent 40%+ of volume. Could this explain a persistent negative bias in the Ask/Bid Volume Difference Bars study for high-cap equities? 3. Are odd-lot trades (under 100 shares) included in the bid/ask volume calculations for equities? For stocks priced above $300, odd lots are a significant share of volume. Thanks a lot. |
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