Support Board
Date/Time: Fri, 10 Apr 2026 03:13:07 +0000
Post From: Bid Volume/Ask Volume studies include volume inside the spread.
| [2026-04-09 20:47:28] |
| gjockey - Posts: 49 |
|
Hello, I'm using the Denali consolidated equities feed and various bid/ask studies and delta studies. In particular I looked at the "bid volume versus ask volume" study, and also the individual "bid volume" study and "ask volume" study. I loaded actively trading stocks having wide spreads like TSLA and CAR. Using one-minute candles, it was clear that the candle volume always matched the total of adding the bid volume and ask volume for the candle so there appears to be some fitting of the inside the spread volume to bid/ask volumes. I just want to confirm this and ask if the reason for including the inside the spread volume is a requirement for "making the sausage" for the consolidated tape... and if there might be a study/method to strip out this inside volume or count it separately. Thank You. |