Support Board
Date/Time: Thu, 06 Aug 2026 10:50:52 +0000
Ask Bid Volume Difference Bars Indicator looks very off for large cap stocks
View Count: 220
| [2026-06-21 23:57:39] |
| TonyCipriani - Posts: 139 |
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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. |
| [2026-06-23 15:47:22] |
| ChrisK - Posts: 48 |
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I don’t have detailed answers for your intricate questions, I’ll leave that to SC but I assume what you see is direct from CTA feed as is. From my research, one reason you’re going to see more negative delta values on equities compared to futures is simply because the nature of how equities are traded on the limit. I recall there has been some documentation here about how delta values are cleaner on Nasdaq TotalView. Since you’re seeing trades on one of the most liquid exchanges clean rather than consolidated from various venues. I just subscribed to NQTV today and think it’s great so far. Give it a try. I think using NQTV is best for intraday, and use consolidated tape for higher timeframe analysis on profiles, bar charts, etc. Hope that helps. |
| [2026-06-23 16:01:15] |
| TonyCipriani - Posts: 139 |
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Hey Chris, Thanks for the reply. Yes, from my research, that's also what I've found too. I'll definitely take a look at this. Thank you so much!! |
| [2026-06-23 16:25:54] |
| Sierra_Chart Engineering - Posts: 24409 |
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You cannot use that study on Historical Daily charts: For example, if you pull up a Daily chart of AAPL, TSLA, GOOGL, or NVDA
It only works with Intraday data. No, there is no such thing for the consolidated tape. does Sierra Chart receive a trade-direction indicator from the exchange/feed, This concept does not exist at all. Although it does exist for NASDAQ TotalView because it is an order by order data feed. So use NASDAQ TotalView for the highest accuracy for these studies. or is it using the heuristic fallback (tick rule + bid/ask proximity) to classify bid vs ask volume? Yes for the consolidated tape.2. How all of this is determined is explained in this section here: https://www.sierrachart.com/index.php?page=doc/NumbersBars.php#BidTrade All trades are always compared against the NBBO at that moment in time. 3. Only if you want them to. This is controllable by you: 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.
Refer to:Chart Settings: Include Odd Lot Equity Trades (Chart >> Chart Settings >> Chart Data >> Chart Data menu) Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2026-06-23 16:28:39
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