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Direct MessagesDate/Time: Wed, 08 May 2024 15:32:06 +0000
Req: Best Bid/Best Ask Study
View Count: 1170
| [2019-01-09 17:10:42] |
| User946584 - Posts: 4 |
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Hello, I would like to know if you have a study that allows to show within a bar, how many market orders were executed on both bid and ask separately. (hit the bid or lifting the offer) Indeed, all the current studies just seem to have the total volume (= market order + limit orders) of both bid and ask side. Otherwise, the current features won't allow me to know wether the sellers or the buyers were more aggressive within a specific bar. Thanks for your help |
| [2019-01-09 19:18:56] |
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This is accomplished with the use of the Numbers Bars study and setting it to display the bid volume and ask volume separately: Numbers Bars In most cases a trade consists of a limit order matched with a market order. Refer to the Definitions section on that page to have a better understanding of this and how these trades are identified. 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2019-01-09 20:32:13] |
| User946584 - Posts: 4 |
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The bid/ask configuration just allows you to show how many trades were traded on the bid and how many on the ask side. It clearly doesn't allow to show if an aggressive behaviour which is only characterised by hitting or lifting the market. This is what causes imbalances on different price levels.
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| [2019-01-09 20:57:01] |
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But that is exactly what it shows. A trade at the bid indicates that the seller was the aggressor and a trade at the ask indicates the buyer was the aggressor.
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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2019-01-09 22:26:49] |
| User946584 - Posts: 4 |
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Your explanation is not logic to me because what you're saying is that the bid ask numbers bars only refers to the market orders being executed. But: - on the bid side you can have either the aggressive seller or the passive buyer getting filled - on the ask side you have have either the aggressive buyer or the passive seller getting filled. |
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