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[User Discussion] - Bid Ask Depth Bars Indicator

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[2019-01-17 20:44:40] #1 [Go To First Post]
User41727 - Posts: 124
I am trying better to understand how this indicator works. First of all, is the source code available somewhere? I have looked through the studies source files, but was unable to find it. The indicator is currently running in 'ratio' mode with 'Historical Market Depth - Last' as source data. Now, the documentation suggests that the "last recorded" market depth quantities are used for calculating the indicator for each bar. Does this mean the indicator's calculated value represents the ratio of the bid and ask depth just for the exact moment in time the bar closes, or do previous values during the duration of the bar factor into the calculation somehow? I am asking that because I have noticed the indicator can return inconsistent results when used on different time frames for the same symbol. For instance, I would expect the indicator value for a bar of a higher time to be the same as for a bar on a lower time frame that ends at the same time as the one on the higher time frame. E.g. the indicator value for a 5m bar should be the same as for the last 1m bar in that 5 minute period. However, this is not usually the case. The result of this is that the signal the indicator gives may depend on the time frame that it is running on. Also, since depth data of finer temporal granularity is clearly available, why does the indicator not assemble an OHLC bar from that data for higher time frame bars? This should be simple enough to do and would greatly increase its usefulness in making a meaningful assessment of the bid & ask ratio compared to just presenting one value for a somewhat arbitrary point in time.

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