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Direct MessagesDate/Time: Sat, 20 Apr 2024 07:04:12 +0000
A question on $SPX index
View Count: 663
| [2019-11-07 14:55:44] |
| User999647 - Posts: 38 |
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Hi, I got $SPX index on my chart with Ask/Bid Volume Difference Bars study. One question on the bid ask volume of the index - how, say on a daily chart, are the bid and ask volume of the index calculated? Is it a weighted average of the index's constituent companies? Or is it bid ask volume on some kind of futures on SPX? To numerate, on 6th Nov 2019, $SPX has got bid volume of 11,582 and ask volume of 11,817. How are they calculated? Thanks |
| [2019-11-08 01:23:58] |
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The bid and ask volume for a cash index is just based upon the up ticks and down ticks of the index. It has nothing to do with the underlying components.
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 |
| [2019-11-08 10:42:20] |
| User999647 - Posts: 38 |
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So am I right saying that, on 6th Nov 2019, the bid volume of 11,582 for $SPX means 11,582 times in the day the index price of the index went down. In comparison, ask volume of 11,817 means 11,817 time in the day the index price went up?
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| [2019-11-09 13:30:08] |
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Refer to the Definitions section here: Numbers Bars: Definitions Specifically Alternative Bid Trade/Ask Trade 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 |
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