Is there a way of breaking down the total volume in to the number of limit orders and the number of market orders?
And then taking that further, breaking down those numbers into the number of buy/sell limit orders and number of buy/sell market
I am aware of delta/total delta but that doesn't provide me with the information I am looking for.
Seeing as no one replied to my post I figure I am either asking a question that is so obvious to everyone else that you all think I am an idiot :)
or no one else really understands it either :)
In any case I still don't understand the figures that I am seeing but would really like to.
Can someone please help me with some clarity on the topic of volume and delta
First of all some definitions as I understand them:
volume is the total number of contracts traded meaning all buy and sell market orders plus all buy and sell limit orders
Delta is the number of buy market orders minus number of sell market orders (a measure of aggression in the market)
Looking at the volumescope candle in the image we can see that the delta is total buy volume minus total sell volume which as I understand it includes all the limit orders traded as well.
This is not a true measure of delta as I understand it and is not showing aggression
The volumes shown in the volume candle are also difficult for me to comprehend.
At the highest price we see that there was one buy contract traded but this means if the number is representing market orders then there was also a sell limit there that is not shown
ditto if it is showing transactions at that price
but if we double all the orders at all the prices we double the total volume that was recorded for this bar.
I upgraded my license to pro to see if there was something extra to help me figure it out but either the information as I understand it is being presented wrongly or my understanding is wrong
My aim to to breakdown the volumes in each bar to the total number of buy limits vs sell limits and total buy markets vs sell markets.
I would be most grateful if someone could point me in the right direction.
Buying volume is the volume that traded at the ask/offer at a given price. (sometimes called Ask Volume).
Sell volume is the volume that traded at the bid at a given price.. (sometimes called Bid Volume).
Delta is the difference between the buying and selling volume at the SAME price.
Imbalance is the difference between the Buying Volume at one price and the Sell Volume of the price below it.
Market orders vs Limit orders of no consideration in any of these computations. We simply consider each trade and whether it traded at (or above) the ask (buy volume) or whether it traded at (or below) the bid price (sell volume) and we accumulate from there.
This forum post may also shed more light on the subject: https://www.linnsoft.com/topic/imbalance-zones
Hi Chad,
Many thanks for the replies.
I think the first post helps me:
If I understand correctly, are you saying that 1 trade of 1 market order hitting 1 limit order is counted as one unit of volume?