Since we recently had a small discussion about volume, I thought it would be a good time to mention an idea. I have never used volume in my trading, but since the electronic markets have taken off, I have thought it might be worth investigating the usefulness of knowing how much volume is trading at the bid and how much at the ask. I tried out a free trial of a program that does this called Marketdelta. www.marketdelta.com It was a pretty nice program, but I personally couldn't find an edge and it would not do the one thing I really wanted to see.
I think it could be valuable if you could create 2 indicators: The first would be the percentage of trades at the bid and ask for any given time frame. I'm think the best way to visualize it would be a histogram with the bar length equaling total volume, with each bar made up of 2 colors red and green. The red portion would represent
the volume traded at the bid (supply) and the green portion would represent volume traded at the ask (demand). Or a histogram that oscillates between 100% and -100%, negative it would be showing a net % traded at the bid and positive it would be showing the net % at the ask. Anyway, you get the idea.
Second would be a cumulative tick line, like an A/D line. Every time a contract trades at the ask, you add 1 to the total, every contract that trades at the bid you subtract (1). When this line is rising, it indicates demand, falling indicates supply.
I hear marketdelta recently made major upgrades to the program, so perhaps it can do that now, but I am too busy learning AB to try it again. Besides, I know AB could do it, but it's going to be quite a while before I get far enough along the learning curve to program it. However, if anyone else wants to try, I'll certainly do anything I can to
help.
James
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