Bid-Ask volume

Hi Everyone,

 

Always on the lookout for new angles, has anyone looked at the ratio of Bid volume to Ask volume?

 

Now if you open up a tick file, there are two volumes per tick, one for Bid and one for Ask.  When you convert tick data to bar data, you end up with one combined total volume for each bar and you lose this piece of information.

 

What might be interesting is to generate the bar data, but also generate a Bid to Ask ratio for the volume per bar, and use this as an indicator into SQ for example.

 

Anyone looked at this?

 

Cheers,

 

Mike

Also you can look at bid-ask delta indicators for futures. They could be basically used as custom indicators in SQ

the best formula about bid,ask vol, I think it would be like this:

 

(bid vol –  ask vol) / (bid vol + ask vol) * 100

 

 

But I think it would be not very useful if we don’t make high-frequency trading.