Description

Bid & ask delta - calculates the absolute difference in the volume of different ask and bid limit orders and displays the values in the form of a bar chart. Positive values indicate that the volume of bid orders is larger than ask. Negative values indicate the opposite.

Bid & ask imbalance is the ratio of the difference between the market depth on the bid side and the ask side and the total market depth.

$$ Imbalance =\dfrac{\sum_{i=Mark}^{x}{bid}-\sum_{i=Mark}^{x}{ask}}{\sum_{i=Mark}^{x}{bid}+\sum_{i=Mark}^{x}{ask}}×100% $$

Tests

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Coming soon...

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Location

Bid & ask delta model is available exclusively as an indicator

Functionality

The user can change the values of the following parameters:

Symbol - the asset for which the model indicators should be displayed.
Source - source of data for calculation. Available options: 'Filled orders', 'Best bid & ask size', 'DOM by 1%', 'DOM by 2%', 'DOM by 3%', 'DOM by 4%', 'DOM by 5%', 'DOM by 6%', 'DOM by 7%', 'DOM by 8%', 'DOM by 9%', 'DOM by 10%'.
Measure - units of measurement: either in the quoted asset or in dollars;
Moving average typeline - type of calculated moving average. It can take the following values: 'SMA' (simple moving average), 'EMA' (exponential moving average), 'WMA' (weighted moving average), 'VWMA' (volume weighted moving average), 'LSMA' (linear regression);
Length - period of moving average and standard deviation;
Show metrics? - button to activate the standard deviation and moving average display.