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Can We Look At Buy / Sell Volume Pressure Like This?

tatl

Member
hi hi

these formulas don't describe buying and selling volume:

def buying = V*(C-L)/(H-L);
def selling = V*(H-C)/(H-L);

they simply describe:
" volume multiplied by the portion of the price candle below the close "
and
" volume multiplied by the portion of the price candle above the close "

three problems:
  • volume may not be distributed evenly in the trades that occurred above and below the close
  • not all volume below the close is buying volume (trades taken at the ask)
  • not all volume above the close is selling volume (trades taken at the bid)
the way to actually ascertain if a "tick" or trade was "buying" volume is to check if it caused the Last price to go Up.
the way to check if a "tick" or trade was "selling" volume is to check if it caused the Last price to go Down.
some "ticks" or trades keep Last price the same. these are Neutral volume.

so a real indicator that does this would look at each tick and check if it caused the Last price to increase (buying volume), decrease (selling volume), or stayed the same (neutral volume)

I don't code thinkscript that well, i just know how to think about math. it's easy to get confused about what math does. would love for someone to code a buying/selling/neutral volume indicator accurately.

thanks for the reply! to be clear the indicator i'm talking about would definitely include volume in the formula!

buying volume = " the combined volume of all the trades(ticks) that increased the last price"
selling volume = " the combined volumes of all the trades(ticks) that reduced the last price"
neutral volume = "the combined volumes of all the trades(ticks) that left Last price the same"

it doesnt seem possible to get the trade price and volume for the previous tick.

i know its possible to get a value from a bar ago, for example close[1]. but i think i've learned it's impossible to get the price or volume from the previous tick or "trade".

however, perhaps it's possible to save the price value of the current tick, and then compare it to the next one that occurs?

and to save the volume for the current tick?

if you could save the current price and then compare it to the next tick's price, you could see if the next tick is buying or selling volume based on if its price is higher or lower. then you could add its volume to a cumulative "buyvol" or "sellvol" and derive true buying and selling volume.
 
Solution
Is there a way to actually ascertain if a "tick" or trade was "buying" volume is to check if it caused the Last price to go Up.
the way to check if a "tick" or trade was "selling" volume is to check if it caused the Last price to go Down.
some "ticks" or trades keep Last price the same. these are Neutral volume.

The ToS platform provides the Open, Close, High and Low of one bar in time. There is no provision for Tick unless you are on a Tick Chart.

Even if you were on a Tick Chart, the ToS platform does not provide Buying Volume or Selling Volume.

As imperfect as it is, we only have the Volume Pressure code that you detailed at the beginning of your post.

Try pairing:

the Volume Pressure...
Is there a way to actually ascertain if a "tick" or trade was "buying" volume is to check if it caused the Last price to go Up.
the way to check if a "tick" or trade was "selling" volume is to check if it caused the Last price to go Down.
some "ticks" or trades keep Last price the same. these are Neutral volume.

The ToS platform provides the Open, Close, High and Low of one bar in time. There is no provision for Tick unless you are on a Tick Chart.

Even if you were on a Tick Chart, the ToS platform does not provide Buying Volume or Selling Volume.

As imperfect as it is, we only have the Volume Pressure code that you detailed at the beginning of your post.

Try pairing:

the Volume Pressure
https://usethinkscript.com/threads/...ssure-indicators-labels-for-thinkorswim.8466/

with Support & Resistance
https://usethinkscript.com/threads/trend-pivot-points-indicator-by-mobius-for-thinkorswim.1631/

and a Trend Indicator
https://usethinkscript.com/threads/a-serving-of-trend-and-momentum-indicators-for-thinkorswim.4880/

To narrow down your results.
 
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