Quotes Delta and CVD for up/down/whipsaw classification

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ingyukoh
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Quotes Delta and CVD for up/down/whipsaw classification

Post by ingyukoh » Sun Dec 29, 2019 5:27 am

QuotesDelta defined as integration of (bidDelta-askDelta) within depth of size
in QuotesDetal.java can be viewed with CVD(cumulative volume delta) accessed in VolumeCounter.java defined as
integration of (Volume Buy-Volume Sell).

If both QuotesDelta and CVD are up moving, strong trend in upward direction.
If both QuotesDelta and CVD are down moving, strong trend in downward direction.
if QuotesDelta ands CVD are in opposite direction, whipsaw region.