I am interested in measuring the total distance traveled by a security and compare with the volume. In the present case, the E-MINI 500. E-MINI price change is by 0.25 increment up/down.
ex: mini moves up 0.25 and we have a volume of 25 contracts, then price goes up again 0.25 with a volume of 34 contract, then price goes down 0.25 with a volume of 44 contract etc.. In such example… the index traveled a cumulative distance of 0.75 point and cumulative total volume was 103 contracts
chart wise, the denominator is a price unit ( not time). I said above 0.25 but you could set at 1 etc..
Sorry but i’m not sure how it should be rendered? Could you produce a small design/draft please?
Hi Nicolas
thanks for reaching out.
I am inserting an excel for better grasp.
let me explain to you the logic behind.
I am using (e-mini 500) Ticks and Volume Charts. For example I look at the 144 volume chart and below have the OBV line. I look at the 144 Ticks (144 transactions) charts and below have the OBV line too.
I am thinking about doing a chart by price unit change and create a liquidity indicator. In regards to the e-mini, I would like to draw a chart by “unit change”. Ex minimum unit change is 0.25 point. the chart will draw a candle stick for each unit change, I can add volume volume and the OBV line too
The liquidity indicator is basically the relationship between the “unit change” and the volume (ratio or multiplication) but I would like to draw this for a selected quantity of “unit change”. To do that, I want to know what distance the price has traveled, regardless if up & down. Ex: the price after 5″unit change” could be unchanged but has traveled …3 units (cumulative change) and the volume is “xyz”. It would some kind of liquidity indicator or basically how many contracts does it take for a “unit change”.
My feeling is that to be in a position where you can observe better the behavior of the market (correlation with volatility? etc..)
Drawing chart by a selected “unit change” which could be determined (0.25, 1, 5, 10 points) complement Ticks & volume charts in my view. The interesting side is to observe the relationship with volume and “measure” this.
if possible … drawing a chart by “unit change” and be able to add two layer (boxes below) which shows “volume” and Ticks (trade) quantity, is certainly quite interesting. Working the relationship they have through this “liquidity indicator” brings a different point of observation (might or might not be useful).
I you have interest, I have published a manual about ticks and volume charts trading
kind regards
Renzo
