easy · Order Flow Analysis footprint-delta
How is the 'Bar Delta' (Δ_bar) calculated within a single footprint bar?
- The difference between the bar's highest and lowest traded price.
- The sum of all ask volume minus the sum of all bid volume in that bar.
- The cumulative volume traded exactly at the midpoint of the bid-ask spread.
- The bar's total traded volume divided evenly across every price level it touched.
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