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 high and the bar's low price.
- The sum of all ask volume minus the sum of all bid volume in that bar.
- The cumulative volume traded at the bid-ask spread only.
- The total volume divided by the number of price levels traded.
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