I'm using a chase logic using a lean price % but I also need to look at the volume traded into the bid(my price) and offer(just above).
I used a State block separating the "Trade is Take" and "Trade is Hit" into a pair of Value Accumulator blocks. What I'm having trouble with is..how do I get the VA blocks to collect the volume traded at my order price?This is an OTA so it should reset the VA blocks when I click on my order price correct?
Answer by Damon · Mar 08 at 11:05 PM
Ok if you are using an OTA type algo...... your Order Price is a UDV set to "OrderPrice" functionality. So, you simply use this UDV output value; and then have it referenced in your Volume at Price calculation. For example...... have a Value Extractor Block take a snap shot of this initial Price........ then use this initial Order Price to pull the Market data for Volume at that price level.