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new bid/ask volume added in last x minutes


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Jerry,

 

Some software I've trialled shows a ratio of the new volume added to the depth in the last x minutes (where x = 1-30 minutes).  It's a reliable way to find turning points for fast moving spec stocks.  Volume sitting in the depth which was added > x minutes ago is not counted.

 

One would query only the top 3 lines of depth (bid and ask), and sum how much new volume has been added on each side in the time frame chosen.  Then represent that as a ratio. 

 

eg.    5 min NewVol ratio  = 2:1  would tend to be very bullish for the next 5 minutes of trading

         15 min NewVol ratio  = 1:2  would tend to be very bearish for the next 15 minutes of trading

 

Thanks for all your fantastic work.  Best software ever!

 

[edit] - might even work better as an alert type.  Similar to % move in last x minutes.

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The idea works on the observation that volume which has been sitting in the depth for some time ('old' volume) will tend to attract the price towards it, especially if it is large.  Conversely, 'new' volume tends to 'push' the price away from it.  If the new volume is added to the top 3 bid lines, the price appreciates, but only if the amount of volume added to the top 3 ask lines is not also increasing.  And vice versa.

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