I was looking for an indicator that could measure volume at specific price points, specifically the bid and ask prices to detect aggressive buyers and sellers in a given market. I’m not talking about level 3 data that shows volume at each price, but rather a more generalized indicator that shows the total number of shares traded at an offer/bid price in a given candle, whatever that offer/bid may be at the time. Does this exist currently on a platform like thinkorswim or tc2000, or is this something I’ll have to build from scratch?
Market delta. Www.cqg.com bought the company. Also on investor rt www.linnsoft.com and other platforms like www.bookmap.com
Why not use controlled exits? Like using a higher timeframe and closing at a predetermined time? Like end of week, month, quarter etc..
MotiveWave's Volume Imprint study can display the total contracts traded at the bid and ask for each price level.
I wanted to recommend on Bookamp and just so you figure it out already. It's the best presentation of price auction there is now for my opinion, use it for almost a year now