This topic is being created to explain the Volume Breakdown options of Bid Delta, Ask Delta, and Bid Ask Delta and to handle any questions related to these results.

Three new breakdown options (Bid Delta, Ask Delta, and Bid Ask Delta) have been implemented to help traders identify the level of refreshed bids and offers that are occurring. The Bid Delta of each trade is computed by subtracting the difference in bid size on the book from the actual trade size. If the bid size did not change while a 20 lot went off, then the bid was refreshed and the Bid Delta would get a +20 value for this trade (positive values of Bid Delta should be considered bullish). The bid size before and after the trade occurred are compared. Similarly, the Ask Delta is computed by taking the difference in ask size before and after trade and subtracting that from the trade size. Again, positive values correspond with refreshing offers (positive values of Ask Delta would be considered bearish). The Bid Ask Delta for each trade takes Bid Delta and subtracts Ask Delta (Similar to Bid Delta, positive values should be considered bullish). These new options can be found in the "Breakdown" drop down listbox, and all results and/or statistics of the VB indicator build upon this data just as they do for the standard "Ask vs. Bid Traded" volume.

Please note that these Volume Breakdown outputs require a live data feed environment. When a chart is initially opened, there will be no historical data for these results, ie the data will form in the chart as soon as a live stream data is received. However, for replay or backtesting purposes (among,others), you are always able to store these results into V# variable and create a dedicated custom instrument that will keep the corresponding historical data accumulated during a live session.

The approach for creating such a custom instrument would be similar to the one highlighted in this video reviewing how to track historical bid and ask sizes.