Bid & Ask Cumulative Delta
Definition
Bid & Ask Cumulative Delta tracks the cumulative difference between resting buy (bid) and sell (ask) orders on the order book over a specific timeframe. It measures the net liquidity imbalance between passive buy and sell orders, offering insight into the supply and demand dynamics waiting to be executed.
Key Concept:
Bid Liquidity: The total volume of passive buy (bid) orders resting in the order book.
Ask Liquidity: The total volume of passive sell (ask) orders resting in the order book.
Delta: The difference between bid liquidity and ask liquidity at each point in time.
Cumulative Delta: The running total (cumulative sum) of these differences over time.
Cumulative Delta=∑(Bid Liquidity−Ask Liquidity)
Depth Parameters:
The Bid & Ask Cumulative Delta is analyzed across various order book depth levels, each representing a range of liquidity from the mid-price:
Quote: Best bid and ask prices.
1% Depth: Orders within 1% of the mid-price.
2% Depth: Orders within 2% of the mid-price.
5% Depth: Orders within 5% of the mid-price.
10% Depth: Orders within 10% of the mid-price.
20% Depth: Orders within 20% of the mid-price.
Full Book: All visible liquidity across the entire order book.
Each depth level provides a unique perspective on liquidity concentration and imbalance, offering clarity on market sentiment across varying price ranges.
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