Calculating buy/sell volume from total volume

[quibowibbler]

Hi,

Im currently trying to convert some tradestation code that uses "upticks" and "downticks".

I've worked out that upticks and downticks represent the volume of buys and the volume of sells respectively.

Now I'm doing this for shares- I know this is a Forex forum but Im sure it is relevant here too, I just don't know what the equivalent words for some terms asre for the total volume of shares on the market.

My data only has the total traded volume for the day, which is obviously the sum of upticks and downticks. So:

Upticks+Dnticks = Voume ...(1)

Now I also know the price change in the day is equivalent to the ratio between upticks and downticks, so:

Upticks-Dnticks = dprice*Nshares ...(2)

where Nshares is the total number of shares on the market and dprice is the ratio of price move
dprice=(close(today)-close(yesterday))/close(yesterday)

Substituting (2) into (1) and rearranging gives:

Upticks=0.5*(dprice*Nshares+volume)
and
Dnticks=volume-upticks.


However, something is wrong as my downticks variable is often negative.


If anyone can spot what I've done wrong, please advise. It would be a massive help

Thank you

 

[N Rothschild]

think your a bit confused, uptick and downtick is not volume

 

[quibowibbler]

Im trying to convert a volume indicator from Tradestation easylanguage code.

If you look at https://www.tradestation.com/support/training/downloads/Volume_Reserved_Words_Reference.pdf

my definition is accurate.

My assumptions are based on the fact that if all the company's shares were sold at an instant, the price would drop by 100%. Therefore price and buyvolume-sell volume must be directly proportional to each other. Intuitively buy and sell volume must add up to equal the traded volume over a time period.

 

[N Rothschild]

all an uptick or downtick is a movement in price be it 1 or 1 million shares. nothing to do with volume!

 

[quibowibbler]

all an uptick or downtick is a movement in price be it 1 or 1 million shares. nothing to do with volume!

But in easylanguage codse it is a volume. See my link

 

[N Rothschild]

well what you wanting to do, work out volume of shares or volume of ticks..

 

[quibowibbler]

volume of shares.

I know that the volume of buys plus the volume of sells are equal to the total traded volume for one time frame.

I also assume that the difference in up(buy and down(sell) volume is proportional to price movement

 

[quibowibbler]

just like this person wanted here: http://www.trade2win.com/boards/price-volume/26795-buy-sell-volume.html

Im confident that it can be calculated from price changes and toal volume but something in my methodology is out

 

[N Rothschild]

yes like i have said upticks ad downticks have nothing to do with volume, maybe thats why its not working..

 

[quibowibbler]

I thought price movement would be related to the ratio of buy volume/ sell volume.

 

[numbertea]

Sorry to revive a dead thread like this but I was curious about the content so I investigated it a little. Turns out upticks and down ticks only are about price and do not include reference to volume. Seems to me also that volume bought uptick vs vol downtick won't really show anything interesting. All the info is in the price already.