Bid/ask volume

What it is

Bid/ask volume is per-tick trade volume split by which side of the spread the trade hit. When a trade executes at the current ask price, it's classified as ask-side volume — the buyer crossed the spread to lift offers, so it counts as buyer-initiated. When a trade executes at the current bid, it's bid-side volume — the seller crossed the spread to hit bids, so it counts as seller-initiated. Trades printing inside the spread or at exactly the midpoint are handled by platform-specific tie-breaking rules.

This split is the raw input that everything else in order flow analysis is built on. Delta, CVD, footprint charts, imbalance ratios, absorption flags — all of them start from bid/ask volume.

The reason it exists as a distinct concept is that aggressive volume carries information that total volume does not. Volume tells you the market was active. Bid/ask volume tells you who was active and which side was paying to get filled immediately.

Why it matters

• It's the only direct measurement of trade-by-trade aggression available from the public tape.
• It turns a single number (volume) into a signed signal (direction of intent).
• It enables per-price-level analysis: not just was the bar bullish, but at which prices inside the bar did buyers pay up.

In practice, bid/ask volume is rarely consumed raw. Traders read its aggregates: delta over a bar, cumulative delta over a session, imbalance ratios between adjacent price cells in a footprint, sustained one-sided prints on the tape.

How traders use it on Sierra Chart

Sierra Chart stores bid/ask classification at the tick level, which is why footprint and delta tools work natively without third-party plugins. The data is exposed in two main ways: the Numbers Bars chart type renders bid/ask volume per price inside each bar, and ACSIL studies can read the same data via Volume at Price arrays for custom computations.

Traders typically don't look at raw bid/ask values directly. They look at the aggregates — Numbers Bars cells showing ask volume vs bid volume side by side per price, or a delta study summarizing each bar into a single signed number.

Common patterns / pitfalls

• Bid/ask classification is only as good as the data feed. Reconstructed feeds (built from end-of-day OHLC) cannot reproduce it accurately.
• Aggressive volume on one side does not guarantee follow-through. It tells you who tried, not who succeeded.
• Off-hours bid/ask reads are statistically thin and easily distorted by a few large prints.
• Different platforms can split spread-internal trades differently. Two CVD curves on the same instrument may diverge slightly across vendors.
• Watch the spread itself. In wide-spread instruments, the bid/ask split can be misleading because trades inside the spread are common.

Related SCS studies

Bid/ask volume is the underlying input rather than a visualisation in its own right. The studies that consume it are the ones that surface its derivatives — delta coloring, CVD area, and footprint-derived single-print and gap detection.