Seeking help with ideas on indicators that would quantify the relative interest in a given price range over a given time period. So I guess a measure of thickness, and not volatility.
In the context of this thread, contextual means in relation to (something). Starting with the basics. A trade occurs. There is a bid and an ask price at the time the trade occurs. There is also a price at which a trade actually occurs. There is small, large or zero price movement between the mentioned data points of current trade and the same data points of previous trades. There is a total number of things that actually traded. And there is a total number of trades transacting the total number of things traded. Now look backwards and measure current volume in a contextual way (in relation to something). Keep in mind there are some relations that mean nothing. For instance relating a one minute volume to a daily volume may not be useful.
The relation I was trying to inquire about was the the amount of relative energy in the system. Using a Boxing analogy: Two fighters in the ring and it's the middle of the 6th. Two bets on the table. Bet 1 is Who will win. Bet 2 is will the win be by way of knockout. There may be 4 general scenarios to choose from: 1. Big divergence on scorecard and heavyweight category 2. Big divergence on scorecard and lightweight category 3. Even scores and heavyweight category 4. Even scores and lightweight category The one constant (more or less), is the amount of force it takes on the skull for the brain to shut down. This is more or less constant regardless of the weight of the fighter. For bet 1, either scenario 1 or 2 are good options. For bet 2, scenario 1 is the best option by far, but even scenario 3 is quite good. But sometimes in trading, it appears that midway though the fight, the rules are changed. At the end of round 6, a surprise announcement is made. It is now sanctioned as an amateur fight. The seconds put Head guards on the fighters. Now there is no reason to take Bet 2.
To me, this analogy makes no sense. You provide zero detail about any aspect about a fighters record or factual abilities. Therefore Bet 1 and Bet 2 are just opinion. Then you mention scoring with and without divergence. What exactly has been scored and what is the criteria? I like the color of towel that belongs to fighter 1...10 points!! Moving on you offer a qualified constant. But it's either a constant variable or it's a variable variable. Can not be both. More important the example is skewed and incomplete. Each fighter has different capacity before brain shutdown. You say one size fits all. Even with that, you fail to say if one or both fighters has the ability (and maybe a record) of producing a one size fits all punch. Your point of the ever-changing dynamics of the marketplace is spot on. But while you recognize one side of the dynamic (no reason to do x), you did not mention the other side of the dynamic, which is where the money is. I don't mean to chew off your ear. Good luck with your endeavor.