Hello all, does anyone know if exist a tool which allow to understand (probabilistically at least) if a trade has been executed at the Bid or Ask, that is the % of Buy vs Sell? I know bid /ask the same once a trade gone, but I guess it can be different if it is the bid to move tw ask rather then viceversa. Any comment is very welcome. Roberto
You asked 2 questions. The answer to the first is= put in a reasonable ''limit order'', in a liquid market. Works almost every time or every time-NOT a prediction, wisdom is profitable to direct. [2] Next answer is learn a few stocks-ETFs, write down[ ink on paper] plenty of bids......... plenty of bids/ask spreads+ bids.........................................................................................................Do that for years, 5-7 years.....]; good question
If your trade is a "market order", your buy will be at ask and your sell at bid. If your trade is "limit order", if executed, will be at your offer price. The Exchange displays the best bid & ask of all the offerings.
Well for every buyer theirs a seller, a trade needs both. The only way to measure the pressure on the bid/ask is having tick data and bid/ask quotes at the time of the tick. IQFeed (what I use for data) provides historical tick data and the bid/ask quote at the time of that trade. For instance when I use Amibroker, their realtime plugin doesn't support requesting this data( I could import it into Amibroker with historical data), however their time and sales window does have a bid/ask ratio. Time and sales window just records while its open and doesn't save the data when closed. The bid/ask ratio just takes the number of trades on the bid/ number of trades on the ask. I'm not an intraday trader and trying to use this ratio in context of a system would be a lot of work for myself to dig into. It would need to be put in context of the range the ratio is calculated over since price could move half an ATR for the day and have most the trades happen on the bid or offer so their needs some context I'd think. I'm sure other software with the right data provider would have tools to analyze tick data the same.
M.ST I meant historical. For instance IQFeed is able to send bid/ask price and size at the time of each tick with a historical request. Currently Amibroker is able to retrieve the current values. I read in the request section where Tomasz mentioned working on it in the future since Amibroker had aux1 and aux2 for importing data.
Some exchanges (such as CME) publish the field called "aggressor side", every time a trade occurs. For example, the bid/ask is $100/$101. If the market order to buy market is submitted, this would result in a trade at $101, and the aggressor side is "Buy". Similarly, if the market order to sell is submitted, it would result in a trade at $100, and the aggressor side is "Sell". If you do not have the "aggressor side" info in your market data feed, it is still possible to approximate the balance of buy/sell aggressors by looking at the price and volume.
As a workaround you can store current data to composite and call it using foreign() or setforeign() functions. That means that way you would collect historical bid/ask data for the period AB has been staying opened.