Estimate Volume from Tick Data

Discussion in 'Data Sets and Feeds' started by gtor514, Jun 7, 2011.

  1. gtor514


    I have tick data in the following format...

    YYYY/MM/DD hh:mm:ss.ss1 AskPrice1 BidPrice1
    YYYY/MM/DD hh:mm:ss.ss2 AskPrice2 BidPrice2
    YYYY/MM/DD hh:mm:ss.ss3 AskPrice3 BidPrice3

    Does anybody know of a standard formula or method to derive a proxy for the Buying and Selling volume from this type of data over some period of time, say like every 5-15 minutes?

    I understand that some methods average the Bid and Ask and if the average is closer to the previous ask it's Buying and conversely if the average is closer to the previous Bid it's selling. This may work but I thought I'd see if there was a standard method for estimating.

    Before you tell me it's not the true volume, Yes I know that. Again I am hoping to estimate the Bid/Ask volume from the data.
  2. rosy2


    you need trades for volume not quotes.

  3. Yes it will be a really bad estimate. Basically use the inverse of the liquidity ratio "how much dollar volume is required to move a stock's price up or down by one percentage point". Plug in the percent move and there you have the (very approximate) volume.