Intraday market depth evolution

Discussion in 'Trading' started by Pierreg, Dec 8, 2009.

  1. Pierreg

    Pierreg

    Hi

    I am studing, as a Phd student, high frequency moves of stocks on the NYSE.

    That's is the intraday evolution of NYSE stocks. I have the whole market depth of all NYSE stocks.

    I have modelled (see the pic I have sent) the activity of the market depth for one day of Google (a.o.d: 06/07/07)
    and also lots of other quotes.

    This gives relevant information on the stock evolution.

    I would like to talk and exchange with people who are interested by this kind of subject.

    If you are interested, please feel free to reply to me.


    Thx
     
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  2. 1) Pretty colors!
    2) If you have the "pic" for 12/09/09 now, I'll pay dearly for it. :cool:
     
  3. Interesting

    How did you come about all this backdated info?

    When you are speaking market depth, you are speaking how many are available on just the bid and ask?..

    I think this would be interesting for something like the ES where you can see 5 deep on both sides (unless its more now)
     
  4. Pierreg

    Pierreg

    Thank you for the book. I well keep the refs.


    Yes, I have "found" interesting things.


    As you can see on the second attached file, this is the spectrogramme of the stock: BJS.

    On the horizontal line you have the time and the verticals line you ve got the level prices. (top: ask, bottom: bid).

    The black line correspond to the quote itself. And the differents colors correspond to differents activity zones.
    So the more you come close to the quote, the more you will find activity.


    I dont know what the yellow line on the top of the pic consists in, but it seems to be automatic orders, far from the spread, that reproduce the quote.
     
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  5. Pierreg

    Pierreg

    When you are speaking market depth, you are speaking how many are available on just the bid and ask?..
    >> I speak about the whole range: from 0.01 to 200.

    Here is an other one; I dont remember I think it is Google, or AMZN.

    The black range is the spread
     
  6. Good work

    This may be stupid since I do not deal with Equities, but how do you see this, is this Level II information fed into a spreadsheet or something?
     
  7. Pierreg

    Pierreg

    is this Level II information fed into a spreadsheet or something?

    yes, it is my own stuff. I can send you a snapshot of my spreadsheet.

    But it is not live data. Only backdated.


    As you can see, it the data are filled second by second.
     
  8. Excellent, I was unaware that you could see that sort of depth in L2.

    What conclusions are you drawing so far, but a far better question is -

    1) Have you drawn any relevance either way to see the "future"

    2) If you can have you begun to work on an algorithm to make money on this?
     
  9. Pierreg

    Pierreg

    Excellent, I was unaware that you could see that sort of depth in L2.
    >>Well, those data are not available for free, but I can't communicate them. You wont find those in any brooker. Unless you pay for it.


    What conclusions are you drawing so far, but a far better question is -

    1) Have you drawn any relevance either way to see the "future"

    >>"future" is a big word. But I can say that I have sometimes spoted increasings of the activity before big jumps, even at small time scale (what we call high frequency).
    But you can only see the very close future, at (at most) 10 seconds.

    I could send you some stuff, but it is not easy on the forum.

    You can see this kind of phenomenon on oneof the file I posted on the forum.

    2) If you can have you begun to work on an algorithm to make money on this?
    >>Not yet
     
    #10     Dec 8, 2009