Volume Analysis. Reconstructed tape.

Discussion in 'Technical Analysis' started by Sekiyo, Mar 27, 2020.

  1. Sekiyo

    Sekiyo

    Hi Guys,

    Wondering where can I find,
    Or how can I make it myself, a reconstructed tape.

    By that I mean,

    I want to print a price for every x orders.
    For example, I set the number of orders to be 1000,
    First we have to break the order flow into positive and negative orders.

    Then for every 1000 positive, or negative, orders
    Then print the actual price.

    Maybe Jigsaw has something like that.
    I don't know.

    But I'd rather do it myself.
    Keep it cheap, fun and ludicrous.

    Any idea ?

    The speculation behind this is about the path of least resistance.
    I've done something similar in the past with X_trader and Excel.

    Sometimes it takes 100 positive orders,
    To move the market by one point,
    Whereas, in the meantime,
    Only 50 negative orders,
    Move it by one point.

    "Follow the path of least resistance"

    But I remember not having great success with it.
    A similar thing can be analyzed with the cumulative delta.
     
  2. traider

    traider

    You just need a feed with time sales and order book and you can do this.
     
    Last edited: Mar 27, 2020
    Sekiyo likes this.
    • This is called trade pressure, i.e. fraction of trades that printed at the bid or at the offer.

    • The underlying assumption is that aggressive flow is longer term liquid takers.

    • Most reasonable barred data providers will have something like this included in the dataset or you can generate it yourself from TaQ data.

    • It is a well known pricing signal so it’s heavily exploited by HFTs, but you might get better results using it in related securities or combining it with other alphas.
     
    Sekiyo likes this.
  3. traider

    traider

    Are you using this in your own signals?
     
  4. SunTrader

    SunTrader

    If you don't somehow include dark pool volume you only have half (or less) of the story.
     
    Sekiyo likes this.
  5. Sekiyo

    Sekiyo

    Dark pool isn’t only about liquidity ?
    Hidden liquidity isn’t a problem if it’s the case.

    Because hidden or not,
    It takes x volume to move the price.

    If half the x is hidden liquidity isn’t the question.
     
  6. They

    They

  7. Yup. I use a lot of flow related signals. My infrastructure is not good enough to compete with the « pro boys », so my flow signals are a bit longer term and a bit more tricky to calculate.

    It still gets reported and can be accounted for, just not as quickly as in lit markets. It gets even more complicated in the markets where they run periodic auctions. High frequency traders have various heuristics to adjust the flow metrics.
     
  8. SunTrader

    SunTrader

    Yes it does get reported and yes you can account for it. Therefore the reason for my post.