This set of indicators measures how the orders are being cancelled, i.e. deleted from the book.
These indicators provide a benchmark of order cancellation patterns. Together with order creation patterns,
they allow the measurement of market activity and direction.
Price
| Indicator |
Value |
Description |
| PriceFirst |
Price |
Price of the first cancelled order at the beginning of the tick period (or 0 if no orders were cancelled at all) |
| PriceLast |
Price |
Price of the last cancelled order at the end of the tick period (or 0 if no orders were cancelled at all) |
| PriceAvg |
Price |
The average price of all orders cancelled during the tick period, weighted by the number of shares of each order |
Volume
| Indicator |
Value |
Description |
| VolumeA |
Number of shares |
Total volume of orders cancelled during the tick period |
| VolumeE |
Number of shares |
Volume of orders cancelled during the tick period at the best (edge) price when the order was cancelled |
| VolumeQ |
Number of shares |
Volume of orders cancelled during the tick period within 0.25% price range from the edge price at the time when the order was cancelled |
| VolumeT |
Number of shares |
Volume of orders cancelled during the tick period within 0.33% price range from the edge price at the time when the order was cancelled |
| VolumeH |
Number of shares |
Volume of orders cancelled during the tick period within 0.50% price range from the edge price at the time when the order was cancelled |
| Volume1 |
Number of shares |
Volume of orders cancelled during the tick period within 1.00% price range from the edge price at the time when the order was cancelled |
| Volume3 |
Number of shares |
Volume of orders cancelled during the tick period within 3.00% price range from the edge price at the time when the order was cancelled |
| Volume5 |
Number of shares |
Volume of orders cancelled during the tick period within 5.00% price range from the edge price at the time when the order was cancelled |
| Volume10 |
Number of shares |
Volume of orders cancelled during the tick period within 10.00% price range from the edge price at the time when the order was cancelled |
Ages
| Indicator |
Value |
Description |
| AgeA |
Age in milliseconds |
Average age of all orders cancelled during the tick period, weighted by the number of shares |
| AgeE |
Age in milliseconds |
Average age of orders cancelled during the tick period at the best (edge) price, weighted by the number of shares |
| AgeQ |
Age in milliseconds |
Average age of orders cancelled during the tick period within 0.25% price range from the edge price, weighted by the number of shares |
| AgeT |
Age in milliseconds |
Average age of orders cancelled during the tick period within 0.33% price range from the edge price, weighted by the number of shares |
| AgeH |
Age in milliseconds |
Average age of orders cancelled during the tick period within 0.50% price range from the edge price, weighted by the number of shares |
| Age1 |
Age in milliseconds |
Average age of orders cancelled during the tick period within 1.00% price range from the edge price, weighted by the number of shares |
| Age3 |
Age in milliseconds |
Average age of orders cancelled during the tick period within 3.00% price range from the edge price, weighted by the number of shares |
| Age5 |
Age in milliseconds |
Average age of orders cancelled during the tick period within 5.00% price range from the edge price, weighted by the number of shares |
| Age10 |
Age in milliseconds |
Average age of orders cancelled during the tick period within 10.00% price range from the edge price, weighted by the number of shares |
Age / Volume
| VolumeA_01s |
Number of shares |
Volume of all orders cancelled during the tick period that were not older than 1 second |
| VolumeA_03s |
Number of shares |
Volume of orders cancelled during the tick period that were not older than 3 seconds |
| VolumeA_05s |
Number of shares |
Volume of orders cancelled during the tick period that were not older than 5 seconds |
| VolumeA_30s |
Number of shares |
Volume of orders cancelled during the tick period that were not older than 30 seconds |
| VolumeA_01m |
Number of shares |
Volume of orders cancelled during the tick period that were not older than 1 minute |
| VolumeA_03m |
Number of shares |
Volume of orders cancelled during the tick period that were not older than 3 minutes |
| VolumeA_05m |
Number of shares |
Volume of orders cancelled during the tick period that were not older than 5 minutes |
| VolumeA_10m |
Number of shares |
Volume of orders cancelled during the tick period that were not older than 10 minutes |
| VolumeA_15m |
Number of shares |
Volume of orders cancelled during the tick period that were not older than 15 minutes |
| VolumeA_30m |
Number of shares |
Volume of orders cancelled during the tick period that were not older than 30 minutes |
Events
| Indicator |
Value |
Description |
| EventCountA |
Integer |
Number of all order cancellations during the tick period |
| EventTAgeA |
Age in milliseconds |
Simple average time interval in milliseconds between consecutive cancellations during the tick period (average age) |
| EventVAgeA |
Milliseconds |
Weighted average time interval in milliseconds between consecutive cancellations during the tick period (average age),
weighted by the number of cancelled shares in each event |