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« Market Indicators for Outstanding Orders »

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Modified on 2011/09/05 00:23 by Administrator Paths: Market Indicators Categorized as Feeds, Specs

Outstanding orders are the buy/sell orders that are currently placed into the book and not yet cancelled/executed. They constitute current liquidity for the buy and sell side, accordingly. The distribution of orders across different price tiers, as well as their longevity (age), can be helpful discovering a buy or sell interest in the stock.

Market depth

Indicator	Value	Description
VolumeA	Number of shares	Total volume of currently outstanding orders
VolumeE	Number of shares	Volume of orders at the best (edge) price
VolumeQ	Number of shares	Volume of orders within 0.25% price range from the edge price
VolumeT	Number of shares	Volume of orders within 0.33% price range from the edge price
VolumeH	Number of shares	Volume of orders within 0.50% price range from the edge price
Volume1	Number of shares	Volume of orders within 1.00% price range from the edge price
Volume3	Number of shares	Volume of orders within 3.00% price range from the edge price
Volume5	Number of shares	Volume of orders within 5.00% price range from the edge price
Volume10	Number of shares	Volume of orders within 10.00% price range from the edge price

Weighted Market Depth Layers

Indicator	Value	Description
PVolumeE PVolumeQ PVolumeT PVolumeH PVolume1 PVolume3 PVolume5 PVolume10	Number of shares	These indicators are constructed for the 0.25%, 0.33%, 0.50%, 1.00%, 3.00%, 5.00%, 10.00% market depth layers accordingly by weighting the number of shares depending on the distance of the order to the edge of the book. The farther the order price from the best price, the lower the weight assigned to this order's share count. The best orders receive 100% weight, the worst orders receive 0% weight. This weighting mechanism allows to reduce volatility from less significant orders placed too far away from the bid/ask price to affect any short-term price movements, and results in smoother liquidity estimates.

Price

Indicator	Value	Description
PriceOpen	Dollar amount	Bid Price (for buy-side of the book) or Ask Price (for sell-side of the book) at the beginning of the tick period
PriceClose	Dollar amount	Bid Price (for buy-side of the book) or Ask Price (for sell-side of the book) at the end of the tick period
PriceLow	Dollar amount	The lowest Bid Price (for buy-side of the book) or Ask Price (for sell-side of the book) during the tick period
PriceHigh	Dollar amount	The highest Bid Price (for buy-side of the book) or Ask Price (for sell-side of the book) during the tick period

Market Depth Ages

Indicator	Value	Description
AgeA	Age in milliseconds	Average age of all currently outstanding orders weighted by the number of shares
AgeE	Age in milliseconds	Average age of orders at the best (edge) price weighted by the number of shares
AgeQ	Age in milliseconds	Average age of orders within 0.25% price range from the edge price weighted by the number of shares
AgeT	Age in milliseconds	Average age of orders within 0.33% price range from the edge price weighted by the number of shares
AgeH	Age in milliseconds	Average age of orders within 0.50% price range from the edge price weighted by the number of shares
Age1	Age in milliseconds	Average age of orders within 1.00% price range from the edge price weighted by the number of shares
Age3	Age in milliseconds	Average age of orders within 3.00% price range from the edge price weighted by the number of shares
Age5	Age in milliseconds	Average age of orders within 5.00% price range from the edge price weighted by the number of shares
Age10	Age in milliseconds	Average age of orders within 10.00% price range from the edge price weighted by the number of shares

Weighted Market Depth Layer Ages

Indicator	Value	Description
PAgeE PAgeQ PAgeT PAgeH PAge1 PAge3 PAge5 PAge10	Age in milliseconds	These indicators are constructed for the 0.25%, 0.33%, 0.50%, 1.00%, 3.00%, 5.00%, 10.00% age layers accordingly by weighting the number of shares depending on the distance of the order to the edge of the book. The farther the order price from the best price, the lower the weight assigned to this order's age. The best orders receive 100% weight, the worst orders receive 0% weight. This weighting mechanism allows to reduce volatility from less significant orders placed too far away from the bid/ask price to affect any short-term price movements, and results in smoother age estimates.

Age Layers

Indicator	Value	Description
VolumeA_01s	Number of shares	Volume of orders not older than 1 second
VolumeA_03s	Number of shares	Volume of orders not older than 3 seconds
VolumeA_05s	Number of shares	Volume of orders not older than 5 seconds
VolumeA_30s	Number of shares	Volume of orders not older than 30 seconds
VolumeA_01m	Number of shares	Volume of orders not older than 1 minute
VolumeA_03m	Number of shares	Volume of orders not older than 3 minutes
VolumeA_05m	Number of shares	Volume of orders not older than 5 minutes
VolumeA_10m	Number of shares	Volume of orders not older than 10 minutes
VolumeA_15m	Number of shares	Volume of orders not older than 15 minutes
VolumeA_30m	Number of shares	Volume of orders not older than 30 minutes
VolumeE_01m	Number of shares	Volume of orders at the best (edge) price that are not older than 1 minute
VolumeE_03m	Number of shares	Volume of orders at the best (edge) price that are not older than 3 minutes
VolumeE_05m	Number of shares	Volume of orders at the best (edge) price that are not older than 5 minutes
VolumeE_10m	Number of shares	Volume of orders at the best (edge) price that are not older than 10 minutes
VolumeE_15m	Number of shares	Volume of orders at the best (edge) price that are not older than 15 minutes
VolumeE_30m	Number of shares	Volume of orders at the best (edge) price that are not older than 30 minutes
VolumeQ_01m	Number of shares	Volume of orders within 0.25% price range from the edge price that are not older than 1 minute
VolumeQ_03m	Number of shares	Volume of orders within 0.25% price range from the edge price that are not older than 3 minutes
VolumeQ_05m	Number of shares	Volume of orders within 0.25% price range from the edge price that are not older than 5 minutes
VolumeQ_10m	Number of shares	Volume of orders within 0.25% price range from the edge price that are not older than 10 minutes
VolumeQ_15m	Number of shares	Volume of orders within 0.25% price range from the edge price that are not older than 15 minutes
VolumeE_30m	Number of shares	Volume of orders within 0.25% price range from the edge price that are not older than 30 minutes
VolumeT_01m	Number of shares	Volume of orders within 0.33% price range from the edge price that are not older than 1 minute
VolumeT_03m	Number of shares	Volume of orders within 0.33% price range from the edge price that are not older than 3 minutes
VolumeT_05m	Number of shares	Volume of orders within 0.33% price range from the edge price that are not older than 5 minutes
VolumeT_10m	Number of shares	Volume of orders within 0.33% price range from the edge price that are not older than 10 minutes
VolumeT_15m	Number of shares	Volume of orders within 0.33% price range from the edge price that are not older than 15 minutes
VolumeT_30m	Number of shares	Volume of orders within 0.33% price range from the edge price that are not older than 30 minutes
VolumeH_01m	Number of shares	Volume of orders within 0.50% price range from the edge price that are not older than 1 minute
VolumeH_03m	Number of shares	Volume of orders within 0.50% price range from the edge price that are not older than 3 minutes
VolumeH_05m	Number of shares	Volume of orders within 0.50% price range from the edge price that are not older than 5 minutes
VolumeH_10m	Number of shares	Volume of orders within 0.50% price range from the edge price that are not older than 10 minutes
VolumeH_15m	Number of shares	Volume of orders within 0.50% price range from the edge price that are not older than 15 minutes
VolumeH_30m	Number of shares	Volume of orders within 0.50% price range from the edge price that are not older than 30 minutes
Volume1_01m	Number of shares	Volume of orders within 1.00% price range from the edge price that are not older than 1 minute
Volume1_03m	Number of shares	Volume of orders within 1.00% price range from the edge price that are not older than 3 minutes
Volume1_05m	Number of shares	Volume of orders within 1.00% price range from the edge price that are not older than 5 minutes
Volume1_10m	Number of shares	Volume of orders within 1.00% price range from the edge price that are not older than 10 minutes
Volume1_15m	Number of shares	Volume of orders within 1.00% price range from the edge price that are not older than 15 minutes
Volume1_30m	Number of shares	Volume of orders within 1.00% price range from the edge price that are not older than 30 minutes
Volume3_01m	Number of shares	Volume of orders within 3.00% price range from the edge price that are not older than 1 minute
Volume3_03m	Number of shares	Volume of orders within 3.00% price range from the edge price that are not older than 3 minutes
Volume3_05m	Number of shares	Volume of orders within 3.00% price range from the edge price that are not older than 5 minutes
Volume3_10m	Number of shares	Volume of orders within 3.00% price range from the edge price that are not older than 10 minutes
Volume3_15m	Number of shares	Volume of orders within 3.00% price range from the edge price that are not older than 15 minutes
Volume3_30m	Number of shares	Volume of orders within 3.00% price range from the edge price that are not older than 30 minutes
Volume5_01m	Number of shares	Volume of orders within 5.00% price range from the edge price that are not older than 1 minute
Volume5_03m	Number of shares	Volume of orders within 5.00% price range from the edge price that are not older than 3 minutes
Volume5_05m	Number of shares	Volume of orders within 5.00% price range from the edge price that are not older than 5 minutes
Volume5_10m	Number of shares	Volume of orders within 5.00% price range from the edge price that are not older than 10 minutes
Volume5_15m	Number of shares	Volume of orders within 5.00% price range from the edge price that are not older than 15 minutes
Volume5_30m	Number of shares	Volume of orders within 5.00% price range from the edge price that are not older than 30 minutes
Volume10_01m	Number of shares	Volume of orders within 10.00% price range from the edge price that are not older than 1 minute
Volume10_03m	Number of shares	Volume of orders within 10.00% price range from the edge price that are not older than 3 minutes
Volume10_05m	Number of shares	Volume of orders within 10.00% price range from the edge price that are not older than 5 minutes
Volume10_10m	Number of shares	Volume of orders within 10.00% price range from the edge price that are not older than 10 minutes
Volume10_15m	Number of shares	Volume of orders within 10.00% price range from the edge price that are not older than 15 minutes
Volume10_30m	Number of shares	Volume of orders within 10.00% price range from the edge price that are not older than 30 minutes

Weighted Age Layers

Indicator	Value	Description
PVolumeQ_01m ... PVolume10_30m	Number of shares	These indicators are constructed for the 0.25%, 0.33%, 0.50%, 1.00%, 3.00%, 5.00%, 10.00% market depth layers and 1, 3, 5, 10, 15, 30 minute age layers accordingly by weighting the number of shares depending on the distance of the order to the edge of the book. The farther the order price from the best price, the lower the weight assigned to this order's share count. The best orders receive 100% weight, the worst orders receive 0% weight. This weighting mechanism allows to reduce volatility from less significant orders placed too far away from the bid/ask price to affect any short-term price movements, and results in smoother age layer estimates.

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