Market Indicators Overview

Modified on 2011/09/05 00:24 by Administrator — Categorized as: Feeds, Specs

Market Indicators are created using the order flow. They measure various aspects of the current book and its dynamics in time. They help better understand how open/close/high/low prices and traded volume are being generated by the underlying orders, thus giving a deep insight into the dynamics of the marketplace.

Market indicators are built for both buy and sell sides of the book, as well as order types (Outstanding, Created, Executed, and Cancelled orders).

Indicator naming convention:

MarketIndicator.{ Buy | Sell }.{ Outstanding | Created | Executed | Cancelled }.{ Indicator_Name }

The market indicators can be generated for any time period from Session Start (7:00 AM EST) to Session End (8:00 PM EST) at any given Tick Period down to 1 millisecond resolution.

The market indicators are generated for both buy and sell sides of the book. For each buy-side indicator, there is a sell-side indicator. You can build relationships between the buy/sell indicators to study relative strengths of the buy or sell side interest.

The market indicators are further explained in the references below.