Market Indicators for Order Cancellation Patterns

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

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