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.
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 |
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 |
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 |