Market Indicators for Order Creation Patterns

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

This set of indicators measures how the orders are being created, i.e. placed into the book.

These indicators provide a benchmark of order creation patterns. Together with order cancellation patterns, they allow the measurement of market activity and direction.

Price

Indicator Value Description
PriceFirst Price Price of the first created order at the beginning of the tick period (or 0 if no orders were placed at all)
PriceLast Price Price of the last created order at the end of the tick period (or 0 if no orders were placed at all)
PriceAvg Price The average price of all orders created 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 created during the tick period
VolumeE Number of shares Volume of orders created during the tick period at the best (edge) price when the order was created
VolumeQ Number of shares Volume of orders created during the tick period within 0.25% price range from the edge price at the time when the order was created
VolumeT Number of shares Volume of orders created during the tick period within 0.33% price range from the edge price at the time when the order was created
VolumeH Number of shares Volume of orders created during the tick period within 0.50% price range from the edge price at the time when the order was created
Volume1 Number of shares Volume of orders created during the tick period within 1.00% price range from the edge price at the time when the order was created
Volume3 Number of shares Volume of orders created during the tick period within 3.00% price range from the edge price at the time when the order was created
Volume5 Number of shares Volume of orders created during the tick period within 5.00% price range from the edge price at the time when the order was created
Volume10 Number of shares Volume of orders created during the tick period within 10.00% price range from the edge price at the time when the order was created

 

Events

Indicator Value Description
EventCountA Integer Number of all order creations during the tick period
EventTAgeA Age in milliseconds Simple average time interval in milliseconds between consecutive creations during the tick period (average age)
EventVAgeA Milliseconds Weighted average time interval in milliseconds between consecutive creations during the tick period (average age), weighted by the number of created shares in each event