Market Indicators for Order Execution Patterns

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

This set of indicators measures how the orders are being executed. Order execution constitutes a binding trade between market participants, so the trade patterns show where the money changed hands, for both displayed and non-displayed orders.

Price

Indicator Value Description
PriceOpen Price The last price of displayed orders traded as of the beginning of the tick period
PriceHigh Price The highest price of displayed orders traded during the tick period
PriceLow Price The lowest price of displayed orders traded during the tick period
PriceClose Price The last price of displayed orders traded at the end of the tick period
PriceAvg Price The average price of all displayed orders executed during the tick period, weighted by the number of shares of each order. If there were no orders traded during this tick period, the value is set to zero.
NPriceOpen Price The last price of non-displayed orders traded as of the beginning of the tick period
NPriceHigh Price The highest price of non-displayed orders traded during the tick period
NPriceLow Price The lowest price of non-displayed orders traded during the tick period
NPriceClose Price The last price of non-displayed orders traded at the end of the tick period
NPriceAvg Price The average price of all non-displayed orders executed during the tick period, weighted by the number of shares of each order. If there were no orders traded during this tick period, the value is set to zero.

Note: All fields are initialized to zero at the beginning of the session. At the beginning of the new tick period, the Open, High, and Low Prices are set to the previous tick period's Close price. The Low and High Prices will be updated throughout the tick period to reflect the minimum or maximum price within this period, correspondingly.

 

Volume

Indicator Value Description
VolumeA Number of shares Total volume of executed orders during the tick period
NVolumeA Number of shares Total volume of executed non-displayed orders during the tick period

 

Age / Volume

Indicator Value Description
AgeA Age in milliseconds Average age of all orders executed during the tick period, weighted by the number of shares
VolumeA_01s Number of shares Volume of all orders executed during the tick period that were not older than 1 second
VolumeA_03s Number of shares Volume of orders executed during the tick period that were not older than 3 seconds
VolumeA_05s Number of shares Volume of orders executed during the tick period that were not older than 5 seconds
VolumeA_30s Number of shares Volume of orders executed during the tick period that were not older than 30 seconds
VolumeA_01m Number of shares Volume of orders executed during the tick period that were not older than 1 minute
VolumeA_03m Number of shares Volume of orders executed during the tick period that were not older than 3 minutes
VolumeA_05m Number of shares Volume of orders executed during the tick period that were not older than 5 minutes
VolumeA_10m Number of shares Volume of orders executed during the tick period that were not older than 10 minutes
VolumeA_15m Number of shares Volume of orders executed during the tick period that were not older than 15 minutes
VolumeA_30m Number of shares Volume of orders executed during the tick period that were not older than 30 minutes

 

Events

Indicator Value Description
EventCountA Integer Number of all displayed order executions during the tick period
EventTAgeA Age in milliseconds Simple average time interval in milliseconds between consecutive displayed order executions during the tick period (average age)
EventVAgeA Milliseconds Weighted average time interval in milliseconds between consecutive displayed order executions during the tick period (average age), weighted by the number of executed shares in each event
NEventCountA Integer Number of all non-displayed order executions during the tick period
NEventTAgeA Age in milliseconds Simple average time interval in milliseconds between consecutive non-displayed order executions during the tick period (average age)
NEventVAgeA Milliseconds Weighted average time interval in milliseconds between consecutive non-displayed order executions during the tick period (average age), weighted by the number of executed shares in each event