Market Indicators for Outstanding Orders

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

Outstanding orders are the buy/sell orders that are currently placed into the book and not yet cancelled/executed. They constitute current liquidity for the buy and sell side, accordingly. The distribution of orders across different price tiers, as well as their longevity (age), can be helpful discovering a buy or sell interest in the stock.

Market depth

Indicator Value Description
VolumeA Number of shares Total volume of currently outstanding orders
VolumeE Number of shares Volume of orders at the best (edge) price
VolumeQ Number of shares Volume of orders within 0.25% price range from the edge price
VolumeT Number of shares Volume of orders within 0.33% price range from the edge price
VolumeH Number of shares Volume of orders within 0.50% price range from the edge price
Volume1 Number of shares Volume of orders within 1.00% price range from the edge price
Volume3 Number of shares Volume of orders within 3.00% price range from the edge price
Volume5 Number of shares Volume of orders within 5.00% price range from the edge price
Volume10 Number of shares Volume of orders within 10.00% price range from the edge price

 

Weighted Market Depth Layers

Indicator Value Description
PVolumeE
PVolumeQ
PVolumeT
PVolumeH
PVolume1
PVolume3
PVolume5
PVolume10
 Number of shares These indicators are constructed for the 0.25%, 0.33%, 0.50%, 1.00%, 3.00%, 5.00%, 10.00% market depth layers accordingly by weighting the number of shares depending on the distance of the order to the edge of the book. The farther the order price from the best price, the lower the weight assigned to this order's share count. The best orders receive 100% weight, the worst orders receive 0% weight. This weighting mechanism allows to reduce volatility from less significant orders placed too far away from the bid/ask price to affect any short-term price movements, and results in smoother liquidity estimates.

 

Price

Indicator Value Description
PriceOpen Dollar amount Bid Price (for buy-side of the book) or Ask Price (for sell-side of the book) at the beginning of the tick period
PriceClose Dollar amount Bid Price (for buy-side of the book) or Ask Price (for sell-side of the book) at the end of the tick period
PriceLow Dollar amount The lowest Bid Price (for buy-side of the book) or Ask Price (for sell-side of the book) during the tick period
PriceHigh Dollar amount The highest Bid Price (for buy-side of the book) or Ask Price (for sell-side of the book) during the tick period

 

Market Depth Ages

Indicator Value Description
AgeA Age in milliseconds Average age of all currently outstanding orders weighted by the number of shares
AgeE Age in milliseconds Average age of orders at the best (edge) price weighted by the number of shares
AgeQ Age in milliseconds Average age of orders within 0.25% price range from the edge price weighted by the number of shares
AgeT Age in milliseconds Average age of orders within 0.33% price range from the edge price weighted by the number of shares
AgeH Age in milliseconds Average age of orders within 0.50% price range from the edge price weighted by the number of shares
Age1 Age in milliseconds Average age of orders within 1.00% price range from the edge price weighted by the number of shares
Age3 Age in milliseconds Average age of orders within 3.00% price range from the edge price weighted by the number of shares
Age5 Age in milliseconds Average age of orders within 5.00% price range from the edge price weighted by the number of shares
Age10 Age in milliseconds Average age of orders within 10.00% price range from the edge price weighted by the number of shares

 

Weighted Market Depth Layer Ages

Indicator Value Description
PAgeE
PAgeQ
PAgeT
PAgeH
PAge1
PAge3
PAge5
PAge10
 Age in milliseconds These indicators are constructed for the 0.25%, 0.33%, 0.50%, 1.00%, 3.00%, 5.00%, 10.00% age layers accordingly by weighting the number of shares depending on the distance of the order to the edge of the book. The farther the order price from the best price, the lower the weight assigned to this order's age. The best orders receive 100% weight, the worst orders receive 0% weight. This weighting mechanism allows to reduce volatility from less significant orders placed too far away from the bid/ask price to affect any short-term price movements, and results in smoother age estimates.

 

Age Layers

Indicator Value Description
VolumeA_01s Number of shares Volume of orders not older than 1 second
VolumeA_03s Number of shares Volume of orders not older than 3 seconds
VolumeA_05s Number of shares Volume of orders not older than 5 seconds
VolumeA_30s Number of shares Volume of orders not older than 30 seconds
VolumeA_01m Number of shares Volume of orders not older than 1 minute
VolumeA_03m Number of shares Volume of orders not older than 3 minutes
VolumeA_05m Number of shares Volume of orders not older than 5 minutes
VolumeA_10m Number of shares Volume of orders not older than 10 minutes
VolumeA_15m Number of shares Volume of orders not older than 15 minutes
VolumeA_30m Number of shares Volume of orders not older than 30 minutes
VolumeE_01m Number of shares Volume of orders at the best (edge) price that are not older than 1 minute
VolumeE_03m Number of shares Volume of orders at the best (edge) price that are not older than 3 minutes
VolumeE_05m Number of shares Volume of orders at the best (edge) price that are not older than 5 minutes
VolumeE_10m Number of shares Volume of orders at the best (edge) price that are not older than 10 minutes
VolumeE_15m Number of shares Volume of orders at the best (edge) price that are not older than 15 minutes
VolumeE_30m Number of shares Volume of orders at the best (edge) price that are not older than 30 minutes
VolumeQ_01m Number of shares Volume of orders within 0.25% price range from the edge price that are not older than 1 minute
VolumeQ_03m Number of shares Volume of orders within 0.25% price range from the edge price that are not older than 3 minutes
VolumeQ_05m Number of shares Volume of orders within 0.25% price range from the edge price that are not older than 5 minutes
VolumeQ_10m Number of shares Volume of orders within 0.25% price range from the edge price that are not older than 10 minutes
VolumeQ_15m Number of shares Volume of orders within 0.25% price range from the edge price that are not older than 15 minutes
VolumeE_30m Number of shares Volume of orders within 0.25% price range from the edge price that are not older than 30 minutes
VolumeT_01m Number of shares Volume of orders within 0.33% price range from the edge price that are not older than 1 minute
VolumeT_03m Number of shares Volume of orders within 0.33% price range from the edge price that are not older than 3 minutes
VolumeT_05m Number of shares Volume of orders within 0.33% price range from the edge price that are not older than 5 minutes
VolumeT_10m Number of shares Volume of orders within 0.33% price range from the edge price that are not older than 10 minutes
VolumeT_15m Number of shares Volume of orders within 0.33% price range from the edge price that are not older than 15 minutes
VolumeT_30m Number of shares Volume of orders within 0.33% price range from the edge price that are not older than 30 minutes
VolumeH_01m Number of shares Volume of orders within 0.50% price range from the edge price that are not older than 1 minute
VolumeH_03m Number of shares Volume of orders within 0.50% price range from the edge price that are not older than 3 minutes
VolumeH_05m Number of shares Volume of orders within 0.50% price range from the edge price that are not older than 5 minutes
VolumeH_10m Number of shares Volume of orders within 0.50% price range from the edge price that are not older than 10 minutes
VolumeH_15m Number of shares Volume of orders within 0.50% price range from the edge price that are not older than 15 minutes
VolumeH_30m Number of shares Volume of orders within 0.50% price range from the edge price that are not older than 30 minutes
Volume1_01m Number of shares Volume of orders within 1.00% price range from the edge price that are not older than 1 minute
Volume1_03m Number of shares Volume of orders within 1.00% price range from the edge price that are not older than 3 minutes
Volume1_05m Number of shares Volume of orders within 1.00% price range from the edge price that are not older than 5 minutes
Volume1_10m Number of shares Volume of orders within 1.00% price range from the edge price that are not older than 10 minutes
Volume1_15m Number of shares Volume of orders within 1.00% price range from the edge price that are not older than 15 minutes
Volume1_30m Number of shares Volume of orders within 1.00% price range from the edge price that are not older than 30 minutes
Volume3_01m Number of shares Volume of orders within 3.00% price range from the edge price that are not older than 1 minute
Volume3_03m Number of shares Volume of orders within 3.00% price range from the edge price that are not older than 3 minutes
Volume3_05m Number of shares Volume of orders within 3.00% price range from the edge price that are not older than 5 minutes
Volume3_10m Number of shares Volume of orders within 3.00% price range from the edge price that are not older than 10 minutes
Volume3_15m Number of shares Volume of orders within 3.00% price range from the edge price that are not older than 15 minutes
Volume3_30m Number of shares Volume of orders within 3.00% price range from the edge price that are not older than 30 minutes
Volume5_01m Number of shares Volume of orders within 5.00% price range from the edge price that are not older than 1 minute
Volume5_03m Number of shares Volume of orders within 5.00% price range from the edge price that are not older than 3 minutes
Volume5_05m Number of shares Volume of orders within 5.00% price range from the edge price that are not older than 5 minutes
Volume5_10m Number of shares Volume of orders within 5.00% price range from the edge price that are not older than 10 minutes
Volume5_15m Number of shares Volume of orders within 5.00% price range from the edge price that are not older than 15 minutes
Volume5_30m Number of shares Volume of orders within 5.00% price range from the edge price that are not older than 30 minutes
Volume10_01m Number of shares Volume of orders within 10.00% price range from the edge price that are not older than 1 minute
Volume10_03m Number of shares Volume of orders within 10.00% price range from the edge price that are not older than 3 minutes
Volume10_05m Number of shares Volume of orders within 10.00% price range from the edge price that are not older than 5 minutes
Volume10_10m Number of shares Volume of orders within 10.00% price range from the edge price that are not older than 10 minutes
Volume10_15m Number of shares Volume of orders within 10.00% price range from the edge price that are not older than 15 minutes
Volume10_30m Number of shares Volume of orders within 10.00% price range from the edge price that are not older than 30 minutes

 

Weighted Age Layers

Indicator Value Description
PVolumeQ_01m ... PVolume10_30m Number of shares These indicators are constructed for the 0.25%, 0.33%, 0.50%, 1.00%, 3.00%, 5.00%, 10.00% market depth layers and 1, 3, 5, 10, 15, 30 minute age layers accordingly by weighting the number of shares depending on the distance of the order to the edge of the book. The farther the order price from the best price, the lower the weight assigned to this order's share count. The best orders receive 100% weight, the worst orders receive 0% weight. This weighting mechanism allows to reduce volatility from less significant orders placed too far away from the bid/ask price to affect any short-term price movements, and results in smoother age layer estimates.