We’ve recently added fields from “Trade book” and “Order book” that would help you gain deeper insights on how they impact the price. Below is the list of new fields added:
Trade book fields:
The below fields can be accessed across all timeframes, starting from 1 minute to a yearly timeframe
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- Buyer initiated trades – Indicates number of trades that were executed at a sellers/offer/ask price, a increasing number would indicate buyers are more aggresive than sellers
- Buyer initiated trades quantity – Indicates quantity of trades that were executed at a sellers/ask price, a increasing quantity would indicate more number of shares are being bought at a price as requested by sellers.
- Buyer initiated trades average quantity – Indicates the average quantity of trades for “buyer initiated trades”
- Seller initiated trades – Indicates number of trades that were executed at a buyers/bid price, a increasing number would indicate sellers are more aggresive than buyers
- Seller initiated trades quantity – Indicates quantity of trades that were executed at a buyers/bid price, a increasing quantity would indicate more number of shares are being sold at a price as requested by buyers.
- Seller initiated trades average quantity– Indicates the average quantity of trades for “seller initiated trades”
- Buyer vs Seller initiated trades ratio – A ratio of “buyer initiated trades / seller initiated trades”, above 1 indicates that buyer initated trades are more than seller for the given timeframe
- Buyer vs Seller initiated trades quantity ratio – A ratio of “buyer initiated trades quantity / sellerinitiated trades quantity”, above 1 indicates that buyer initated quantity of trades are more than seller for the given timeframe
- Buyer initiated trades VWAP – Volume weighted average price (VWAP) of trades that were initiated by buyers
- Seller initiated trades VWAP– Volume weighted average price (VWAP) of trades that were initiated by sellers
These fields can be used to evaulate trades for intraday, short or long term, as they are avaliable across all timeframes. There has been limited research on these fields, as their avaliability is limited, considering the amount of data that needs to be processed for these. Here’s one interesting research paper on this.
Order book fields:
The below fields can be accessed across all timeframes, starting from 1 minute to a yearly timeframe
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- Orders – Indicates the orders received for the specified timeframe, eg: total orders within a minute
- Orders Quantity – Indicates the quantity of orders received for the specified timeframe, eg: total order quantity within a minute
- Buy Orders – Indicates the “Buy orders” received for the specified timeframe
- Buy Orders Quantity – Indicates the “Buy order” quantity received for the specified timeframe
- Sell Orders – Indicates the “Sell orders” received for the specified timeframe
- Sell Orders Quantity – Indicates the “Sell order” quantity received for the specified timeframe
- Buy vs Sell orders ratio – A ratio of “Buy orders / Sell orders”, above 1 indicating buy orders are more than sell orders
- Buy vs Sell orders quantity ratio – A ratio of “Buy orders quantity / Sell ordersquantity”, above 1 indicating buy order quantities are more than sell order quantity
- Cancelled Buy Orders – Indicates the total buy orders cancelled in the specified timeframe
- Cancelled Buy Orders Quantity – Indicates total buy orders quantity cancelled in the specified timeframe
- Cancelled Sell Orders – Indicates the total sell orders cancelled in the specified timeframe
- Cancelled Sell Orders Quantity – Indicates the total sell orders quantity cancelled in the specified timeframe
- Total Cancelled orders – Indicates the total orders cancelled in the specified timeframe
- Total Cancelled orders quantity – Indicates the total order quantity cancelled in the specified timeframe
- Cancelled orders ratio – A ratio of “Cancelled orders / Orders”, gives an idea on the pie of orders being cancelled from the ones received
- Cancelled orders quantity ratio – A ratio of “Cancelled orders quantity / Orders quantity”, gives an idea on the pie of orders quantity being cancelled from the ones received
- Buy Orders Vwap – Volume weighted average price (VWAP) of buy orders.
- Sell Orders Vwap – Volume weighted average price (VWAP) of sell orders.
- Orders Vwap – Volume weighted average price (VWAP) of all orders.
The order numbers indicated above, are the actual orders(not disclosed) for cash market & hence the values will not match with the market depth as seen within your brokers terminals, which helps in getting a much clearer picture on how this is driving the price of a stock.
These new fields can be used in combination of existing functions, eg: SMA, Min,Max, Count and so on.. to derive onto more complex indicators.
Sample dashboards
Buyer vs seller initiated trades
While we are working on adding more scans & dashboards for the same, I wanted you to be updated on the addition of these new fields. Hope these are useful for gaining more insights along with the existing fields on technical analysis
