{"id":709,"date":"2021-04-19T21:54:50","date_gmt":"2021-04-19T16:24:50","guid":{"rendered":"https:\/\/chartink.com\/articles\/?p=709"},"modified":"2023-01-24T15:33:30","modified_gmt":"2023-01-24T10:03:30","slug":"trade-and-order-book-data-now-avaliable","status":"publish","type":"post","link":"https:\/\/chartink.com\/articles\/scanner\/trade-and-order-book-data-now-avaliable\/","title":{"rendered":"Trade and Order book data now avaliable"},"content":{"rendered":"<p>We&#8217;ve recently added fields from &#8220;Trade book&#8221; and &#8220;Order book&#8221; to help you gain deeper insights into how they impact the price. Below is the list of new fields added:<\/p>\n<h3>Trade book fields:<\/h3>\n<p>The below fields can be accessed across all timeframes, starting from 1 minute to a yearly timeframe<\/p>\n<ul>\n<li style=\"list-style-type: none;\">\n<ul>\n<li><strong>Buyer-initiated trades<\/strong> &#8211; <em>Indicates the number of trades that were executed at sellers\/offer\/ask price; an increasing number would indicate buyers are more aggressive than sellers.<\/em><\/li>\n<li><strong>Buyer-initiated trades quantity<\/strong>\u00a0&#8211; <em>Indicates the number of trades that were executed at sellers\/ask price; an increasing quantity would indicate more number of shares are being bought at a price as requested by sellers.<\/em><\/li>\n<li><strong>Buyer-initiated trades average quantity<\/strong> &#8211;\u00a0<em>Indicates the average quantity of trades for &#8220;buyer-initiated trades.&#8221;<\/em><\/li>\n<li><strong>Seller-initiated trades<\/strong> &#8211;\u00a0<em>Indicates the number of trades executed at a buyers\/bid price; an increasing number would indicate sellers are more aggressive than buyers.<\/em><\/li>\n<li><strong>Seller-initiated trades quantity<\/strong>\u00a0&#8211; <em>Indicates the number of trades executed at a buyers\/bid price; an increasing quantity would indicate more shares are being sold at a price as requested by buyers.<\/em><\/li>\n<li><strong>Seller-initiated trades average quantity<\/strong>&#8211;\u00a0<em>Indicates the average quantity of trades for &#8220;seller-initiated trades.&#8221;<\/em><\/li>\n<li><strong>Buyer vs. Seller initiated trades ratio<\/strong> &#8211; <em>A ratio of &#8220;buyer initiated trades \/ seller initiated trades&#8221; above 1 indicates that buyer-initiated trades are more than Seller for the given timeframe<\/em><\/li>\n<li><strong>Buyer vs. Seller initiated trades quantity ratio<\/strong> &#8211; <em>A ratio of &#8220;buyer initiated trades quantity \/ seller initiated trades quantity&#8221; above 1 indicates that the buyer-initiated quantity of trades is more than the Seller for the given timeframe.<\/em><\/li>\n<li><strong>Buyer-initiated trades VWAP &#8211;<\/strong><em>\u00a0Volume weighted average price (VWAP) of trades that buyers initiated.<\/em><\/li>\n<li><strong>Seller-initiated trades VWAP<\/strong><strong>&#8211;<\/strong><em> Volume weighted average price (VWAP) of trades that sellers initiated.<\/em><\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>These fields can be used to <strong>evaluate trades for intraday, short or long-term, as they are available across all timeframes<\/strong>. There has been limited research on these fields, as their availability is limited, considering the amount of data that needs to be processed for these. Here&#8217;s one interesting\u00a0<a href=\"http:\/\/abfer.org\/media\/abfer-events-2013\/annual-conference\/investment-finance\/track3-buyers-versus-sellers-who-initiates-trades-and-when.pdf\" target=\"_blank\" rel=\"noopener\">research paper<\/a> on this.<\/p>\n<h3>Order book fields:<\/h3>\n<p>The below fields can be accessed across all timeframes, starting from 1 minute to a yearly timeframe<\/p>\n<ul>\n<li style=\"list-style-type: none;\">\n<ul>\n<li><strong>Orders<\/strong> &#8211;<em> Indicates the orders received for the specified timeframe, e.g., total orders within a minute<\/em><\/li>\n<li><strong>Orders Quantity<\/strong>\u00a0&#8211;<em> Indicates the number of orders received for the specified timeframe, e.g., total order quantity within a minute.<\/em><\/li>\n<li><strong>Buy Orders<\/strong> &#8211;<em> Indicates the &#8220;Buy orders&#8221; received for the specified timeframe.<\/em><\/li>\n<li><strong>Buy Orders Quantity<\/strong> &#8211;<em> Indicates the &#8220;Buy order&#8221; quantity received for the specified timeframe.<\/em><\/li>\n<li><strong>Sell Orders<\/strong> &#8211;<em> Indicates the &#8220;Sell orders&#8221; received for the specified timeframe.<\/em><\/li>\n<li><strong>Sell Orders Quantity\u00a0<\/strong>&#8211;<em> Indicates the &#8220;Sell order&#8221; quantity received for the specified timeframe.<\/em><\/li>\n<li><strong>Buy vs. Sell orders ratio<\/strong> &#8211; <em>A ratio of &#8220;Buy orders \/ Sell orders&#8221; above 1, indicating buy orders are more than sell orders.\u00a0\u00a0<\/em><\/li>\n<li><strong>Buy vs. Sell quantity ratio\u00a0<\/strong>&#8211; <em>A ratio of &#8220;Buy orders quantity \/ Sell orders quantity&#8221; above 1, indicating buy order quantities are more than sell order quantity.<\/em><\/li>\n<li><strong>Canceled Buy Orders &#8211; <\/strong><i>Indicates the total orders canceled in the specified timeframe.<\/i><\/li>\n<li><strong>Canceled Buy Orders Quantity<\/strong>\u00a0<strong>&#8211; <\/strong><i>Indicates total buy orders quantity canceled in the specified timeframe.<\/i><\/li>\n<li><strong>Canceled Sell Orders<\/strong>\u00a0<strong>&#8211; <\/strong><i>Indicates the total\u00a0 sell orders canceled in the specified timeframe<\/i><\/li>\n<li><strong>Cancelled Sell Orders Quantity<\/strong>\u00a0<strong>&#8211; <\/strong><i>Indicates the total\u00a0 sell orders\u00a0 quantity canceled in the specified timeframe<\/i><\/li>\n<li><strong>Total Cancelled orders\u00a0<\/strong><strong>&#8211; <\/strong><i>Indicates the total orders canceled in the specified timeframe<\/i><\/li>\n<li><strong>Total Cancelled orders quantity &#8211; <\/strong><i>Indicates the total order quantity canceled in the specified timeframe<\/i><\/li>\n<li><strong>Canceled orders ratio<\/strong> &#8211; <em>A ratio of &#8220;Cancelled orders \/ Orders&#8221; gives an idea of the pie of orders being canceled from the ones received<\/em><\/li>\n<li><strong>Canceled orders quantity ratio\u00a0<\/strong>&#8211; <em>A ratio of &#8220;Cancelled orders quantity \/ Orders quantity&#8221; gives an idea of the pie of orders quantity being canceled from the ones received<\/em><\/li>\n<li><strong>Buy Orders Vwap &#8211;<\/strong><em> Volume weighted average price (VWAP) of buy orders.<\/em><\/li>\n<li><strong>Sell Orders Vwap &#8211;<\/strong>\u00a0<em>Volume weighted average price (VWAP) of sell orders.<\/em><\/li>\n<li><strong>Orders Vwap &#8211;\u00a0<\/strong><em>Volume weighted average price (VWAP) of all orders.<\/em><\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>The order numbers indicated above are the <strong>actual orders(not disclosed)<\/strong> for the cash market &amp; hence the values will not match with the market depth seen within your broker&#8217;s terminals, which helps get a much clearer picture of how this is driving the price of a stock.<\/p>\n<p>These new fields <strong>can be combined with existing functions, e.g., SMA, Min, Max, Count<\/strong> and so on.. to derive onto more complex indicators.<\/p>\n<h4>Sample dashboards<\/h4>\n<p><a href=\"https:\/\/chartink.com\/dashboard\/47703\" target=\"_blank\" rel=\"noopener\">Buyer vs. Seller initiated trades<\/a><\/p>\n<p>While we are working on adding more scans &amp; dashboards for the same, I wanted you to be updated on adding these new fields. HI hope these are useful for gaining more insights along with the existing fields of technical analysis.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>We&#8217;ve recently added fields from &#8220;Trade book&#8221; and &#8220;Order book&#8221; to help you gain deeper insights into 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 Buyer-initiated trades &#8211; Indicates the &hellip; <a href=\"https:\/\/chartink.com\/articles\/scanner\/trade-and-order-book-data-now-avaliable\/\" class=\"more-link\">Continue reading<span class=\"screen-reader-text\"> &#8220;Trade and Order book data now avaliable&#8221;<\/span><\/a><\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":[],"categories":[49,2],"tags":[],"_links":{"self":[{"href":"https:\/\/chartink.com\/articles\/wp-json\/wp\/v2\/posts\/709"}],"collection":[{"href":"https:\/\/chartink.com\/articles\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/chartink.com\/articles\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/chartink.com\/articles\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/chartink.com\/articles\/wp-json\/wp\/v2\/comments?post=709"}],"version-history":[{"count":12,"href":"https:\/\/chartink.com\/articles\/wp-json\/wp\/v2\/posts\/709\/revisions"}],"predecessor-version":[{"id":3728,"href":"https:\/\/chartink.com\/articles\/wp-json\/wp\/v2\/posts\/709\/revisions\/3728"}],"wp:attachment":[{"href":"https:\/\/chartink.com\/articles\/wp-json\/wp\/v2\/media?parent=709"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/chartink.com\/articles\/wp-json\/wp\/v2\/categories?post=709"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/chartink.com\/articles\/wp-json\/wp\/v2\/tags?post=709"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}