Data Collection: Testing Liquidity - No Of Trades Per Bar Time Period ?

EdgeHunter

EdgeHunter

I would like to find the number of trades made during a Time Bar period...

Not the share or contract volume but the number of trades that made up the volume...

specifically the number of trades that happened in each 15 Minute Bar throughout the day... for each market that i am covering...

The higher the number of trades made compared to the acutal volume of shares or contracts gives me an understanding of the stability or instability of the liquidity present and how its being executed... and stability or instability of the trend over whatever time period measured

I know that i can use tick bars to easily calculate how many trades took place but i would like to collect data on how many trades (number of trades big or small) that took place on each 15 minute bar throughout the day...

Any ideas... ways to do this... am i missing something simple...

In a DDE or RTD spreadsheet feed most data vendors have the running total number of trades for each market instrument from the open and you can use a VB timing sub routine to grab the total on each 15 minute bar period in snapshot fashion throughout the day but i am looking for a less complicated way to get this data... and maybe even get back data... not possible with the DDE method...

:confused:

cj...
 
Abstract…

Trading volume and the number of trades are both used as proxies for market activity, with disagreement as to which is the better proxy for market activity.

This paper investigates this issue using high frequency data for Cisco and Intel in 1997. A number of econometric methods are used, including GARCH augmented with lagged trading volume and number of trades, tests based on moment restrictions, regression analysis of volatility on volume and trades, normality of returns when standardized by volume and number of trades, and Correlation analysis using volatility generated from GARCH and realized volatility. <b>Our results show that the number of trades is the better proxy for market activity.</b>

How to find how many trades per time bar period... ?

:confused:

Here is the link to the PDF article i am quoting...
 

Attachments

Quote from t1ck3r:

If you need a one time shot of tick data. Pick a symbol and day.
info@t1ck3r.com

Greg
More...

Right, that would work great if my time bar period was a Day Bar but i am trying to collect the Number Of Trades per each 15 minute bar...

trickly little critter... collecting Number Of Trades in a intraday time bar...

thanks...
 
I said tick data not bar data.

Pick a day and a symbol. And in turn would give you a ascii file with every trade print.

Greg
 
Quote from t1ck3r:

I said tick data not bar data.

Pick a day and a symbol. And in turn would give you a ascii file with every trade print.

Greg
More...

Hi t1ck3r... <b>thanks</b> for driving that fact back into my brain for the sake of clairity... i think i see what you are saying... If tick data has time prints then i can parse it to get the no of trades for my start end time parameters per intraday bar...

thanks...

:)

cj
 
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