Microstructure question

[sle]

Hi All,

Just wondering what this scenario means from microstructure point of view. if you connect prev bid( or ask) to current ask(or bid) is there any information that can be implied..

It would be nice if you had a legend there. I assume the horizontal “dash” is a weighted mid?

Ps. Looks like a joiner algo type of setup.

 

[Spectre2007]

Price inception bar (first bar) bid-close-ask, the bid was never violated but the close and ask were for successive bars. Upward Brownian motion of price. Everything is always a reference to time (0) the first bar.

 

[SunTrader]

Except what if segment is from the middle of data output - or end? IMO snippets of so-called microstructure are less than meaningless.

 

[Spectre2007]

Except what if segment is from the middle of data output - or end? IMO snippets of so-called microstructure are less than meaningless.

no matter where the segment is, its always the first bar of the segment looked at, and you reference everything from that bar.

 

[Spectre2007]

 

[Spectre2007]

A bunch of small losses made up by a large gain and than some.

 

[SunTrader]

View attachment 179737


no matter where the segment is, its always the first bar of the segment looked at, and you reference everything from that bar.

Like I said meaningless.

 

[tommcginnis]

Not sure what you really mean by "microstructure".

"Microstructure" is the Business School term de'jure to describe actual trading, versus all those exceptions to the Efficient Market Hypothesis that had to be made before the Nobel committee yelled "Hey! Chicago School! Have you seen all this cool stuff happening in the Southwest??" and awarded the economics prize to Kahneman & Tversky, and thereby made things like Behavioral Analysis and the evidentiary thought of "Technical Analysis" no longer grounds for immediate dismissal.