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Market Indicators for Order Creation Patterns
This set of indicators measures how the orders are being created, i.e. placed into the book.
These indicators provide a benchmark of order creation patterns. Together with order cancellation patterns,
they allow the measurement of market activity and direction.
Price
| Indicator |
Value |
Description |
| PriceFirst |
Price |
Price of the first created order at the beginning of the tick period (or 0 if no orders were placed at all) |
| PriceLast |
Price |
Price of the last created order at the end of the tick period (or 0 if no orders were placed at all) |
| PriceAvg |
Price |
The average price of all orders created during the tick period, weighted by the number of shares of each order |
Volume
| Indicator |
Value |
Description |
| VolumeA |
Number of shares |
Total volume of orders created during the tick period |
| VolumeE |
Number of shares |
Volume of orders created during the tick period at the best (edge) price when the order was created |
| VolumeQ |
Number of shares |
Volume of orders created during the tick period within 0.25% price range from the edge price at the time when the order was created |
| VolumeT |
Number of shares |
Volume of orders created during the tick period within 0.33% price range from the edge price at the time when the order was created |
| VolumeH |
Number of shares |
Volume of orders created during the tick period within 0.50% price range from the edge price at the time when the order was created |
| Volume1 |
Number of shares |
Volume of orders created during the tick period within 1.00% price range from the edge price at the time when the order was created |
| Volume3 |
Number of shares |
Volume of orders created during the tick period within 3.00% price range from the edge price at the time when the order was created |
| Volume5 |
Number of shares |
Volume of orders created during the tick period within 5.00% price range from the edge price at the time when the order was created |
| Volume10 |
Number of shares |
Volume of orders created during the tick period within 10.00% price range from the edge price at the time when the order was created |
Events
| Indicator |
Value |
Description |
| EventCountA |
Integer |
Number of all order creations during the tick period |
| EventTAgeA |
Age in milliseconds |
Simple average time interval in milliseconds between consecutive creations during the tick period (average age) |
| EventVAgeA |
Milliseconds |
Weighted average time interval in milliseconds between consecutive creations during the tick period (average age),
weighted by the number of created shares in each event |
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