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Market Indicators for Order Execution Patterns
This set of indicators measures how the orders are being executed.
Order execution constitutes a binding trade between market participants, so
the trade patterns show where the money changed hands, for both displayed and non-displayed orders.
Price
| Indicator |
Value |
Description |
| PriceOpen |
Price |
The last price of displayed orders traded as of the beginning of the tick period |
| PriceHigh |
Price |
The highest price of displayed orders traded during the tick period |
| PriceLow |
Price |
The lowest price of displayed orders traded during the tick period |
| PriceClose |
Price |
The last price of displayed orders traded at the end of the tick period |
| PriceAvg |
Price |
The average price of all displayed orders executed during the tick period, weighted by the number of shares of each order.
If there were no orders traded during this tick period, the value is set to zero. |
| NPriceOpen |
Price |
The last price of non-displayed orders traded as of the beginning of the tick period |
| NPriceHigh |
Price |
The highest price of non-displayed orders traded during the tick period |
| NPriceLow |
Price |
The lowest price of non-displayed orders traded during the tick period |
| NPriceClose |
Price |
The last price of non-displayed orders traded at the end of the tick period |
| NPriceAvg |
Price |
The average price of all non-displayed orders executed during the tick period, weighted by the number of shares of each order.
If there were no orders traded during this tick period, the value is set to zero. |
Note: All fields are initialized to zero at the beginning of the session.
At the beginning of the new tick period, the Open, High, and Low Prices are set to the previous tick period's Close price.
The Low and High Prices will be updated throughout the tick period to reflect the minimum or maximum price within this period, correspondingly.
Volume
| Indicator |
Value |
Description |
| VolumeA |
Number of shares |
Total volume of executed orders during the tick period |
| NVolumeA |
Number of shares |
Total volume of executed non-displayed orders during the tick period |
Age / Volume
| Indicator |
Value |
Description |
| AgeA |
Age in milliseconds |
Average age of all orders executed during the tick period, weighted by the number of shares |
| VolumeA_01s |
Number of shares |
Volume of all orders executed during the tick period that were not older than 1 second |
| VolumeA_03s |
Number of shares |
Volume of orders executed during the tick period that were not older than 3 seconds |
| VolumeA_05s |
Number of shares |
Volume of orders executed during the tick period that were not older than 5 seconds |
| VolumeA_30s |
Number of shares |
Volume of orders executed during the tick period that were not older than 30 seconds |
| VolumeA_01m |
Number of shares |
Volume of orders executed during the tick period that were not older than 1 minute |
| VolumeA_03m |
Number of shares |
Volume of orders executed during the tick period that were not older than 3 minutes |
| VolumeA_05m |
Number of shares |
Volume of orders executed during the tick period that were not older than 5 minutes |
| VolumeA_10m |
Number of shares |
Volume of orders executed during the tick period that were not older than 10 minutes |
| VolumeA_15m |
Number of shares |
Volume of orders executed during the tick period that were not older than 15 minutes |
| VolumeA_30m |
Number of shares |
Volume of orders executed during the tick period that were not older than 30 minutes |
Events
| Indicator |
Value |
Description |
| EventCountA |
Integer |
Number of all displayed order executions during the tick period |
| EventTAgeA |
Age in milliseconds |
Simple average time interval in milliseconds between consecutive displayed order executions during the tick period (average age) |
| EventVAgeA |
Milliseconds |
Weighted average time interval in milliseconds between consecutive displayed order executions during the tick period (average age),
weighted by the number of executed shares in each event |
| NEventCountA |
Integer |
Number of all non-displayed order executions during the tick period |
| NEventTAgeA |
Age in milliseconds |
Simple average time interval in milliseconds between consecutive non-displayed order executions during the tick period (average age) |
| NEventVAgeA |
Milliseconds |
Weighted average time interval in milliseconds between consecutive non-displayed order executions during the tick period (average age),
weighted by the number of executed shares in each event |
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