Level 1 data and analysis
Manipulation of level 1 (and level 2) data may be old hat to larger players but not, to my knowledge for the smaller trader.
The following is my first step in accessing and manipulating level 1 data. I’d be interested to hear suggestions re analysis of any of the figures (or new figures derived from the existing data).
There may statistical analyses to apply, technical indicators on any of the elements (ie not just price), new measures to consider .
The attached Excel file contains just over 30-minutes of tick data (1000 rows) for the Bobl from Level 1 (columns A - H):
Date, Time, Bid size, Bid (price), Ask (price), Ask size, Last (trade), Vol(ume), ie last trade size.
Of course, 30-mins is small but it’s OK as a sample, specifically for scalping.
I have added basic measures (whether these yield anything of value remains to be seen):
bid/ask size diff(erence) – greater ask size shows positive, greater bid size shows negative
last diff – price change between trades
cum(ulative) diff - difference between last trade and open
Volume, sell/buy
Cum(ulative) sell/buy
Total vol(ume)
VWAP (volume weighted avergae price) sell/buy
Cum(ulative) VWAP and diff
sd last 10 – standard deviation (or volatility) of the last ten trades’ price.
I’ve constructed just two charts – last trade and standard deviation. The last has an interesting feature in that the 0.25% levels appears to act as pivot – once touched, volatility may decrease further but for the majority of cases will shoot up. I haven’t looked for any ramifications.
The next step is to incorporate level 2, thereby enabling an analysis of the evolution and ebb and flow of the order book throughout the day.
Grant.
Manipulation of level 1 (and level 2) data may be old hat to larger players but not, to my knowledge for the smaller trader.
The following is my first step in accessing and manipulating level 1 data. I’d be interested to hear suggestions re analysis of any of the figures (or new figures derived from the existing data).
There may statistical analyses to apply, technical indicators on any of the elements (ie not just price), new measures to consider .
The attached Excel file contains just over 30-minutes of tick data (1000 rows) for the Bobl from Level 1 (columns A - H):
Date, Time, Bid size, Bid (price), Ask (price), Ask size, Last (trade), Vol(ume), ie last trade size.
Of course, 30-mins is small but it’s OK as a sample, specifically for scalping.
I have added basic measures (whether these yield anything of value remains to be seen):
bid/ask size diff(erence) – greater ask size shows positive, greater bid size shows negative
last diff – price change between trades
cum(ulative) diff - difference between last trade and open
Volume, sell/buy
Cum(ulative) sell/buy
Total vol(ume)
VWAP (volume weighted avergae price) sell/buy
Cum(ulative) VWAP and diff
sd last 10 – standard deviation (or volatility) of the last ten trades’ price.
I’ve constructed just two charts – last trade and standard deviation. The last has an interesting feature in that the 0.25% levels appears to act as pivot – once touched, volatility may decrease further but for the majority of cases will shoot up. I haven’t looked for any ramifications.
The next step is to incorporate level 2, thereby enabling an analysis of the evolution and ebb and flow of the order book throughout the day.
Grant.
