trade volume analysis

[fundjunkie]

Hi,
When looking at volume statistics for a day's trading is it possible to find out the ratio of buyers to sellers - admittedly the price is indicative of this? Also, is it possible to see who bought the shares,i.e many buyers or a few big hits.



Thanx,
D

 

[TBS]

The problem you have with trying to name the buyers is that they can do a very good job of covering their tracks by trading through more than one broker, splitting the orders, trading as a swap etc....

However, if someone buys a sizeable chunk of a UK stock - or already owns a chunk and is adding to it (I think the notification level is 3% and every 1% thereafter), they may well reach RNS 'proportions' where a declaration has to be made as to who the buyer is.

If you want to be able to check RNS announcements for indiviudaul UK stocks try:

http://www.uk-wire.com

If you are talking about US stocks, then someone else will have to advise.

 

[rog1111]

Hi,
When looking at volume statistics for a day's trading is it possible to find out the ratio of buyers to sellers - admittedly the price is indicative of this? Also, is it possible to see who bought the shares,i.e many buyers or a few big hits.
Thanx,
D

fundjunkie

You could collect the volume at the bid and ask respectively using your broker's API & Excel. Anything in the middle you'll have to apply some guesswork. I don't know if there are any sites offering this astrikos.com used to....

Roger

 

[Himalaya]

Buyers vs sellers

For every buy there is a sell.

Try http://www.marketdelta.com

 

[rog1111]

Just for interest and FWIW, I had a look at the Nasdaq eminis (nq m4, using eSignal & Excel) today Friday 2nd April, for the last 2 hours or so of trading. For the first hour that I watched, up moves were accompanied by more trade volume at the ask than at the bid, and vice versa for down moves. However, during the last hour it struggled up 8 or so points on a net volume at the BID of approx 2500 contracts. Conventional logic might (stress might !) suggest that this shouldn't happen.

Just an observation - I'll have a better look next week.

rog1111