Calculating short/long order percentages?
Calculating short/long order percentages?
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user11825 · External communityPost link
External question — Quantitative Finance Stack Exchange
Author: user11825
Original post: https://quant.stackexchange.com/questions/14407
License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/
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I have a feed in real time that lists the ask and bid orders.
Each order consists of a value and a quantity.
I want to calculate the percentage of short orders from the total orders in terms of quantity.
So far i have this:
Sum(askOrderQuantities)/( Sum(askOrderQuantities+ Sum(bidOrderQuantities))
As far as i know selling is not the same as short. most ask orders are way above market price. This means that they will not go through anytime soon. Does this mean they are long because the seller is betting the price will go up?
Edit:
I am trying to find a percentage that represents people going short of the total market, weighing in the quantity they are using. This is for the forex market.
I have the following data in real time:
Order sheet
Ticker
Market trade history
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Jason Guevara · External communityPost link
External answer — Quantitative Finance Stack Exchange
Author: Jason Guevara
Original post: https://quant.stackexchange.com/a/14409
License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/
Adaptation: HTML converted to plain text; contact email addresses removed.
Perhaps you might have to "match" Tick data to the best bid/offer to see which price(s) go through... If say the spread is 35.50/36.50 and the tick at that moment is 36.50 then we can consider this to be "buyer initiated" and of course if the tick is 35.50 then it becomes "seller initiated". That is to say if the price is above the average of the current spread we can consider it to "buyer initiated" and "seller initiated" if the price is below the average best bid/offer.
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Quoted from Forex.com.bd-Editorial External question — Quantitative Finance Stack Exchange Author: user11825 Source score (net votes, not local likes): 2 Original post: https://quant.stackexchange.com/questions/14407 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. I have a feed in real time that lists the ask and bid orders. Each order consists of a value and a quantity. I want to calculate the percentage of short orders from the total orders in terms of quantity. So far i have this: Sum(askOrderQuantities)/( Sum(askOrderQuantities+ Sum(bidOrderQuantities)) As far as i know selling is not the same as short. most ask orders are way above market price. This means that they will not go through anytime soon. Does this mean they are long because the seller is betting the price will go up? Edit: I am trying to find a percentage that represents people going short of the total market, weighing in the quantity they are using. This is for the forex market. I have the following data in real time: Order sheet Ticker Market trade history
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