Inferring highest bid and lowest ask from forex trade data
Inferring highest bid and lowest ask from forex trade data
Loading saved threads...
Matt Bell · External communityPost link
External question — Quantitative Finance Stack Exchange
Author: Matt Bell
Original post: https://quant.stackexchange.com/questions/3150
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 historical trade data for every trade on a forex exchange, whcih includes the following data:
Time the trade was made
Amount, in currency A
Price, in currency B
I have also used this to organize the data into candlestick data for periods, which includes:
Volume in currency A
Volume in currency B
Low price
Open price
Close Price
High price
Number of trades
How will I be able to use the data I have to infer the highest bid or lowest ask at a certain point in time? Also, is there any way I will be able to guess the volume of the high bid/low ask orders?
This won't be a perfect solution because I don't have access to historical market depth.
Quote
Report
Post Reply
Quoted from Forex.com.bd-Editorial External question — Quantitative Finance Stack Exchange Author: Matt Bell Source score (net votes, not local likes): 5 Original post: https://quant.stackexchange.com/questions/3150 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 historical trade data for every trade on a forex exchange, whcih includes the following data: Time the trade was made Amount, in currency A Price, in currency B I have also used this to organize the data into candlestick data for periods, which includes: Volume in currency A Volume in currency B Low price Open price Close Price High price Number of trades How will I be able to use the data I have to infer the highest bid or lowest ask at a certain point in time? Also, is there any way I will be able to guess the volume of the high bid/low ask orders? This won't be a perfect solution because I don't have access to historical market depth.
Checking account access…