Hi Everton,
Each tick is an order partially or fully filled at the Price and Volume given as the tick data. For example a trader can place an order for 20 contracts at 2,060.25, but get several fills. Let's say that the first fill is for 10 contracts, the 2nd fill for 6 contracts and the last fill for 4 contracts. All filled at the price of 2,060.25.
So you will be able to see 3 ticks at 2,060.25 with the volumes 10, 6 and 4 contracts. But you will not be able to tell if these 3 ticks comes from the same order or if the fills came from a Buy or Sell Order.
What you need in order to be able to identify individual trader's orders and size is Ask and Bid Prices at the Tick, plus each tick's time-stamp in microseconds. Then if the time-stamp is the same for a series of fills, then all those fills comes from the same order. But as I mentioned the time-stamp must have microseconds precision.
If you have all that data, it will be easy to identify individual orders and the order sizes. If you can do that, you can basically follow the "Smart Money" and all the manipulations by the "Insiders" in real time. At the moment AmiBroker do not support Ask and Bid prices at tick and microseconds time-stamp (IQFeed etc plug-in). But having seen the amazing features Tomasz has been adding to AmiBroker during all these years, I pray that these features one day will turn up. :-)
BUT, since AmiBroker is such as amazing charting program running at an amazing speed- you are able to get some information from what you have today! Basically since you can't differentiate Buy and Sell Volume, you can focus on order fill sizes! I am using ES E-mini Future as an example here. Let's assume that Pro Traders place minimum order sizes of 20 contracts. Then you filter out all Volume smaller than 20 contracts at tick and summarize and count how many fills you see that are at 20 contracts or above and do that for let's say each 1 minute period. You will now be able to get a feeling for how much Volume has been filled from Pros during each 1 min period and with how many fills. That information is actually not bad at all. Because if you plot this you will be able to get a feeling for when the Pro Traders place orders. Then a judgement call by looking at price level and total Volume will give you an idea if it was mainly Buying or Selling Volumes from the Pros. Just keep in mind that when the retail traders going for buying frenzy at the end of a trend, the Pros are Selling and vice versa. :-)
There are of course many ways to collect and manipulate the tick data we have today and get some decent information out of it. But the AmiBroker HG for me is to be able to identify actual buy and sell orders and order sizes! One day, who knows! :-)
I hope that helps.
Regards,
Jorgen
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Posted by: jorgen.wallgren@gmail.com
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