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To me its a matter of timing and in my experience you cant really buy at the
bid or sell at the ask. If, for example, you place a limit order to buy at
the current bid you will not get filled until price moves down and a seller
caves in and agrees to sell at your bid price. So the actual transaction is
really a sale triggered by the seller accepting your prior limit offer at
the bid. If you enter a market order or a limit order to buy at the ask you
will get filled right away and the transaction is triggered by your buy
order. Thus I dont think you need to know whether the orders are market or
limit. What you need to know is the best bid/ask at the time of each trade.
Most if not all trades taking place at the bid are sells and most trades
taking place at the ask are buys. Trades occurring in between bid/ask are
impossible to figure and probably should be ignored in a buying/selling
pressure type indicator. I would like to be able to construct such an
indicator in TS in order to compute up/dn volume based on proximity of price
to bid/ask but have been unable to figure out how to do it. TS will not let
you access tick data from minute or daily charts and this prevents any
allocation of volume which must be done on a tick by tick basis.
Bill Wood
-----Original Message-----
From: Wayne Mathews [mailto:wayne@xxxxxxxxx]
Sent: Wednesday, May 24, 2000 5:10 PM
To: =omega list
Subject: Buyers and Sellers (or Bid and Ask)
There is in TS 2K an ActivityBar indicator called Buyers vs Sellers. The
calculation for this compares Best Bid/Ask prices against trade prices
to determine if the trade was at the bid or ask. If the trade was at the
ask it is called a buy and considered as buying pressure (up). If at the
bid it is called a sell and represents selling pressure (down). Thus,
how many "buys" and "sells" per unit time is suppose to indicate overall
buying or selling pressure. But is this correct thinking? (Has anyone
found these ActivityBars of any use?)
My understanding is that one can both buy or sell at either Ask or Bid.
A limit order to buy is placed at the bid (and hopefully filled there).
(It could be at the ask but then why not just place a market order at
ask?). A market order to buy is filled at the ask (nobody is going to
fill it at the bid).
A limit order to sell is entered at the ask. A market order to sell is
entered at the bid.
Unless you know (which we do not) if a trade is a limit order or a
market order, I do not think one can not tell if it is a buy or sell,
even knowing if it when at the bid or ask. And therefore, one can not
tell anything about buying pressure or selling pressure.
Comments?
wayne
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