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It would seem to me that you would also have to take into account the prior
trades. If a stock is coming down, but continually moves at the ask price, I
wouldn't consider that a long candidate (probably a step-down seller). And I
definitely think you need to consider the "in-between" trades that are neither
at the buy or the sell. But again, those should be considered in relation to the
stocks immediately prior movements.
On 24 May 00, at 18:56, William Wood wrote:
> 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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