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Paul wrote:
> I tried to code up the Trade Volume Index. A link was provided the other
> week to the equis site for an explanation.
> http://www.equis.com/free/taaz/tradevolind.html .I have tried to code it in
> easylanguage. Would someone mind having a look and see if it is right. In
> particular the section regarding minmove.
>
>From http://www.equis.com/free/taaz/tradevolind.html and Achelis' book
"Technical Analysis from A to Z" we have the quote:
"The TVI is designed to be calculated using intraday "tick" price data.
The TVI is based on the PREMISE that trades taking place at higher
"asking" prices are buy transactions and trades at lower "bid" prices
are sell transactions."
I believe this PREMISE is wrong, as either buy trades or sell trades
can go at the ask. The former are market orders while the latter are
limit orders. There is no way to tell from information (T&S or bid and
ask) on your computer which type order is being filled and therefore
TVI can not indicate "that trades (which) are taking place at the asking
price show buyers accumulate the security" or "that trades (which) are
taking place at the bid price show sellers distribute the security".
You might think that the volume listed at best ask and bid would show
the desire of a select group sellers and buyers (not those who sell and
buy with market orders). More volume listed at ask should mean sellers
want out and the price should go down. But I have found that not to be
the case except in a fast down trend.
BTW, has anyone notice that now, compared to a year ago, the best ask
and bid volume is generally much larger than the trade volume? Are
people just putting up limit orders and before it is taken, someone else
steps in front of them by putting up a different volume at the same
price? I recently saw somewhere that market and limit orders are about
50/50 on both NYSE and NASDAQ
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