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You can store bid and asked if it is in the data stream and you separate it
but I wouldn't personally bother because it's the price at which it trades
and change up/down which is significant. Should be simple enough to build
code which selects the tick volume based on study parameters (minimum and
maximum) and chart several ranges to see what looks significant to you.
Personally, I watch simple OBV on casual basis however I don't trade on it.
Earl
-----Original Message-----
From: Jonathan Sibley <jsibley@xxxxxxxx>
To: eadamy@xxxxxxxxxx <eadamy@xxxxxxxxxx>
Date: Thursday, February 25, 1999 10:25 AM
Subject: Re: GEN Intraday Tick Chart Analysis
>Thank you for responding so promptly (and during the trading day, too).
>
>I realize it doesn't have to do with volume, but I wanted to concentrate on
>large blocks. In fact, I wrote a script in Ensign to report this, but I'm
>trying to get feedback on what conclusions I can draw. I'm trying to see if
>large blocks are being purchased or sold, and as you know, Ensign doesn't
>store bid and asked.
>
>Do you recommend I just use OBV, or is there a price comparison on a tick
>chart that would be helpful (just looking for ideas, not a program)?
>
>Thanks. Respond to me or to the group, as you prefer.
>
>Jonathan Sibley
>
>At 09:53 AM 2/25/99 -0700, Earl Adamy wrote:
>>Volume has nothing to do with up/dn ticks. Up tick is last price higher
than
>
>
>>previous last, dn tick is last price lower, if price is unchanged from
>>previous then tick is considered to be same as previous change up/dn. You
>>can write your own study updating every tick to do this in Ensign or you
can
>>approximate the results by running OBV on a tick chart.
>>
>>Earl
>>
>>-----Original Message-----
>>From: Jonathan Sibley <jsibley@xxxxxxxx>
>>To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
>>Date: Thursday, February 25, 1999 9:09 AM
>>Subject: GEN Intraday Tick Chart Analysis
>>
>>
>>>Can anyone tell me if one can draw any conclusions about whether ticks
with
>>>large volume (e.g., > 5,000 shares) are upticks or downticks?
>>>
>>>I'm trying to draw conclusions about whether there is buying or
liquidation
>>>going on in specific stocks and my software stores ticks, but not
>>>historical bid and ask prices (which I assume would lead to more accurate
>>>conclusions).
>>>
>>>Any thoughts on this potential technique or any variations that seem
>>helpful?
>>>
>>>Thanks.
>>>
>>>Jonathan Sibley
>>>
>
>
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