Threei,
When you watch the tape, one sees:
t1, t2, t3, t4, Q1, t5, t6, Q2, .....
where the ti are trades and the Qi are (bxa)
The Qi are changing for a reason (presumably) and not randomly.
1. In the listing (i.e, in the way the market-makers or whoever list the times of the trades and quotes), is Q1 a function of t1, t2, t3 and t4 or is Q1 a function of t5 and t6?
It is unclear how they list the information.
2. I understand that the way you look at it is that people just keep posting their own bids and asks and that is how things change. I am looking at it slightly differently --- people (esp specialists) choose their bids/asks depending on order flow. Maybe this makes sense only in times of order imbalance -- I don't know.
3. Ultimately, I am asking this question simply to try and understand if I can look at a sequence of trades and classify.
I apologize if I am not clear.
If we use your definition (trade at bid = sell, trade at ask = buy) that is fine. But because of the ambiguity of sequencing (meaning I don't know which quote to look at with respect to the trade --- the quote before or after, in the sequence) I don't know how to classify.
Thanks,
Joseph |
