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»Forums Index »Archive (2017 and earlier) »IQFeed Developer Support »Finding if Trade is a Market Order ?
Author Topic: Finding if Trade is a Market Order ? (3 messages, Page 1 of 1)

seattleguy
-Interested User-
Posts: 14
Joined: Dec 22, 2009
Posted: Feb 1, 2010 03:19 PM          Msg. 1 of 3
Hello

From the tick data, is there a way to know if the trade was a market order buy/sell or limit order ? We see the bid and ask at the time, but is there a sure way to tell if it was Market order (may be use if the trade price was same as bid or ask and figure ?) ? Thanks!

stargrazer
-DTN Guru-
Posts: 302
Joined: Jun 13, 2005

Right Here & Now

Posted: Feb 1, 2010 03:29 PM          Msg. 2 of 3
It isn't easy. I think the seminal paper on that is "Inferring Trade Direction from IntraDay Data" by Lee and Ready. But there is another hitch. I read in some recent papers that the 'short on an uptick' rule biases historical data.

seattleguy
-Interested User-
Posts: 14
Joined: Dec 22, 2009
Posted: Feb 1, 2010 03:55 PM          Msg. 3 of 3
Thanks much stargazer! Will check it out. I thought Uptick rule doesn't exist right now.
 

 

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