Support Board
Date/Time: Thu, 28 Nov 2024 10:49:25 +0000
Post From: Orders per second
| [2023-05-16 09:00:06] |
| nioko54130 - Posts: 108 |
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by looking at the impact that the market ORDERS will have on the price action: more precisely on the volatility of the prices; you will be able to obtain an index of choice as for the location of the VPIN! The reason is simple: any toxic orderflow is going to be "annoying" for the market maker; this will result in a rather "disgusting" execution of this flow (with relatively important slippage). At this point, you know that the market maker is confronted with VPIN, and therefore, that he will potentially "flee", by reducing his liquidity in the sense that he has been hit by VPIN. This is how this orderflow of "toxic" volume will generally generate a price movement in the initial direction of the market hit. At that moment, it is then the logic of "GO WITH" that should be favored. If on the contrary, the volume is executed without impact, or better with a negative slippage.... then in this case, it means that we are on DUMB volume! At that moment... the logic of FADE will be preferred. Measuring the execution of volume, and its impact on price volatility is essential, and it says a lot about the real state of liquidity of the order book, and therefore by extension on the state of the market maker. All this is now measurable, quantifiable, and can be visualized very precisely in 2023! Nico |