Support Board
Date/Time: Sun, 24 Nov 2024 18:30:30 +0000
Post From: Large Volume Trade Indicators - Passive vs Aggressive Orders
| [2024-02-11 15:55:40] |
| cmet - Posts: 551 |
|
Issues like this would be solved by having this study (or a new one just like it) based on the Time and Sales data/tools instead of exchange reporting. Plotting TAS data using timestamps and combining records (Same Time and Type specifically) is the closest you're going to get to actual real time executed trade sizes. It removes the obfuscation caused by firms taking advantage of exchange reporting and hiding large size (fire hosing 1 lots for instance). Since the data is already easily constructed in the SC TAS, is there a way to get that information to plot in a similar way to LTVI? |