Author Topic: Number of trades Window Specific Filter  (Read 5310 times)

Barrie Einarson

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Number of trades Window Specific Filter
« on: June 02, 2010, 08:30:21 pm »
I think this has been asked for before but I would like a window specific filter that can forecast the number of trades a security will have in a given day.  For instance, I would like to find stocks that are likely to trade 7500 times in a day - that improves the liquidity for that stock. The total volume a stock trades is not necessarily a great barometer for liquidity, especially if the stock is trading in large blocks.  To give an exaggerated example, a stock that trades 7.5M shares has better liquidity if it is made up of 7,500  1 thousand share trades than if it is made up of 750 10,000 shares trades.

So the combination of abnormal volume AND a minimum # of trades greatly increases the liquidity of a stock which is key when you are day trading.

braddoubleu

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Re: Number of trades Window Specific Filter
« Reply #1 on: June 03, 2010, 01:17:13 pm »
Interesting request.  I will discuss it with the team.

braddoubleu

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Re: Number of trades Window Specific Filter
« Reply #2 on: June 04, 2010, 04:33:15 pm »
I liked your filter idea; it made a lot of sense.  As such, you may have noticed today that we added a new Window Specific Filter called the Min/Max Average Number of Prints filter. http://www.trade-ideas.com/WhatsNew.html

The icons are   and http://www.trade-ideas.com/Help.html#WSF_MinPrints

This filter looks at the number of prints this stock has on an average day.  This is based on recent history, not today‚Äôs trading.  For information on the number of prints in the last few minutes, look at the the Unusual number of prints alert http://www.trade-ideas.com/Help.html#UNOP.

Also, to see the statistical baseline of the Average Number of Prints of a particular stock, enter the symbol in question in the Stocks Like This page which can be found here: http://www.trade-ideas.com/StockInfo/_StocksLikeThis.html

Barrie Einarson

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Re: Number of trades Window Specific Filter
« Reply #3 on: June 05, 2010, 02:51:34 pm »
Yes I saw that new alert and it is interesting.  The only problem with it - for my purposes - is this - it may tell you when there is an unusual # of prints compared to recent history but that could mean 1000 prints instead of 500 prints etc.  While that might be a good short term indicator, I'm still looking for stocks that have the expectation of doing at least 7500 trades in a day - in the slow summer months I may drop that to 5000 trades and when I really want to zero in on high liquidity stocks, I'll raise it to 10000. 

So would it be possible to add a minimum # of expected trades as a hard number - I really only start looking at these potential trades after the 1st hour so that if a stock traded 1500 times in the 1st hour, that would extrapolate to 9750 trades for the 6.5 hours of trading.  If the rate starts dropping, so would that extrapolated # so that some stocks would be dropped and some would be added during the trading day - depending on whatever benchmark # you choose - in my case 7500 trades.

Thank you very much for looking at my suggestion.

« Last Edit: June 05, 2010, 03:03:04 pm by bbruin »

Barrie Einarson

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Re: Number of trades Window Specific Filter
« Reply #4 on: June 05, 2010, 03:31:49 pm »
I'm sorry, I didn't look closely enough at what you added, I only saw the unusual # of prints - I see now that I can at least filter based on a hard # of prints which in turn is based on an average from previous days of trading - that's a great start and I will start to use that.  What it doesn't pick up though is that stock that is doing something unusual TODAY  - the one that will trade a projected 7500 times when historically, it was only e.g. 1000 times.  The abnormal volume alert will probably pick that stock up but it still may not be liquid enough - for my purposes anyway - to carry out a high percentage day trade.

sternforpres

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Re: Number of trades Window Specific Filter
« Reply #5 on: June 07, 2010, 09:35:04 am »
Why does "stocks like this" show average number of prints something like 200 TIMES the average volume?  I would expect the exact opposite.

braddoubleu

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Re: Number of trades Window Specific Filter
« Reply #6 on: June 10, 2010, 08:54:16 am »
The "stocks like this" page has been fixed - the results are now correct.