As part of End-Of-Day calculations once a particular market/exchange has closed for all the tickers traded on that market one may typically compute the following properties:
- Bid/Ask Price (mean, median, stddev)
- Bid/Ask Size (mean, median, stddev)
- Spread (mean, median, stddev)
- Executed volume (total, mean, stddev, min, max)
- Percentage of total daily volume
- Time between executions (mean, stddev)
- Number of executions
- Perform points [2-9] over the last N non-extraordinary business days (where N is 10 and 20) obtaining mean, stddev, min and max
The statistics are summaries computed over uniform buckets of time for each ticker. The buckets can be of size 30sec, 1min, 2min, 5min, 10min - which bucket is used for a particular ticker is dependent on the nature of the ticker.
For example, a 10BD mean of executed volume and bid price (with their stddev) in a particular bucket for a well behaved ticker can help a vwap buyside mean oriented market impact minimizing strategy predict how much volume could be expected in that interval, allowing it to make better decisions about how much volume it should have out, and at what price levels, and whether or not it's falling behind and if so should it cross the spread now or will there be ample volume for it to catch up in the next intervals before its end-time is reached.
My question is: In addition to the above what else does one typically compute? - and if possible why?