New answers tagged market-microstructure
Most of these classifications of aggressive trades are not so relevant anymore, due to smart order routers which execute aggressive parent orders using passive child orders, as Maureen O'Hara points out in http://www2.warwick.ac.uk/fac/soc/wbs/subjects/finance/fof2014/programme/maureen_ohara.pdf I am not sure what I would do if I wanted this information, ...
The most commonly-known approach to this is described in Inferring trade direction from intraday data (1991) by Lee and Ready. You will find that the non-trivial part has to do with classifying trades that are reported inside the spread. I believe you will find that the Lee-Ready algorithm will outperform the naive midpoint reference approach suggested by ...
I think spread midpoint will be more safe reference, after that if transaction price is higher from midpoint its buy, otherwise sell, if equal then not specified.
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