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From your comments I have deciphered that what you actually want to know is what the maximum amount of size is that you can trade at any time. Holding aside exchange irregularities, the answer to this is the total amount of size on one side of the book in the direction that you want to trade (e.g. bid side if you want to sell), at the time that you want to ...


Actually your question englobes many questions. In my opinion, you shouldn't only focus on the total volume you're going to execute on a specific day, but also on how you're going to split it into meta-orders(orders of small amounts) all over the day. You need to have: A model for daily volume (which i think is what are you looking for, then an ...


You must look at passive volumes available on certain levels in orderbook, that feature is called market depth. There is a possibility that daily volume is correlated somehow with depth on market levels around a price, but I think you must gather some data and model that relationship when you want do that in this way.


Interesting idea. I would like to have the reference you are using for this scheme? You are treating X/Y as a stock and then using Bollinger Band kind of signalling mechanism. I would think you would define the entry/exits more strictly to make it profitable. If you are making a lot of trades using this system, then from backtesting, you can figure out ...

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