I have some data which contains Bid and Ask prices as well as the number of units at the Bid and Ask. Since I'm just messing around and I don't have price of a trade, I will use mid price. But what's the best way to estimate the volume that is traded in a given trade?

I can see the units changing on the bid/ask sides but these quantities will be affected by orders that arrive between ticks as well as by a trade hitting the bid or ask.

  • $\begingroup$ Yes and cancellations. It isn't about determining it, it's whether there is a reasonable estimate. Like it's impossible to determine price but we accept midprice or microprice is a reasonable thing to do. $\endgroup$ – T_M Jul 18 '20 at 15:26
  • $\begingroup$ If there is perfect theoretical price that every one agrees and if it is higher than ask price then we may expect all askq will be filled or canceled, however it is very difficult to guess traded volume in each tick. People quoted on ask price would try to cancel immediately they calculate the theoretical price while arbitrageurs try to send orders as soon as possible. $\endgroup$ – spar7453 Jul 18 '20 at 15:55

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