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:

  1. OHLC
  2. Bid/Ask Price (mean, median, stddev)
  3. Bid/Ask Size (mean, median, stddev)
  4. Spread (mean, median, stddev)
  5. Executed volume (total, mean, stddev, min, max)
  6. Percentage of total daily volume
  7. VWAP
  8. Time between executions (mean, stddev)
  9. Number of executions
  10. 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?

  • $\begingroup$ What gets computed is heavily dependent on your needs or application. I can't imagine there is a one-size-fits-all solution to this. $\endgroup$ Jul 1 '13 at 1:47
  • $\begingroup$ @chrisaycock I agree completely, that said I was just wondering what common things people in the community do as part of their eod compute routine. $\endgroup$
    – Gerry D.
    Jul 1 '13 at 2:20
  • $\begingroup$ @GerryD., I do not understand what you mean with "eod routine". It is not what others use, as most market participants look at different metrics. You are asking for simple statistics of time series. For that you can use hundreds of different summarizing factors. You would need to be more specific because I doubt anyone will list everything possible. $\endgroup$
    – Matt
    Jul 1 '13 at 9:40
  • $\begingroup$ @MattWolf: 'EOD routine' basically means the things BO people and quants et al at hedge funds, IBs, Banks, Market Makers etc do post close of exchange every day. Some of the things include fundamental summaries of tickers. $\endgroup$
    – Gerry D.
    Jul 2 '13 at 0:00
  • $\begingroup$ @MattWolf: As for the large number of possibilities, that is very true, however I was hoping people would share their more interesting computations, the things they think that are common that haven't been listed above etc. $\endgroup$
    – Gerry D.
    Jul 2 '13 at 0:02

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