Inferring Trade Direction from Tick Data for Order Imbalance

Summary

A trader asks where an individual can access tick-by-tick trades that include buyer or seller initiation, intending to calculate aggressive buying and selling volume at each price for an order-imbalance strategy. The reply says that ready-made aggressor-side labels are generally not provided in the data described; instead, the direction must be inferred from tick data. It also notes that exchanges publish market data, rather than a precomputed classification of each trade’s initiator.

The exchange is brief and offers no particular vendor, interface, or classification procedure. It does not explain how to infer direction, quantify classification errors, or compare tick-rule and quote-based methods. The useful takeaway is therefore a data distinction: trade prints and inferred aggressor direction are not necessarily the same field, and an imbalance strategy may need to derive direction itself. The discussion does not establish what data is available from any specific exchange or provider, or whether the inferred labels are reliable enough for a given strategy.

Key ideas

• The question concerns measuring aggressive buy and sell volume at individual price levels from tick data.
• The reply says aggressor direction is typically inferred from trades rather than supplied as a ready-made field.
• Exchange market data availability does not guarantee that each trade comes with a buyer or seller initiation label.
• The discussion does not identify a provider or describe a method for classifying trade direction.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.