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Use Limit Order Book Statistics to Measure Intraday Trading Pressure

Article Quant Q&A · Author: cephalopod
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Summary

The document considers how to assess intraday accumulation or distribution and buying or selling pressure from tick-level stock data. The questioner has tried price and volume measures inspired by research on market bottoms but reports that the intraday analysis has not produced actionable signals.

The answer points toward limit order book statistics as a separate source of measures from conventional technical indicators. Such measures can be calculated at different book depths and can use intraday order book variables, their changes, and trade or quote imbalances to characterize activity on the bid and ask sides. The response suggests searching quantitative finance research for studies on order book statistics, noting that some papers collect definitions in glossaries or tables. It does not name a specific statistic, provide a formula, or demonstrate predictive performance, so readers would need to investigate and validate candidate measures for their own data and objectives.

Key ideas

  • Limit order book statistics can measure activity at different depths of the book.
  • Intraday changes in book variables and bid-ask imbalances can help characterize trading pressure.
  • Order book measures offer an alternative to relying only on technical indicators.
  • The answer recommends reviewing quantitative finance research but supplies no named measure or evidence of predictive value.

Tags

EquitiesMarket microstructureStatistics
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# Ideas for calculating Accumulation/distribution and buying selling/pressure


# Ideas for calculating Accumulation/distribution and buying selling/pressure












With tick level data I'm trying to understand the day's action:

- Whether the stock was being accumulated or distributed during the day and

- The buying and Selling pressure throughout the day

The first is to help me decide whether to take a position and the second one to filter intraday trading opportunity.

So far I've calculated up down price/volume based on "Quantifying Short Term Market Bottoms Using 90% Days and STI" (from the following site https://www.lowryresearch.com/Research/WhitePapers). But doing the analysis intraday does not produce any actionable insight.

I'm sort of out of ideas, hence this post. I'd appreciate very much if the community could:

- point me to any research papers done on this

- Recommend any books/articles that could be of use for my analysis

- Any ideas or process that might help me achieve my two objectives.

Thanks in advance!

Kind regards Joe

## Answer by develarist (score 2)

https://quant.stackexchange.com/a/58543

What you are looking for are order book statistics, which stand on their own compared to technical indicators because they can be calculated down to specific depths of the LOB (limit order book).

Several measures have been introduced based on intraday variables and flows (first derivatives of order book variables and statistics) that deal with volume accumulation and bid/ask-side trade imbalances/pressure. Some offer probabilistic inference.

I recommend searching the Quantitative Finance journal for "order book statistics". Relevant articles often have a glossary in the appendix that enumerates several order book measures in a list or table.

https://www.tandfonline.com/action/doSearch?AllField=Order+book+statistics&SeriesKey=rquf20

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

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