Using Tick Data to Measure Volume Before a Limit-Up Move
Summary
The post asks whether it is possible to calculate trading volume during the final 15 seconds before a stock reaches its daily price limit. A reply says the calculation depends on how the limit-up event is defined and points to tick data as the relevant data source. Another reply recommends retrieving ticks with the platform’s tick-data function and consulting its help material for usage details.
The exchange offers a basic direction for an intraday volume calculation, but it does not provide code, define the precise event timestamp, or explain how to aggregate tick records over the 15-second window. It also gives no example, test, or discussion of data availability and timestamp precision. Researchers would need to specify the event rule and handle the platform’s tick-data conventions before implementing or evaluating the measure.
Key ideas
- Tick-level records are suggested for measuring volume in the final seconds before a limit-up event.
- The event definition and the exact 15-second window need to be specified.
- The discussion points to a platform tick-data function but supplies no implementation or validation.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.