Market volume over x period

[BetScalper]

Hi,

Currently, is there a way in automation using signals and/or stored values (not using Excel) to workout if the market volume has increased by x amount over y period ?

Example:

The market volume has increased by £2,000 over the last 10 seconds.

Cheers,

[Dallas]

Yes, this file will do that for you with a few minor tweaks
viewtopic.php?f=50&t=16754

[BetScalper]

Yes, this file will do that for you with a few minor tweaks
viewtopic.php?f=50&t=16754

Many thanks.

[BetScalper]

Hi Dallas,

Would you say its reasonable to assume that if a horse racing market increases by £2,000 over 5 seconds in the last 5 minutes then its a good indication that the market is very liquid ?

Cheers,

[Dallas]

Hi Dallas,

Would you say its reasonable to assume that if a horse racing market increases by £2,000 over 5 seconds in the last 5 minutes then its a good indication that the market is very liquid ?

Cheers,

Yes, I would say that's about the minimum to look for, before getting involved in a market I tend to look for at least £500 per sec increase on the whole market (or the equivalent of if using a faster refresh rate)

[BetScalper]

Hi Dallas,

Would you say its reasonable to assume that if a horse racing market increases by £2,000 over 5 seconds in the last 5 minutes then its a good indication that the market is very liquid ?

Cheers,

Yes, I would say that's about the minimum to look for, before getting involved in a market I tend to look for at least £500 per sec increase on the whole market (or the equivalent of if using a faster refresh rate)

Cheers,

[ShaunWhite]

Wasn't the question "its a good indication that the market is very liquid ?"

What's been suggested will show if the market is active, but not necessarily that it has liquidity. They're different things.

eg
Two markets could trade £500/s but one has 200,000 of orders either side up and down the ladder, and the other could have just 1000 either side of the spread but being topped up with new orders as fast as they're being taken.

It's an extreme example but it shows activity <> liquidity.

[BetScalper]

Wasn't the question "its a good indication that the market is very liquid ?"

What's been suggested will show if the market is active, but not necessarily that it has liquidity. They're different things.

eg
Two markets could trade £500/s but one has 200,000 of orders either side up and down the ladder, and the other could have just 1000 either side of the spread but being topped up with new orders as fast as they're being taken.

It's an extreme example but it shows activity <> liquidity.

Yeah but I don't think you can get BA and automation to show liquidity ?

Ideally, I wanted to know how much was being matched per second. But I don't think that's possible either.

[Jukebox]

First you would have to define liquidity.

[BetScalper]

First you would have to define liquidity.

Just wanted to know how much money was being matched per second in the last 5 minutes of a market via automation.

[Jukebox]

I realised that Betscalper and I believed so did Dallas

It is also clear that others have different definitions of 'liquidity'. You also suggested that BA can't measure it. Yet BA will show you how much is being matched each time you refresh, automation can use and store volume readings so forgive me if I struggle to understand these undefined 'liquidity' requirements. Shaun seems to believe he's given two examples where one is supposedly liquid but the other isn't. I would have said they were the same but one had probable potential to be more liquid.

[ShaunWhite]

It's just a difference in terminology. Liquidity is unmatched volume ie the order book. The amount of that which is actually being traded is a measure of market activity.

Which one is more interesting to you depends on whether you're a maker or a taker. The two usually go hand in hand so one has become an analog of the other.

I just thought that with it being a specific question rather than a general discussion it was worth checking what the OP actually wanted.

[BetScalper]

Maybe I confused everyone, including myself.

Was only interested in matched volume.

[ShaunWhite]

If we were spitting hairs then liquidity is actually a combination of unmatched volume and market activity. It's basically a measure of the amount you can put through the market both quickly and more importantly, without affecting the price. There's a million pages about it on the net so I'm not really adding much now tbh.