"Tick Data" Posts

Anatomy of Orderflow at the Tick Level

By Lawrence

Many people asked why would anyone want to analyze the charts at the tick level. Wouldn’t that be a waste of time since such high frequency activities are not likely going to have any long term impact. Let’s take a look at this chart first. Top pane is Google stock price at 5-minute interval, since […]

Explosion in Emini S&P Trade Volume

By Lawrence

The table is showing the average number of trades per day in January over 5 year period. Back in 2004 and 2005, the average was around 90K and then decreased to around 50K in the following 2 years. This year, however, we have witness the biggest increase in emini trading activities. What does this mean […]

Post Hectic Environment Period

By Lawrence

After the turbulent period of June to mid-August 2007, as mentioned in the previous article, the explosive growth in real-time data has retreated some what. Here is an update about the current situation.

Working with the Current Hectic Market Environment

By Lawrence

The trading environment since the beginning of May has been very different from most of the summers I have seen. Here are some tips to ensure your trading goes as smoothly as it can be.