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Is there any way to get the daily signed volume of an asset? I see dollar volume and volume examples, but those seem to be total volume (buying and selling). Anyway to separate between buy volume vs sell volume?
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Jack Simonson
Hi John,
Unfortunately, there is no direct method to get the entire Bid or Ask volume for a give time frame or data slcie. However, you can find the latest Bid/Ask trade size by accessing the security's QuoteBars.
data.QuoteBars['SPY'].LastAskSize data.QuoteBars['SPY'].LastBidSizeOne way to approximate the volume for a given timespan would be to aggregate all of the latest bid/ask sizes from Resolution.Second data. I hope that helps!
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John Radosta
Hi Jack, thank you for your answer. That's not what Order Flow is. Order Flow is the signed (buy/sell) volume of only executed market orders (not stop/limit orders).
I.E for symbol MSFT
Date Timestamp Order, Mkt Price
1/12/2020, 2020-01-02T09:18:40+0400, +1000, $185
1/12/2020, 2020-01-02T09:18:40+0400, -5000, $186
Here's an example API for Forex, but I'm looking for one for equities, wasn't sure if QC could do it out of the box or not:
https://www.fxcm.com/pro/market-data/trade-tape/
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
John Radosta
I found a workable alternative, the On Balanced Volume and Accumulation Distribution indicators shows signed volume. Just throwing it up here in case someone else needs something similar.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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