Extraction of Level I Information

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1 Extraction of Level I Information On the Data set provided by the textbook, part I Jonathan A. Chávez Casillas 1 1 University of Calgary Department of Mathematics and Statistics LOBster Seminar Jonathan Chávez (University of Calgary) Data Management June 7, / 10

2 There is information for the stocks: CSCO, FB, INTC, LBTYK, LVNTA, MSFT, VDO from to There is information for AAPL for just Each of those data files contain 5 arrays: (1) Event: An (n 7) element matrix describing all the messages sent into the market. n is the number of events that occurred on the corresponding date for the corresponding ticker. The 7 columns correspond to: Time: measured in milliseconds from midnight. A number equal to will correspond to market open 9:30: Similarly, market close (16:00:00.000) is equal to ID tag for initial posted message. Message Type: 66: B Add buy limit order (on the bid) 83: S Add sell limit order (on the ask) 69: E Execute outstanding order in part 70: F Execute outstanding order in full 67: C Cancel outstanding order in part 68: D Delete outstanding order in full 88: X Bulk volume for the cross event 84: T Execute non-displayed order Number of shares: in units, e.g. 100 means 100 shares. Price: Denominated in hundreths of cents times 100. To get a dollar value divide by Exchange: always equal to 1 (corresponding to NASDAQ). BidSide Flag: takes values 1 or 0. One indicates that the messages was posted on the bid side. Executions with this flag are orders that executed against an order posted on the bid side and hence are usually designated as aggressive sell orders. Zero indicates sell side order and aggressive buy orders. Jonathan Chávez (University of Calgary) Data Management June 7, / 10

3 > Event[[1]][400:419,] [,1] [,2] [,3] [,4] [,5] [,6] [,7] [1,] [2,] [3,] [4,] [5,] [6,] [7,] [8,] [9,] [10,] [11,] [12,] [13,] [14,] [15,] [16,] [17,] [18,] [19,] [20,] Jonathan Chávez (University of Calgary) Data Management June 7, / 10

4 (2) SellVolume and (3) BuyVolume: An (n k) element matrix describing the number of shares (depth) posted in the limit order book. > BuyVolume[[1]][400:419,] [,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [,20] [1,] [2,] [3,] [4,] [5,] [6,] [7,] [8,] [9,] [10,] [11,] [12,] [13,] [14,] [15,] [16,] [17,] [18,] [19,] [20,] Jonathan Chávez (University of Calgary) Data Management June 7, / 10

5 (2) SellPrice and (3) BuyPrice: An (n k) element matrix describing the prices at which depth is posted in the limit order book. > BuyPrice[[1]][400:409,] [,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [1,] [2,] [3,] [4,] [5,] [6,] [7,] [8,] [9,] [10,] > SellPrice[[1]][400:409,] [,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11] [,12] [,13] [,14] [,15] [,16] [,17] [,18] [,19] [1,] [2,] [3,] [4,] [5,] [6,] [7,] [8,] [9,] [10,] Jonathan Chávez (University of Calgary) Data Management June 7, / 10

6 How to read Matlab files in R? library(r.matlab) Temp=list() Event=list() SellPrice=list() BuyPrice=list() SellVolume=list() BuyVolume=list() Temp[[1]]=readMat( CSCO_ mat ) Temp[[2]]=readMat( CSCO_ mat ) Temp[[3]]=readMat( CSCO_ mat ) Temp[[4]]=readMat( CSCO_ mat ) Temp[[5]]=readMat( CSCO_ mat ) for(i in 1:5){ a=temp[[i]]$data Event[[i]]=a[[1]] SellPrice[[i]]=a[[3]] BuyPrice[[i]]=a[[5]] SellVolume[[i]]=a[[2]] BuyVolume[[i]]=a[[4]] rm(a) Jonathan Chávez (University of Calgary) Data Management June 7, / 10

7 What type of events affect the level I LOB? Extracting the Level I Info Increase/Decrease of volume at best Bid Increase/Decrease of volume at best Ask Increase/Decrease in price of the best Bid. Decrease/Decrease in price of the best Ask. Jonathan Chávez (University of Calgary) Data Management June 7, / 10

8 Extracting the Level I Info for(i in 1:5){ BestBidVol[[i]]=BuyVolume[[i]][,1] BestBidPrice[[i]]=BuyPrice[[i]][,1] BestAskVol[[i]]=SellVolume[[i]][,1] BestAskPrice[[i]]=SellPrice[[i]][,1] Badrowsa[[i]]=which(BestAskPrice[[i]]==0) Badrowsb[[i]]=which(BestBidPrice[[i]]==0) Possibleasklo[[i]]=which(Event[[i]][,3]==83) Possiblebidlo[[i]]=which(Event[[i]][,3]==66) Obtaining Level 1 Limit Orders for(j in 1:5){ for(i in 2:length(Possiblebidlo[[j]])){ aux=possiblebidlo[[j]][i] if(prod(aux!= Badrowsb[[j]])==1){ #make sure price on row aux is not zero! if(bestbidprice[[j]][aux]==bestbidprice[[j]][aux-1] && BestBidVol[[j]][aux]>BestBidVol[[j]][aux-1]){ Bidlo[[j]]=c(Bidlo[[j]],aux) if(bestbidprice[[j]][aux]>bestbidprice[[j]][aux-1]){ Bidlo[[j]]=c(Bidlo[[j]],aux) Jonathan Chávez (University of Calgary) Data Management June 7, / 10

9 Obtaining Level 1 Market Orders for(j in 1:5){ Possible1mo[[j]]=which(Event[[j]][,3]==69) Possible2mo[[j]]=which(Event[[j]][,3]==70) Possiblemo[[j]]=sort(c(Possible1mo[[j]],Possible2mo[[j]]), decreasing = FALSE) #Don t know if ask or bid Bidmo[[j]]=vector("numeric") Askmo[[j]]=vector("numeric") for(j in 1:5){ for(i in 1:length(Possiblemo[[j]])){ aux=possiblemo[[j]][i] if(bestbidprice[[j]][aux]==bestbidprice[[j]][aux-1] && BestBidVol[[j]][aux]<BestBidVol[[j]][aux-1]){ Bidmo[[j]]=c(Bidmo[[j]],aux) if(bestbidprice[[j]][aux]<bestbidprice[[j]][aux-1]){ Bidmo[[j]]=c(Bidmo[[j]],aux) if(bestaskprice[[j]][aux]==bestaskprice[[j]][aux-1] && BestAskVol[[j]][aux]<BestAskVol[[j]][aux-1]){ Askmo[[j]]=c(Askmo[[j]],aux) if(bestaskprice[[j]][aux]>bestaskprice[[j]][aux-1]){ Askmo[[j]]=c(Askmo[[j]],aux) #Since all are market orders, but we don t know the side, it should happen that #length(possiblemo[[1]]) = length(bidmo[[1]])+length(askmo[[1]]) #which holds true for j=1,2,3,4,5 Jonathan Chávez (University of Calgary) Data Management June 7, / 10

10 Obtaining Level 1 Cancellations for(j in 1:5){ Possible1canc[[j]]=which(Event[[j]][,3]==67) Possible2canc[[j]]=which(Event[[j]][,3]==68) Possiblecanc[[j]]=sort(c(Possible1canc[[j]],Possible2canc[[j]]), decreasing = FALSE) #Don t know if ask or bid Bidcanc[[j]]=vector("numeric") Askcanc[[j]]=vector("numeric") for(j in 1:5){ for(i in 1:length(Possiblecanc[[j]])){ aux=possiblecanc[[j]][i] if(bestbidprice[[j]][aux]==bestbidprice[[j]][aux-1] && BestBidVol[[j]][aux]<BestBidVol[[j]][aux-1]){ Bidcanc[[j]]=c(Bidcanc[[j]],aux) if(bestbidprice[[j]][aux]<bestbidprice[[j]][aux-1]){ Bidcanc[[j]]=c(Bidcanc[[j]],aux) if(bestaskprice[[j]][aux]==bestaskprice[[j]][aux-1] && BestAskVol[[j]][aux]<BestAskVol[[j]][aux-1]){ Askcanc[[j]]=c(Askcanc[[j]],aux) if(bestaskprice[[j]][aux]>bestaskprice[[j]][aux-1]){ Askcanc[[j]]=c(Askcanc[[j]],aux) Jonathan Chávez (University of Calgary) Data Management June 7, / 10

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