Tuesday, April 17, 2012

Lazily jumping between bid and ask levels

Chart: M10 quotes, 2012-04-16, source: stooq.com

A couple of days ago, I mentioned a strange price action on M10, a small company developing automated trading systems listed on the NewConnect market.

Today I'm revisiting the company, to show how the price movements correspond with the changes in Level-1 order book for this stock:

Chart: M10 Level-1 order book, 2012-04-16, source: Statica

It's quite an interesting and very easy to show example for a tiny number of transactions. Actually only 4 (say: four) transaction points were recorded yesterday :)

After the opening of the cash markets, the bid and ask levels were unchanged during the whole trading session - at 0.18 and 0.19 respectively.

The majority of transactions (3 out of 4) were fulfilled at the higher ask level of 0.19, while one touched the lower bid level of 0.18.

Actually, this single bid-level transaction represented the great majority of the turnover. If not for a much smaller later transaction at the higher price level, the company would have finished day not -5.00% but -10.00% lower...

Even more interesting is the case of Comarch:

Chart: M10 quotes, 2012-04-16, source: stooq.com

Ostensibly, apart from the relatively small (-0.77%) drop at the opening, there was virtually no movement in the stock.

However, the investigation of the Level-1 order book unveils some vitality:

Chart: Comarch Level-1 order book, 2012-04-16, source: Statica

It does not mean though, that the whole Polish stock market is dead:

Chart: KGHM Level-1 order book, 2012-04-16, source: Statica

Thursday, April 12, 2012

Look! It moves after all! :)

Chart: Transactions and Level-1 order book for OW20F2240 option
for the period of 08:08:45-09:51:30, 2012-04-12

I've recently mentioned that I'm experimenting with collecting market data from the Warsaw Stock Exchange, using Statica Notowania 3 and Dynamic Data Exchange (DDE).

Initially I wrote an R script for data collection, but it was much too slow (it needs some 30 seconds to collect information about some 150 instruments - all the index futures and options listed on the WSE).

Therefore, I switched later to Java and Java DDE library that listens to subscribed DDE topics, instead of continuously asking for data updates and over stuffing the DDE channel.

You can see the result of this effort above - the chart presents visualization of the OW20F2240 index option for the period between 08:08:45 and 09:51:30.

Even that there is just a handful of transactions (blue dots), the order book changes all the time (black line represents ASK levels, and red - BIDs).

You can clearly see that even if the Polish option market is not very liquid, it is definitely not completely dead ;)

The vertical lines mark the start of derivatives and cash trading respectively.


Chart: Transactions and Level-2 order book for OW20F2240 option
for the last 3 hours of the session, 2012-04-12

Wednesday, April 11, 2012

Are the new iPad sales slowing?

Chart: Analysis of the iPad 3 U.S. adoption as of 2012-04-11
(based on Chitika data)

The 3rd generation iPad was released on March 16th, 2012. Apple announced that it sold 3 million units of its new tablet in the first weekend since launch (although it is not clear whether this number includes global or U.S. sales only).

After the first weekend, when Apple announced it sold 3 million new iPads, the U.S. adoption rate according to Chittika stood at 5.358%:

Chart: iPad 3 U.S. adoption after the first weekend

Since then, the U.S. adoption rate increased to around 9.1%, or some 70%.

Nevertheless, as you can see on the first chart, it seems the growth dynamics may be slowing down or flattening.

This may be connected with a number of technical problems that haunt the new Apple's device, including:

Friday, April 6, 2012

Using DDE to collect market data from Statica in R

Statica Notowania 3 MAX screenshot

Notowania 3 (MAX) is a software from Statica allowing accessing market data from the Warsaw Stock Exchange and performing some data visualization.

One of the advantages of this software is ability to inspect the complete market order book.

It also allows accessing many of the data through DDE mechanism. Thanks to that you can collect and analyze the data in R.

Wednesday, April 4, 2012

Beating random walk... occasionally

Chart: Beating random walk

Based on the 75% rule, you can beat the random walk. At least occasionally :)

The chart above presents daily logarithmic changes of the Brent crude oil as well as the cumulative log returns of the asset (red) and a modified investment strategy based on the 75% rule (black).

While the cumulative return of the asset was some 351% over the analyzed 7310 sessions, the strategy would return 377%.

Unfortunately the proposed strategy does not beat the market every time nor in case of all assets.

Nevertheless, this approach can most probably extend an experimental trading strategy MD2 mentioned quite a while ago...

[R source]