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

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