Market Velocity and Forces

Transcription

1 Market Velcity and Frces SUPPORT DOCUMENT NASDAQ Market Velcity and Frces is a market sentiment indicatr measuring the pre-trade rder activity in the NASDAQ Stck Market trading system. It indicates the intensity and directin f trading interest befre that activity results in trades and price mvement. The prducts are akin t the visible activity and audible nise that experienced flr traders use n a physical trading flr t detect changes in market directin, mmentum, r liquidity. Market Velcity measures the intensity f the desire t trade using rder messages entering NASDAQ trading systems, many f which d nt shw up in a traditinal qute feed because they are immediately cancelled r ruted and therefre never reside in the bk. Market Frces categrizes thse rder messages by whether they are buy r sell rders t prvide an indicatin f directin. Bth prducts are mre effective than physical activity r audible nise n a trading flr because they can be precisely measured and benchmarked and because f filters that remve irrelevant messages (such as rders priced far frm the inside market). We sets rder type and price screens t include nly apprpriate, aggressively-priced rders in Market Velcity and Market Frces. We use 21-days f histrical data t calculate an expected value fr Market Velcity fr each stck at each time f day. Table f Cntents Velcity and Frces Cmpnents... 2 NASDAQ OMX Velcity and Frces Views... 3 NASDAQ Velcity and Frces Frequently Asked Questins (FAQs)... 5 NASDAQ Market Velcity and Frces Example... 8 Supprt

2 I. Velcity and Frces Cmpnents 1. Get Chart Use this field t enter any individual symbl frm NASDAQ-, NYSE-and AMEX -listed securities. 2. Data Display Views Use these links t change between the different views f the Velcity and Frces data: 3 Minute View, Intraday View, and VF Gauges view. Please see NASDAQ OMX Market Velcity and Frces Views sectin fr additinal detail. 3. Market Frces Rati This rati displays the buy (blue) t sell (red) vlume rati fr a given security. The buy-side prtin f the rati = (Buy Vlume/(Buy Vlume + Sell Vlume))*10. The sell-side prtin f the rati = (Sell Vlume/(Buy Vlume + Sell Vlume))*10. This number is updated every secnd. Because this represents a percentage, either side will never be abve 10 r belw Market Frces Graph Indicates whether the pressure is n the buy side r the sell side. The red bars (als represented n the negative side f the graph) indicate the pressure is n the sell side while the blue bars (als represented n the psitive side f the graph) indicate the pressure is n the buy side. The bars shw the difference in shares between the buy side and sell side. In the screen print abve, yu will ntice the Frces is 461 n the psitive prtin f the graph. This indicates that the difference between the buy and sell rder vlume is 461. This indicates mre buying than selling interest at that time. 5. Market Velcity These numbers display the ttal rder vlume (buy + sell) and the expected vlume (based n a 21-day average f histrical data at each time f day). 6. Market Velcity Graph Indicates the vlume cming in t the NASDAQ Executin system and thus displays the surges in trading interest. The red line plts the ttal vlume at the time it came in t the NASDAQ System. The blue line is the expected vlume. Cmpare the ttal vlume with the expected vlume t determine whether the stck is trading abve r belw the nrmal expected 2

3 level. 7. Buy:Sell Rati Click this buttn t view anther Market Frces graph (data cntent is same as the default Net Shares graph). II. NASDAQ OMX Market Velcity and Frces Views 3 Minute View: Displays Velcity and Frces data fr a given security ver the last three minutes. Intraday View: Displays Velcity and Frces data fr a given security since Market Open. 3

4 Velcity and Gauges Displays Frces data using a Frces View: Velcity and real time Gauge The 100% arrw in the Velcity gauge equates t the expected vlume (the blue line) in the Velcity graph in the 3 Minute and Intraday views. The percentage in the Velcity graph is based n the ttal vlume as cmpared t the expected. Fr example, if MSFT has ttal vlume f 1,740 cming in and the expected vlume is 3000, the percentage in the Velcity gauge wuld be 58%. Please nte, there is n upper bund n the Velcity chart, i.e. the Velcity chart culd read 2000% which means that the rder vlume cming in greatly exceeds the expected vlume. The Frces Gauge displays the buy:sell rati and is equivalent t the rati in the 3 Minute and Intraday views and indicates whether there is mre pressure n the buy r sell side. Velcity and Frces MultiView 4

5 The High, Lw and Price riginate frm the real-time NASDAQ Last Sale feed. Exprt Exprt prtfli data int Excel. T launch BkViewer with the symbl autmatically laded, simply click n the symbl. Please nte: Yu must be subscribed t BkViewer. Prtfli/Symbl Use this field t select a prtfli r enter an individual symbl. The Prtfli Management icn allws yu t create multiple prtflis. T create a new prtfli: Select the Prtfli Management icn. Enter a name fr yur Prtfli. Select the Plus icn t create the prtfli. Select the newly created prtfli frm the list. Enter symbl(s) int the Symbl field f yur prtfli and press the Plus icn. T imprt a list f symbls, select the. Nte: yu can nly imprt.csv files. Select Brwse and chse the file yu wuld like t uplad. Select any ptins t yur preference. Select the Uplad buttn. T edit a prtfli, select the Edit icn. T delete a prtfli, select the Delete icn. III. Velcity and Frces Frequently Asked Questins (FAQs) What is Velcity and Frces? NASDAQ Market Velcity and Frces is a market sentiment indicatr measuring the pre-trade rder activity in the NASDAQ Stck Market trading system. It indicates the intensity and directin f trading interest befre that activity results in trades and price mvement. The prducts are akin t the visible activity and audible nise that experienced flr traders use n a physical trading flr t detect changes in market directin, mmentum, r 5

6 liquidity. What des the Velcity indicate? Market Velcity measures the intensity f the desire t trade using rder messages entering NASDAQ trading systems, many f which d nt shw up in a traditinal qute feed because they are immediately cancelled r ruted and therefre never reside in the bk. What d the Frces indicate? Market Frces categrizes thse rder messages by whether they are buy r sell rders t prvide an indicatin f directin. What rders are included Velcity and Frces? We set rder type and price screens t include nly apprpriate, aggressively-priced rders in Market Velcity and Market Frces. Velcity and Frces includes displayable rders, rders that are ruted and immediate-rcancel rders whether these rders are displayable r nt. Hw d yu determine whether an rder is aggressively priced r nt? We determine whether an rder fr a security is aggressively priced based n the frmula belw, using the prir day s data: 1. Every minute we recrd the bid snapsht (the difference between the NASDAQ inside bid (buy) price and the fifth price level belw it) as well as the ask snapsht (the difference between the NASDAQ inside ask (sell) and the fifth price level abve it). 2. These differences (i.e. ranges) are gathered at the end f the day. Then median buy, median sell, mean buy and mean sell values are calculated frm the buy ranges and sell ranges. 3. Of these mean and median values, we chse the value that falls within 10% f the clsing price. This number will be used as the uter bund fr the symbl fr the next day. The same uter bund value fr a symbl is used the entire day. 4. The next day, as EACH rder cmes thrugh t the NASDAQ system, rders whse price are utside f the uter bund value (depending n the price and the calculated inside), will be filtered ut. What is the Expected Velcity? We use the previus 21- business days f histrical data t calculate an expected value fr Market Velcity fr each stck at each time f day. Hw is the Expected Velcity calculated? The expected value is the average f the ttal vlume at a given time fr security ver the last 21 days. Hw can I use Velcity and Frces? Velcity and Frces is designed t prvide real-time, intraday pre-trade data frm the NASDAQ market center: Traders can execute their trading strategy by cmparing the expected rder activity in a security with the current activity t detect surges in trading interest befre trades ccur. These types f surging trading interest may be indicative f ht stcks which traders can then watch. Velcity and Frces ffers the perfect pairing f market intensity and trend awareness t arm traders with the insight necessary t predict the mst effective trading times. Traders can determine the directin f the market by viewing whether pre-trade interest is surging in buy r sell rders. 6

7 Velcity and Frces may help give an indicatin f directinal price mvement. Are canceled rders included in Velcity and Frces? Velcity and Frces ignres cancel messages. Replace messages are included as a new rder cmes t Velcity and Frces. If a custmer entered an rder fr 1000, then replaced it within the same time perid, it wuld shw up as 2000 as Velcity and Frces treats it as tw different rders. Hw are halts handled in Velcity and Frces? Velcity and Frces des nt take halts in t accunt when calculating the "expected value". Expected values cntinue t disseminate during issue halts even thugh the real-time values are nt updating. Des Velcity and Frces update in real-time? Orders are calculated in real time, and the values being calculated in real time are disseminated each secnd. The calculatin is dne at the mment the rder is accepted. The ttal is disseminated t clients each secnd. Yu can view data in different ways: acrss the last three minutes (using the 3 Minute view), since the Market Open (using the Intraday View), r up t the secnd (using the VF Gauges view). What time des Velcity and Frces start and end disseminatin f data? Velcity and Frces starts displaying data at 07:00:00 and cmpletes at 20:00:00. Are all Market Participants included in the data? Nt necessarily. If Market Participant rders are nt aggressively priced (as defined abve), then their rders will NOT be included in the Velcity and Frces data. Is Market Participant attributin included in Velcity and Frces? N. Velcity and Frces des nt display ANY Market Participant infrmatin. What is the Multi-View? MultiView displays multiple securities in ne view and includes NASDAQ Velcity and Frces real-time rder infrmatin and real-time pricing infrmatin frm the NASDAQ Last Sale (NLS) data feed. NLS prvides real-time, intraday last sale data fr all securities traded in NASDAQ systems and the FINRA/NASDAQ Trade Reprting Facility (TRF). NLS includes data fr U.S. exchange-listed securities. What are the features f MultiView? MultiView ffers the fllwing features: Integrates real-time rder infrmatin frm Velcity and Frces and real-time pricing (High, Lw, Vlume and Price) infrmatin frm the NLS data feed. Displays multiple securities in ne screen. Allws exprting f data. Launches the NASDAQ OMX BkViewer. Allws creatin and mnitring f custmized prtflis. Where can I find ut infrmatin abut NASDAQ Velcity and Frces and the NLS Data Feeds? 7

8 Please see the NASDAQ OMX Data Feed page. IV. NASDAQ Velcity and Frces Example The abve example indicates the fllwing: Apple is trading at 38% as cmpared t its nrmal expected vlume (100%) as stated in the Velcity gauge. This indicates that Apple is trading belw expected values. The Frces gauge indicates that the interest is n the buy-side. Interpretatin: While there is interest n the buy-side fr Apple, this interest is limited as it has less than expected willing trading partners. 8

9 The abve example indicates the fllwing: Jhn is lking fr a prfit pprtunity in Micrsft Crpratin (MSFT) using NASDAQ Velcity and Frces. At 3:11:23 p.m., ET, Jhn sees that Market Velcity in MSFT is rising well abve the expected vlume. Market Frces als indicates that the activity is shifting frm selling pressure t buying pressure. Jhn quickly respnds by buying 5,000 shares f MSFT at $30.27/share. The NASDAQ Velcity and Frces prduct prvided Jhn with infrmatin n interest that thers nt taking this prduct may nt be able t see. It als prvided Jhn the ptential fr price changes using infrmatin that isn't available t thse wh aren't subscribing t the prduct. At 3:11:58 p.m., ET, Market Frces indicates that the directin f the pressure is changing frm buying t selling. Jhn sells his shares f MSFT at a price f $30.51 befre the price drps, netting $1200. V. Supprt Fr technical supprt fr the NASDAQ Velcity and Frces n NASDAQ OMX Data Stre, please cntact datastre@nasdaqmx.cm. Fr infrmatin fr the NASDAQ Velcity and Frces data feed, please see the NASDAQ Velcity and Frces Prduct Page r cntact NASDAQ OMX Glbal Data Prducts. 9