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PureBytes Links
Trading Reference Links
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This information has been available for the Chicago futures contracts for
some time. It is released under the name of LDB, (liquidity data bank), and
is available from the CBOT website, and Cisco. You can see a sample LDB at
either of those sites. Basically, it has the volume traded at each price,
and is further broken down by participant; local, retail, commercial.
However, it was found that using the number of times tics traded at each
price is a pretty accurate approximation of the actual volume numbers.
http://www.cisco-futures.com
http://www.cbot.com
Chris Lober
----- Original Message -----
From: <JAC1390@xxxxxxx>
To: <OMEGA-LIST@xxxxxxxxxx>
Sent: Tuesday, November 02, 1999 8:19 AM
Subject: V OLUME -TIME
> Does anyone know of a site that breaks down price ,volume and time. For
> example
> stock XYZ has a range of $3.50 ON 500,000 shares volume.
>
> Now we have no way, using conventional tools, to know whether most of the
> volume was in the lower part of the range early in the morning or late in
the
> day.
>
> Any thoughts will be greatly appreciated.
> JAC
>
>
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