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Thread: stock exchange volume statistics

  1. #1
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    stock exchange volume statistics

    Do the statistics for the volume of trades on stock exchanges reflect the trades made by computers? We read that computers (high frequency traders) can execute trades in a fraction of a second.

  2. #2
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    Quote Originally Posted by tashirosgt View Post
    Do the statistics for the volume of trades on stock exchanges reflect the trades made by computers? We read that computers (high frequency traders) can execute trades in a fraction of a second.
    Most sources of statistics will include all trades.

    On a lot of exchanges, essentially all of the trades will be entered electronically. Some will be based on a person sitting in front of a computer screen, filling out a form and click on "yes, buy this", whereas others will be based on fully automated decision-making.

    Automated trading is not exactly new, although its nature has changed a lot. It used to be mostly limited to exploiting small discrepancies between prices of a group of stocks and prices of a futures contract on the same stocks. Market reports would frequently report that markets went up or down during to "program trading", which rather missed the point - all that means is that someone started buying or selling futures contracts a lot, driving the price up or down, and the computers than promptly transmitted this price pressure into the stock market. So, yes, the stock prices did change due to "program trading", but this explanation fails to explain why someone decided to buy or sell in the futures market in the first place.

    Today, high-frequency trading often involves the same asset on multiple exchanges, since there is a lot of competition between exchanges now. When you say "fraction of a second", that is accurate, and it is frequently a very, very small fraction.

    Estimates of the amount of high-frequency trading are highly speculative, but it is thought to be well in excess of 50% in a lot of markets. So in most cases, yes, the statistics for volume will include the high-frequency trades, because we don't know how to identify and separate out such trades. (Even the definition of what "high-frequency" trades varies.)

  3. #3
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    stock exchange volume statistics

    Duplicate post. Forum software is really slow today.
    Last edited by schlaugh; 2021-Oct-02 at 08:37 PM.

  4. #4
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    All transactions are handled by computer. Even if the transaction is driven by automatic triggers, they all count.

    What are you seeing that drives your question?

  5. #5
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    Quote Originally Posted by schlaugh View Post
    All transactions are handled by computer. Even if the transaction is driven by automatic triggers, they all count.

    What are you seeing that drives your question?
    I'm trying to visualize the pace of trading, in particular of computer trading. For example, the "avg volume" statistics on Yahoo given for AMZN are typically about 3 million shares. (I don't know which stock exchanges these trades come from or whether this includes "dark pools"). Assuming 3 million is in shares-per-day or shares-per some other "human" scale of time interval, it would appear that although computers can make trades in fractions of a second, they don't keep up the pace throughout the day. So perhaps we should visualize them operating in bursts separated by long intervals of time - or only trading small numbers of shares.

  6. #6
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    As I understand it, the role of Computers started to act quickly upon news received. This is different from the computers that just handle transactions.
    Many stock transfers happen because of the expiry of options, So that would introduce delays followed by a flurry of activity.
    sicut vis videre esto
    When we realize that patterns don't exist in the universe, they are a template that we hold to the universe to make sense of it, it all makes a lot more sense.
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  7. #7
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    Quote Originally Posted by tashirosgt View Post
    Do the statistics for the volume of trades on stock exchanges reflect the trades made by computers? We read that computers (high frequency traders) can execute trades in a fraction of a second.
    In many cases they do even to the extent that one data service research organization has made many analyses of almost every type of abuse you can imagine, including flash crashes, up to 2014.

    http://www.nanex.net/aqck/2804.html

    http://www.nanex.net/FlashCrashFinal...Summary_I.html

    http://www.nanex.net/aqck/aqckIndex.html

    http://www.nanex.net/FlashCrash/OngoingResearch.html
    Ongoing Research - Market Events and Phenomena

    Our business is supplying a real-time data service comprising trade and quote data for all US equity, option, and futures exchanges. We have archived this data since 2004 and have created and used numerous tools to help us sift through the enormous dataset: over 5 trillion quotes and trades as of March 2013. The flash crash (May 6, 2010) had approximately 7.6 billion trade, quote, and depth records.

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