Introduction
Order book data refers to the collection of information about the buy and sell orders for a particular scrip, such as stocks or futures and Options contracts, where the underlying is Nifty, BankNifty or a similar index or F&O stocks. The order book displays all the outstanding orders to buy and sell a given asset at different prices, as well as the quantities of assets involved in those orders.
Each order in the order book is represented by a price and a quantity, and the order book data includes the current best bid and ask prices, which represent the highest price that buyers are willing to pay for an asset and the lowest price that sellers are willing to accept for that asset, respectively.
Order book data is commonly used by traders, scalpers, to gain insights into market liquidity, trading volumes, and option price trends, as well as to develop option trading strategies based on the dynamics of the buy and sell orders in the market.
Quantsapp has unique data analytics related to real-time order and trade flow, (Order and Trade Book) that provides an edge to use order book data with any trading system. It helps understand the behavior of Traders in real time by stepping into the data window which was earlier available only to institutional players. The typical prevalent order book is Best 5 participants on Bid and Ask, the proprietary algorithm of Quantsapp allows to scan the full order and trade book to enable better decision-making.
There are 30+ such indicators that can be used to decipher better.
Orders — Indicates the orders received for the specified time period, eg: total orders within a minute
Orders Quantity — Indicates the number of orders received for the specified timeframe, eg: total order quantity within a minute
Buy Orders — Indicates the “Buy orders” received for the specified timeframe.
Buy Orders Quantity — Indicates the “Buy order” quantity received for the specified timeframe.
Sell Orders — Indicates the “Sell orders” received for the specified timeframe.
Sell Orders Quantity — Indicates the “Sell order” quantity received for the specified timeframe.
How to use the order book data for trade ideas?
Here will use two simple indicators that are buyer initiated and seller-initiated quantities.
Buyer Initiated Quantity (BIQ) refers to the amount of a particular financial asset that has been purchased by buyers at ask price in a given time period, typically on a one minute. BIQ is a measure of the buying activity in the market and is often used by traders and analysts to gauge the strength of the demand for an asset.
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BIQ can be compared to Seller Initiated Quantity (SIQ), which is the amount of a particular asset that has been sold by sellers in a given time period. By comparing BIQ and SIQ, traders can get a sense of whether buyers or sellers are dominating the market and can use this information to inform their trading decisions.
Buyer Initiated > Seller Initiated: Buyer are more aggressive.
Buyer Initiated > Seller Initiated: Seller are more aggressive.
In following example, BANKNIFTY chart, we can see seller aggressive seen in consolidation and breakdown is followed by even higher seller aggressiveness.
In the following example, again of BankNifty — we can see the buyers aggressiveness after breakout.
When BIQ is higher than SIQ, it suggests that buyers are more active in the market than sellers, which could lead to an increase in the price of the asset. This is because when buyers are more active, they are willing to pay higher prices to acquire the asset, which can push the price up.
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From 13:44, on March 23, 2023, BankNifty Future was sold aggressively on BID Price v/s few quantities bought on ASK, resulting in 580 pts fall in BankNifty.
However, it’s important to note that BIQ and SIQ are just one factor to consider when analysing market trends and making trading decisions. Other factors, such as overall market conditions, news and events affecting the asset, and technical analysis should also be considered.
