The OTAS Microstructure stack offers a range of charts which breakdown the intraday characteristics of stock trading, allowing you to visualise potential inflection points and changes in trend which may ultimately affect price behaviour and return. Whilst our Alerts immediately inform you of any extreme outliers across metrics such as return(vs basket,) liquidity and spread our volume analysis provides users granular insight into trade weight and direction bias making it easy to identify subtle changes in order flows.
Two charts which demonstrate this quite succinctly are the Volume(Realised –Mean) and Traded Volume Shares.
In the example above we can see that from the market open today’s realised traded volume(Chart 2) is significantly ahead of what is typically expected and remains high for the next few hours. To establish who the aggressors were over this time period we can refer to the traded volume shares(Chart 1.)
Here it is observed that sellers were in the ascendancy as the bid volume(blue line) is markedly higher than the offer(pink line) indicating a keenness by them to cross the spread and hit bids.
As the traded volume begins to normalise the directional tilt converges as bid volume slows and offer volume picks up suggesting that the sellers are slowing participation(or coming to the end of their order) and that buyers are increasing their aggression. This could represent a support level for the shares and/or a potential inflection point.
Interpretation of changing volume trend behaviour allows traders to assess the potential impact on price and react accordingly.