After having understood the approach to option Greek charts, we now would start looking at some sound analytical approach to order and trade book.

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 behaviour of Traders in real time by stepping into the data window which was earlier available only to institutional players. 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.            

Its real time order and trade book giving perspective about market mood, sudden spurts in buying emanating in specific scrips.

Real time Order and Trade Analytics can be used for Intraday Trades.

Cancelled to New Order Quantity help gauge if Buyers are faking or the break out is a real one.

There are 30+ such indicators which 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 quantity 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

The approach to use the order book data indicators have been to follow the aggressive moves, on a 1 min chart or 5 min chart.

The money flow index has characteristics similar to RSI oscillator, as discussed earlier. The chart above shows Nifty on daily time frame, with a positive divergence, implying prices head lower, while MFI moves higher, as shown with the lines on corresponding data sets. The divergences are of typically two types, the above chart shows a positive divergence, suggestive of a positive price action in coming days.

Seller dominant move in Nifty was observed after a consolidation, from 11:30 AM. Nifty Dec Fut was sold aggressively on the BID Price which led to a 50 pts slip in Nifty.  Date: 2 Dec 22. (Note: Buyer initiated Quantity is mentioned as a Blue Line, while Seller Initiated Quantity is mentioned as a Red Line).

BankNifty saw consistent buying on the ASK Price in the opening hour (200pts up move), post that there was a halt. Again at 14:15 Bank Nifty broke its day high & buyers dominated in this breakout which led to 170pts up move in the last 45 Mins. Date: 9 Dec 22.

From 10:52 HDFCBANK Futures were bought vigorously on the ASK Price v/s fewer quantities sold on the BID that led to almost 4.94% up move.

Dated: 11 Nov 2022 , time: 10:52.

Now the options of the same underlying, at the same juncture:

From 10:52 HDFCBANK 1540CE  were bought vigorously on the ASK Price v/s fewer quantities sold on the BID that led to almost Rs 28 to Rs 100 move in call option. Dated: 11 Nov 2022 , time: 10:52.

Consider the above 1-minute chart on Nifty on 29 Nov 2022. By observing the right most candle, which is a bull candle, substantiated with good volumes, is suggestive of a break out scenario in Nifty.

Now we realise that during that juncture, Seller Initiated Quantity was much larger than buyer Initiated Quantity. This makes us believe that we should consider this as a assured breakout and could be a “Fake” break out. The next chart shows the end result.

These bouquet of Order and Trade Analytics clearly, help at different junctures to ascertain the sanctity of price break outs and will they be sustained.

The order book is the term to describe the entire list of orders present in the system for a particular financial instrument. When an order gets executed, it is termed as a trade. The book corresponding to the trades is called a trade book, which is a list of trades that have been executed on the exchange platform.

Quantsapp allows users/subscribers to access Prop./Institution Level Data for

Retail Traders, with above 33 indicators to enable option traders to develop an edge in their trading. Buyer Initiated Quantity (BIQ) and Seller Initiated Quantity (SIQ) are trade book indicators which help in knowing whether there is aggressive buying on the ASK price or aggressive selling on the BID price.

Quantsapp order and trade analytics helps in distinguishing fake breakouts from genuine one by visualising, if the breakout was supported by New Orders or Not?? Or is there a large seller who is selling despite the break out (which can be tracked from SIQ), indicating that the breakout might fade away.