Liquidity custom quote

jphalip

New member
Hi,

TastyWorks has a way to sort stocks in a watchlist by liquidity. Is there a way to achieve the same thing in TOS, perhaps by creating a custom quote?

Thanks!

Julien
 
Solution
@jphalip You may want to factor the spread between bid and ask into your calculations. When this spread widens, the market for this stock is becoming more illiquid, and vice versa.
TastyWorks has a way to sort stocks in a watchlist by liquidity. Is there a way to achieve the same thing in TOS, perhaps by creating a custom quote?

I haven't used TastyWorks to see what that column is displaying. Generally, liquidity is an abstract reference to volume. So just sort by volume or average volume descending.

https://www.investopedia.com/terms/l/liquidity.asp
In terms of investments, equities as a class are among the most liquid assets. But not all equities are created equal when it comes to liquidity. Some shares trade more actively than others on stock exchanges, meaning there is more of a market for them. In other words, they attract greater, more consistent interest from traders and investors. These liquid stocks are usually identifiable by their daily volume, which can be in the millions, or even hundreds of millions, of shares.
 

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@jphalip You may want to factor the spread between bid and ask into your calculations. When this spread widens, the market for this stock is becoming more illiquid, and vice versa.
 
Solution
@jphalip You may want to factor the spread between bid and ask into your calculations. When this spread widens, the market for this stock is becoming more illiquid, and vice versa.
If you use the bid/ask spread, be sure to calculate it as a % of price or % of ATR or something similar to fairly compare high priced stocks with low priced stocks. If you just calculate the spread and sort by that the low priced stocks will always sort to the top even when much spreadier than the higher priced ones.
 

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