Need dashboard for the rate of change of Ask/Bid

SorcererPrince

New member
I need a dashboard that will provide me with the rate of change for Ask/Bid within the current time bar. For example, how many times has Ask changed within the current bar? My objective is to filter out the most volatile tickers by comparing the rate of ask and bid changes within the current bar. The theory being the ticker with the highest bid changes are the ones with the most volatility.
 
Solution
@SorcererPrince In the last few years, changes in bid/ask are a function of message traffic and may not indicate volatility, eg, if a HFT wants to hold a price, or push a market, it can overwhelm servers with message traffic, where quotes are not tradable as they are submitted, displayed and cancelled before you can trade. You may want to consider reading about HFT practices, or follow HFTalerts on twitter.
@SorcererPrince In the last few years, changes in bid/ask are a function of message traffic and may not indicate volatility, eg, if a HFT wants to hold a price, or push a market, it can overwhelm servers with message traffic, where quotes are not tradable as they are submitted, displayed and cancelled before you can trade. You may want to consider reading about HFT practices, or follow HFTalerts on twitter.
 
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