wolf2, re: summary of trading posts
first, let me say i really appreciate all the work you do. i check your posts religiously every afternoon since i don't currently have access to L2 during trading hours. as a result, your summary of sub's data is the single greatest source of information on the day's trading that i can access to get a sense of how the day transpired. thanks.
that said, i'm wondering what your motivation is for posting the percentages of dollar volume. though i had been using it to gauge the amount of shares going through at the bid and ask on any given day, it just dawned on me that how i had been interpreting it is wrong. in other words, dollar volume is not equivalent to trading volume, which is what i was trying to get a sense of. for example, a few weeks back, your percentage calculations (based on dollar volume) were regularly registering at 90% or better. however, this led me to mistakenly believe (my own fault, of course) that 90% of the trades that day were at the ask. this is not true as illustrated below:
if 1 billion shares are traded at the bid, and 1 billion traded at the ask, then the trading distribution would be an even 50-50. however, if at this same trading volume, the bid was .0002 and the ask was .0003, then the ratio would be 40-60 in terms of dollar volume. this skews the trading, making it seem like more trades went through at the ask then at the bid, when in reality, the same number of shares traded hands, just at different prices. therefore, my question is, what is the motivation behind your calculation of the dollar volume rather than the trading volume? ie, how can we use the dollar volume percentages to our advantage?
please don't misunderstand me, wolf. my question is purely for intellectual curiosity. i'm in no way questioning your judgment, just trying to understand it. anyway, thanks again for all your (and sub's) hard work to keep us informed.
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