How to find Uptick or downtick from limit order book?

02 February 2015 1 7K Report

I have to find the Uptick or Downtick from database which contains indian Historical Cash Market data and trade data for a day.

Patrick Navatte

Hi,

You may be interestred by this paper:

Price Clustering Asymmetries in Limit Order Flows.

By: Box, Travis; Griffith, Todd. Financial Management (Wiley-Blackwell). Winter2016, Vol. 45 Issue 4, p1041-1066. 26p. DOI: 10.1111/fima.12136.

Best regards

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