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Assume that we want to extract information from a constantly updating table like stock trading volume, where a banker can buy or sell at specific price. The table has the following 4 columns: price, available, traded, buy/sell. The fist column gives the price that the amount given by the 2nd column is available to be traded or has already been matched as given by the 3rd column. Finally the forth column indicates of the available amount is available to be bought or be sold.
This table is constantly updating so we have a time series of the various changes (3rd column only increases of course), is there any method that I could refer to, to extract information or make assumptions about the movements from the second column (available) to the third(traded), taking under consideration if its buy or sell? Like recreating the timeseries of the traded packets like if the difference in the traded volume was created by a big packet available to be sold and many small buyers or the opposite. |
