The ratio of net buy orders to increase trading volume during the day
factor.formula
The ratio of net buy orders to increase trading volume during the day:
Net buy amount:
in:
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Refers to the real-time entrustment order data provided by the exchange, including the buy volume (Bid) of buy 1 to buy 10 and the sell volume (Ask) of sell 1 to sell 10.
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It represents the incremental amount of buy orders in the jth minute of the ith stock in the nth trading day. It is calculated as the difference between the amount of buy orders in the jth minute and the amount of buy orders in the j-1st minute.
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It represents the incremental amount of sell orders in the jth minute for the ith stock in the nth trading day. It is calculated as the difference between the amount of sell orders in the jth minute and the amount of sell orders in the j-1st minute.
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It indicates the net increase in buy orders for the ith stock in the jth minute of the nth trading day, which is equal to the difference between the increase in buy orders and the increase in sell orders.
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The order data of buy one and sell one are usually used because they represent the most direct buying and selling power in the current market. Using data from more levels may introduce more noise and reduce the effectiveness of the factor.
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They respectively represent the data of the j-th minute of the ith stock in the n-th trading day.
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It indicates the transaction volume in the jth minute of the nth trading day.
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The calculation period is usually 30 minutes after the opening, that is, from 9:30 to 10:00, to capture the market sentiment during the opening period.
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Indicates the time window size for calculating the factor. For example, when selecting stocks monthly, T is 20 trading days; when selecting stocks weekly, T is 5 trading days.
factor.explanation
This factor measures market sentiment and willingness to trade by analyzing changes in buy and sell orders during the opening hours. A positive intraday opening net buy order increase to turnover ratio indicates that investors are more willing to buy during this period, which may indicate that the stock is more likely to achieve excess returns in the future. Conversely, a negative value indicates a stronger willingness to sell. The information concentration during the opening hours is high, so this factor has a high reference value for short-term stock selection. This factor is a microstructure factor and can be used in combination with other factors to improve the effectiveness of the stock selection model. In addition, this factor also contains the attributes of the sentiment factor and can be used to measure the overall market sentiment.