Walkthrough
Price Impact walkthrough, explaining what is each element
Last updated
Price Impact walkthrough, explaining what is each element
Last updated
There are 3 parts: user settings, absorption stats, charts.
There are 2 charts: price with dots and its subplot of cum absorption and ticks + price impact profile.
Here we have the settings that traders can select and tweak to best match their needs.
Ticker: pretty straightforward, you select the ticker you want to analyze.
Min Score: It’s the minimum scoreto filter smaller dots out. The goal of this feature is to remove noise from the chart. Usually for smaller coins 1 to 5 is a good range, 5 to 10 for midcaps, and 50 or more for ETH and BTC. But feel free to play with it to find your perfect setup.
Min Trade Amount $: The min amount of $ on each computed trade. Again, like Min Score, the goal here is to remove noise, especially for majors.
Min/Max Dot Size: For graphical purposes, it’s the min/max dot size itself on the plot. in case you want to tweak them to better see small trades, or to make big trades stand out even more.
Number of days back: from 1 to 7 days lookback to load data and compute price impact. It’s important to note that scores are normalized using the visible range.
Load Data: when all settings are correctly set, load data from the server and display it after they are received (it might take a few seconds as we may have to process millions of trades)
Absorptions stats table, from left to right:
count: number of absorptions dots (= number of significant trades)
mean: mean absorption score
min: minimum absorption score
n%: n-th percentile of score
max: maximum absorption score
Blue Line: It simply represent the price with a 1 minute timeframe.
Red Dots: These represent trades where the taker is a buyer. A red dot means that a relatively large-sized taker buy was made without causing a significant impact on the market price.
Green Dots: These represent trades where the taker is a seller. A green dot indicates that a relatively large-sized taker sell was executed without significantly affecting the market price.
Simply put, the larger the dot, the more efficiently the trade was absorbed by the market relative to its size. Another way of seing it would be that the larger the dot, the more neutralised the aggressor was.
Red Line: represent the commulative absorption score (with all the trades, even those filtered on the plot are present in this calcule). Think of it like a CVD, but instead of summing all trade sizes (with their sign), it sums all absoprbtion score of trades.
Green Line: Number of ticks per 5 minutes. A tick is a change in price of 1 tick-size (or min price increment) of the instrument.
