I can't seem to find what I'm looking for. Either a daily indicator that gives me the total value (tick-by-tick) of all transactions on the ask (buy) - bid (sell). Example: "(3 buys @ 2.50) - (2 sells @ 1.75) = 7.50-3.50 = $4 on X day, $3.50 on Y, $6 on Z, etc... Or even an absolute value would be helpful. 7.50 + 3.50 = $11 worth of transactions that day, $8, $7, etc... The idea being that daily_volume*avg_daily_price doesn't account for the spread where a single tick could drop a stock 4% but it takes 30 ticks of ask to bring it back. Hope that makes sense.
So far, I've found a ton of indicators derived from daily volume, but none that work price the way I want. VWAP, for instance, gives me the volume at a price, but doesn't differentiate between an ask or bid transaction.
If I could find a tick-by-tick data set to download I could build out my indicator myself and backtest it, but finding those sets has proven difficult too. I haven't even found a simulated one. Building my own would be difficult because it's not exactly a random value within a range to generate...
Open to any ideas, feedback, suggestions, etc... Thanks for the help!
[link] [comments] https://www.reddit.com/r/stocks/comments/13s0jyn/looking_for_daily_value_of_trades_indicator_or/
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