trade sign(buy or sell) for a stock based on simple trade data

Hello,

I need help to write a simple "loop" or "if" function or a combination of both to identify what trade classification a stock transaction is: "buy", "sell" and possibly "not classifiable".

Answer 1

[Sailesh Kalyanapu]

It is my understanding that you are trying to identify what trade classification a stock transaction is based on the two rules mentioned above in the question.

% Assuming you have the data loaded as a Table in a variable named data_sub

% The logic would look something like this 

Total_buy_trades = 0;
Total_sell_trades = 0;
Total_not_classifiable_trades = 0;

for i = 1:height(data_sub)
    % Extracting information about oen instance from the table
    Ask = data_sub.prevailing_ask(i);
    Bid = data_sub.prevailing_bid(i);
    price = data_sub.price(i);
    
    mid_quote = (Ask+Bid)/2;
    
    % Quote Rule
    if price > mid_quote
        Total_buy_trades = Total_buy_trades + 1;
        
    elseif price < mid_quote 
        Total_sell_trades = Total_sell_trades + 1;
        
    else
        % Tick Rule
        
        % Finding Last_trade_price
        Last_traded_price = price; %Initially assigning to the current value
        for j = i:-1:1
            if data_sub.price(j) ~= price
                Last_traded_price = data_sub.price(j);
                break;
            end
        end
        
        if price > Last_traded_price
            Total_buy_trades = Total_buy_trades + 1;
        elseif price < Last_traded_price
            Total_sell_trades = Total_sell_trades + 1;
        end   
    end
    
    
end

[Sailesh Kalyanapu]

Hey Zlatan! Can you check if the Tick rule code you mentioned in the above comment is correct? Because it is increasing the Sell count in both the cases, i.e. when price(x)>price(y) and price(x)<price(y)