A Trade Classification Algorithm from Market Quotes (Scripts) Publisher's description
from Paolo Zagaglia
This routine uses bid and ask quotes sample intradaily
This routine uses bid and ask quotes sample intradaily at a uniform frequency to classify the implied origin of market trading activity. It computes the implied number of sell-initiated, buy-initiated trades, and trades with no discernible sign (denoted as 'no trades'). The classification algorithm used here follows Lee and Ready (1996).
A pdf file with an outline of the trade classification algorithm is also included.
Lee, C. M. C., and M. J. Ready (1991), "Inferring Trade Direction from Intraday Data", Journal of Finance, 46 (2), 733-746.
System Requirements:MATLAB 7.11 (2010b)
Program Release Status: New Release
Program Install Support: Install and Uninstall