[R-SIG-Finance] Estimating volume at price for backtest data bars?

Brian G. Peterson brian at braverock.com
Wed Apr 7 11:05:40 CEST 2010

Mark Knecht wrote:
> Hi,
>    I wonder if anyone has seen anything written publicly about
> estimating volume at price within backtest bars where you don't have
> any data other than up/down volume for the bar? For instance, when
> looking at 1 minute ES bars they are, on average maybe 6-8 price ticks
> tall. How might one estimate where the volume was in the bar for
> upticks and downticks? Clearly there's no was to be completely
> accurate, but maybe it's better than doing nothing.
>   I'm playing with using sort of a skewed normal distribution which is
> interesting, but it doesn't take open and close into account. When I
> look at real data there's often a bit more up volume near the top when
> the price is trending strongly up, and more to the downside when the
> price is trending down. I could use other indicators for simple
> estimates of trend, and then do something based on that.
>    Anyway, I'm just interested in reading something on the subject, if
> there's anything out there, before messing with R code.

If I get some time, I'll dig through my collection of papers, because there is 
literature on matching up Buy-driven versus sell-driven volume.

However, all this literature is on tick data.  You will likely need to acquire 
a source for tick data before you can have any accuracy at all in any resulting 

   - Brian

Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

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