I second the notion that making sense of the data is extremely complicated (assuming that your answer is not just "there were more sellers than buyers").
First, the amount of data is extremely large. See the BATS connectivity manual, page 8. They require a MINIMUM connectivity speed of 1Gbps PER FEED. Page 9 shows that the peak rates are higher than this. Note that this is only one exchange of many.
http://batstrading.com/resources/membership/BATS_Connectivit...
Second, even if you could make sense of all the data, there's people on the outside creating the data. A full model of what happened would require knowing what is going through their minds.
Comments
I second the notion that making sense of the data is extremely complicated (assuming that your answer is not just "there were more sellers than buyers").
First, the amount of data is extremely large. See the BATS connectivity manual, page 8. They require a MINIMUM connectivity speed of 1Gbps PER FEED. Page 9 shows that the peak rates are higher than this. Note that this is only one exchange of many. http://batstrading.com/resources/membership/BATS_Connectivit...
Second, even if you could make sense of all the data, there's people on the outside creating the data. A full model of what happened would require knowing what is going through their minds.