Inferring Trade Direction from Intraday Data

Charles M. C. Lee, Mark J. Ready · 1991 · The Journal of Finance

BeginnerHFTIntradayMethod

The standard algorithm for signing trades as buys or sells (quote rule plus tick rule). Needed whenever your feed lacks the aggressor side.

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At a glance

Level: Beginner: No prior microstructure or stochastic calculus needed
Horizon: HFT, Intraday
Data needed: Trades, L1 quotes Set what data you have
Themes: Microstructure Order-flow alpha
Assets: Equities
Market: US

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Cite

@article{lee1991inferring,
  author = {Lee, Charles M. C. and Ready, Mark J.},
  title = {{Inferring Trade Direction from Intraday Data}},
  journal = {The Journal of Finance},
  year = {1991},
  doi = {10.1111/j.1540-6261.1991.tb02683.x}
}

Lee, C. M. C., & Ready, M. J. (1991). Inferring Trade Direction from Intraday Data. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1991.tb02683.x