Plot XIV 'bars to fill'¶
This is to get an idea of the number of bars it would take, on average, to fill a $5000 order for XIV.
In [3]:
day_pricing = get_pricing("xiv", fields=['volume','price'], start_date='2010-12-01', end_date='2016-12-01')
day_pricing.plot()
Out[3]:
<matplotlib.axes._subplots.AxesSubplot at 0x7fe166db8a50>
In [5]:
day_pricing['price_vol'] = day_pricing.price * day_pricing.volume
day_pricing
Out[5]:
| volume | price | price_vol | |
|---|---|---|---|
| 2010-12-01 00:00:00+00:00 | 491360.0 | 9.787 | 4.808940e+06 |
| 2010-12-02 00:00:00+00:00 | 66000.0 | 10.429 | 6.883140e+05 |
| 2010-12-03 00:00:00+00:00 | 164100.0 | 11.041 | 1.811828e+06 |
| 2010-12-06 00:00:00+00:00 | 239130.0 | 11.252 | 2.690691e+06 |
| 2010-12-07 00:00:00+00:00 | 438000.0 | 11.358 | 4.974804e+06 |
| 2010-12-08 00:00:00+00:00 | 759160.0 | 11.555 | 8.772094e+06 |
| 2010-12-09 00:00:00+00:00 | 149000.0 | 11.785 | 1.755965e+06 |
| 2010-12-10 00:00:00+00:00 | 37750.0 | 11.917 | 4.498668e+05 |
| 2010-12-13 00:00:00+00:00 | 53500.0 | 11.748 | 6.285180e+05 |
| 2010-12-14 00:00:00+00:00 | 69000.0 | 11.669 | 8.051610e+05 |
| 2010-12-15 00:00:00+00:00 | 232650.0 | 11.415 | 2.655700e+06 |
| 2010-12-16 00:00:00+00:00 | 81480.0 | 11.568 | 9.425606e+05 |
| 2010-12-17 00:00:00+00:00 | 165550.0 | 11.822 | 1.957132e+06 |
| 2010-12-20 00:00:00+00:00 | 36500.0 | 12.135 | 4.429275e+05 |
| 2010-12-21 00:00:00+00:00 | 93260.0 | 12.334 | 1.150269e+06 |
| 2010-12-22 00:00:00+00:00 | 55000.0 | 12.366 | 6.801300e+05 |
| 2010-12-23 00:00:00+00:00 | 120500.0 | 11.969 | 1.442264e+06 |
| 2010-12-27 00:00:00+00:00 | 12000.0 | 11.650 | 1.398000e+05 |
| 2010-12-28 00:00:00+00:00 | 27000.0 | 11.537 | 3.114990e+05 |
| 2010-12-29 00:00:00+00:00 | 98000.0 | 11.780 | 1.154440e+06 |
| 2010-12-30 00:00:00+00:00 | 32700.0 | 11.847 | 3.873969e+05 |
| 2010-12-31 00:00:00+00:00 | 87680.0 | 11.954 | 1.048127e+06 |
| 2011-01-03 00:00:00+00:00 | 106600.0 | 12.380 | 1.319708e+06 |
| 2011-01-04 00:00:00+00:00 | 31020.0 | 12.135 | 3.764277e+05 |
| 2011-01-05 00:00:00+00:00 | 65400.0 | 12.599 | 8.239746e+05 |
| 2011-01-06 00:00:00+00:00 | 89000.0 | 12.526 | 1.114814e+06 |
| 2011-01-07 00:00:00+00:00 | 103500.0 | 12.508 | 1.294578e+06 |
| 2011-01-10 00:00:00+00:00 | 152000.0 | 12.546 | 1.906992e+06 |
| 2011-01-11 00:00:00+00:00 | 266300.0 | 12.916 | 3.439531e+06 |
| 2011-01-12 00:00:00+00:00 | 56500.0 | 13.492 | 7.622980e+05 |
| ... | ... | ... | ... |
| 2016-10-20 00:00:00+00:00 | 18893526.0 | 39.300 | 7.425156e+08 |
| 2016-10-21 00:00:00+00:00 | 14413303.0 | 40.110 | 5.781176e+08 |
| 2016-10-24 00:00:00+00:00 | 10029437.0 | 41.526 | 4.164824e+08 |
| 2016-10-25 00:00:00+00:00 | 15072277.0 | 41.085 | 6.192445e+08 |
| 2016-10-26 00:00:00+00:00 | 18687628.0 | 40.070 | 7.488133e+08 |
| 2016-10-27 00:00:00+00:00 | 18365175.0 | 39.350 | 7.226696e+08 |
| 2016-10-28 00:00:00+00:00 | 34300832.0 | 37.660 | 1.291769e+09 |
| 2016-10-31 00:00:00+00:00 | 16567272.0 | 36.880 | 6.110010e+08 |
| 2016-11-01 00:00:00+00:00 | 32568777.0 | 35.820 | 1.166614e+09 |
| 2016-11-02 00:00:00+00:00 | 26666113.0 | 35.011 | 9.336073e+08 |
| 2016-11-03 00:00:00+00:00 | 25741762.0 | 33.120 | 8.525672e+08 |
| 2016-11-04 00:00:00+00:00 | 26158230.0 | 33.049 | 8.645033e+08 |
| 2016-11-07 00:00:00+00:00 | 26160009.0 | 37.190 | 9.728907e+08 |
| 2016-11-08 00:00:00+00:00 | 28698741.0 | 38.140 | 1.094570e+09 |
| 2016-11-09 00:00:00+00:00 | 48300373.0 | 39.080 | 1.887579e+09 |
| 2016-11-10 00:00:00+00:00 | 52147620.0 | 38.010 | 1.982131e+09 |
| 2016-11-11 00:00:00+00:00 | 22392277.0 | 38.880 | 8.706117e+08 |
| 2016-11-14 00:00:00+00:00 | 20269349.0 | 39.090 | 7.923289e+08 |
| 2016-11-15 00:00:00+00:00 | 16797263.0 | 40.770 | 6.848244e+08 |
| 2016-11-16 00:00:00+00:00 | 15803226.0 | 40.490 | 6.398726e+08 |
| 2016-11-17 00:00:00+00:00 | 12964033.0 | 41.660 | 5.400816e+08 |
| 2016-11-18 00:00:00+00:00 | 15362823.0 | 41.860 | 6.430878e+08 |
| 2016-11-21 00:00:00+00:00 | 12070076.0 | 43.750 | 5.280658e+08 |
| 2016-11-22 00:00:00+00:00 | 13744185.0 | 43.510 | 5.980095e+08 |
| 2016-11-23 00:00:00+00:00 | 12461259.0 | 43.420 | 5.410679e+08 |
| 2016-11-25 00:00:00+00:00 | 4917206.0 | 43.680 | 2.147836e+08 |
| 2016-11-28 00:00:00+00:00 | 13022534.0 | 43.290 | 5.637455e+08 |
| 2016-11-29 00:00:00+00:00 | 10421701.0 | 43.600 | 4.543862e+08 |
| 2016-11-30 00:00:00+00:00 | 15462470.0 | 43.560 | 6.735452e+08 |
| 2016-12-01 00:00:00+00:00 | 23709422.0 | 41.910 | 9.936619e+08 |
1512 rows × 3 columns
In [7]:
day_pricing['mean_minute_dollar_vol'] = day_pricing.price_vol/390
day_pricing
Out[7]:
| volume | price | price_vol | mean_minute_dollar_vol | |
|---|---|---|---|---|
| 2010-12-01 00:00:00+00:00 | 491360.0 | 9.787 | 4.808940e+06 | 1.233062e+04 |
| 2010-12-02 00:00:00+00:00 | 66000.0 | 10.429 | 6.883140e+05 | 1.764908e+03 |
| 2010-12-03 00:00:00+00:00 | 164100.0 | 11.041 | 1.811828e+06 | 4.645713e+03 |
| 2010-12-06 00:00:00+00:00 | 239130.0 | 11.252 | 2.690691e+06 | 6.899207e+03 |
| 2010-12-07 00:00:00+00:00 | 438000.0 | 11.358 | 4.974804e+06 | 1.275591e+04 |
| 2010-12-08 00:00:00+00:00 | 759160.0 | 11.555 | 8.772094e+06 | 2.249255e+04 |
| 2010-12-09 00:00:00+00:00 | 149000.0 | 11.785 | 1.755965e+06 | 4.502474e+03 |
| 2010-12-10 00:00:00+00:00 | 37750.0 | 11.917 | 4.498668e+05 | 1.153504e+03 |
| 2010-12-13 00:00:00+00:00 | 53500.0 | 11.748 | 6.285180e+05 | 1.611585e+03 |
| 2010-12-14 00:00:00+00:00 | 69000.0 | 11.669 | 8.051610e+05 | 2.064515e+03 |
| 2010-12-15 00:00:00+00:00 | 232650.0 | 11.415 | 2.655700e+06 | 6.809487e+03 |
| 2010-12-16 00:00:00+00:00 | 81480.0 | 11.568 | 9.425606e+05 | 2.416822e+03 |
| 2010-12-17 00:00:00+00:00 | 165550.0 | 11.822 | 1.957132e+06 | 5.018287e+03 |
| 2010-12-20 00:00:00+00:00 | 36500.0 | 12.135 | 4.429275e+05 | 1.135712e+03 |
| 2010-12-21 00:00:00+00:00 | 93260.0 | 12.334 | 1.150269e+06 | 2.949407e+03 |
| 2010-12-22 00:00:00+00:00 | 55000.0 | 12.366 | 6.801300e+05 | 1.743923e+03 |
| 2010-12-23 00:00:00+00:00 | 120500.0 | 11.969 | 1.442264e+06 | 3.698114e+03 |
| 2010-12-27 00:00:00+00:00 | 12000.0 | 11.650 | 1.398000e+05 | 3.584615e+02 |
| 2010-12-28 00:00:00+00:00 | 27000.0 | 11.537 | 3.114990e+05 | 7.987154e+02 |
| 2010-12-29 00:00:00+00:00 | 98000.0 | 11.780 | 1.154440e+06 | 2.960103e+03 |
| 2010-12-30 00:00:00+00:00 | 32700.0 | 11.847 | 3.873969e+05 | 9.933254e+02 |
| 2010-12-31 00:00:00+00:00 | 87680.0 | 11.954 | 1.048127e+06 | 2.687504e+03 |
| 2011-01-03 00:00:00+00:00 | 106600.0 | 12.380 | 1.319708e+06 | 3.383867e+03 |
| 2011-01-04 00:00:00+00:00 | 31020.0 | 12.135 | 3.764277e+05 | 9.651992e+02 |
| 2011-01-05 00:00:00+00:00 | 65400.0 | 12.599 | 8.239746e+05 | 2.112755e+03 |
| 2011-01-06 00:00:00+00:00 | 89000.0 | 12.526 | 1.114814e+06 | 2.858497e+03 |
| 2011-01-07 00:00:00+00:00 | 103500.0 | 12.508 | 1.294578e+06 | 3.319431e+03 |
| 2011-01-10 00:00:00+00:00 | 152000.0 | 12.546 | 1.906992e+06 | 4.889723e+03 |
| 2011-01-11 00:00:00+00:00 | 266300.0 | 12.916 | 3.439531e+06 | 8.819310e+03 |
| 2011-01-12 00:00:00+00:00 | 56500.0 | 13.492 | 7.622980e+05 | 1.954610e+03 |
| ... | ... | ... | ... | ... |
| 2016-10-20 00:00:00+00:00 | 18893526.0 | 39.300 | 7.425156e+08 | 1.903886e+06 |
| 2016-10-21 00:00:00+00:00 | 14413303.0 | 40.110 | 5.781176e+08 | 1.482353e+06 |
| 2016-10-24 00:00:00+00:00 | 10029437.0 | 41.526 | 4.164824e+08 | 1.067904e+06 |
| 2016-10-25 00:00:00+00:00 | 15072277.0 | 41.085 | 6.192445e+08 | 1.587806e+06 |
| 2016-10-26 00:00:00+00:00 | 18687628.0 | 40.070 | 7.488133e+08 | 1.920034e+06 |
| 2016-10-27 00:00:00+00:00 | 18365175.0 | 39.350 | 7.226696e+08 | 1.852999e+06 |
| 2016-10-28 00:00:00+00:00 | 34300832.0 | 37.660 | 1.291769e+09 | 3.312229e+06 |
| 2016-10-31 00:00:00+00:00 | 16567272.0 | 36.880 | 6.110010e+08 | 1.566669e+06 |
| 2016-11-01 00:00:00+00:00 | 32568777.0 | 35.820 | 1.166614e+09 | 2.991317e+06 |
| 2016-11-02 00:00:00+00:00 | 26666113.0 | 35.011 | 9.336073e+08 | 2.393865e+06 |
| 2016-11-03 00:00:00+00:00 | 25741762.0 | 33.120 | 8.525672e+08 | 2.186070e+06 |
| 2016-11-04 00:00:00+00:00 | 26158230.0 | 33.049 | 8.645033e+08 | 2.216675e+06 |
| 2016-11-07 00:00:00+00:00 | 26160009.0 | 37.190 | 9.728907e+08 | 2.494592e+06 |
| 2016-11-08 00:00:00+00:00 | 28698741.0 | 38.140 | 1.094570e+09 | 2.806590e+06 |
| 2016-11-09 00:00:00+00:00 | 48300373.0 | 39.080 | 1.887579e+09 | 4.839945e+06 |
| 2016-11-10 00:00:00+00:00 | 52147620.0 | 38.010 | 1.982131e+09 | 5.082387e+06 |
| 2016-11-11 00:00:00+00:00 | 22392277.0 | 38.880 | 8.706117e+08 | 2.232338e+06 |
| 2016-11-14 00:00:00+00:00 | 20269349.0 | 39.090 | 7.923289e+08 | 2.031612e+06 |
| 2016-11-15 00:00:00+00:00 | 16797263.0 | 40.770 | 6.848244e+08 | 1.755960e+06 |
| 2016-11-16 00:00:00+00:00 | 15803226.0 | 40.490 | 6.398726e+08 | 1.640699e+06 |
| 2016-11-17 00:00:00+00:00 | 12964033.0 | 41.660 | 5.400816e+08 | 1.384825e+06 |
| 2016-11-18 00:00:00+00:00 | 15362823.0 | 41.860 | 6.430878e+08 | 1.648943e+06 |
| 2016-11-21 00:00:00+00:00 | 12070076.0 | 43.750 | 5.280658e+08 | 1.354015e+06 |
| 2016-11-22 00:00:00+00:00 | 13744185.0 | 43.510 | 5.980095e+08 | 1.533358e+06 |
| 2016-11-23 00:00:00+00:00 | 12461259.0 | 43.420 | 5.410679e+08 | 1.387354e+06 |
| 2016-11-25 00:00:00+00:00 | 4917206.0 | 43.680 | 2.147836e+08 | 5.507271e+05 |
| 2016-11-28 00:00:00+00:00 | 13022534.0 | 43.290 | 5.637455e+08 | 1.445501e+06 |
| 2016-11-29 00:00:00+00:00 | 10421701.0 | 43.600 | 4.543862e+08 | 1.165093e+06 |
| 2016-11-30 00:00:00+00:00 | 15462470.0 | 43.560 | 6.735452e+08 | 1.727039e+06 |
| 2016-12-01 00:00:00+00:00 | 23709422.0 | 41.910 | 9.936619e+08 | 2.547851e+06 |
1512 rows × 4 columns
In [8]:
minutes_to_trade = 5000 / (day_pricing.mean_minute_dollar_vol * .025)
minutes_to_trade
Out[8]:
2010-12-01 00:00:00+00:00 16.219790
2010-12-02 00:00:00+00:00 113.320374
2010-12-03 00:00:00+00:00 43.050442
2010-12-06 00:00:00+00:00 28.988839
2010-12-07 00:00:00+00:00 15.679010
2010-12-08 00:00:00+00:00 8.891834
2010-12-09 00:00:00+00:00 44.420020
2010-12-10 00:00:00+00:00 173.384674
2010-12-13 00:00:00+00:00 124.101458
2010-12-14 00:00:00+00:00 96.875035
2010-12-15 00:00:00+00:00 29.370790
2010-12-16 00:00:00+00:00 82.753296
2010-12-17 00:00:00+00:00 39.854234
2010-12-20 00:00:00+00:00 176.101055
2010-12-21 00:00:00+00:00 67.810235
2010-12-22 00:00:00+00:00 114.683957
2010-12-23 00:00:00+00:00 54.081620
2010-12-27 00:00:00+00:00 557.939914
2010-12-28 00:00:00+00:00 250.402088
2010-12-29 00:00:00+00:00 67.565226
2010-12-30 00:00:00+00:00 201.343893
2010-12-31 00:00:00+00:00 74.418483
2011-01-03 00:00:00+00:00 59.103984
2011-01-04 00:00:00+00:00 207.211106
2011-01-05 00:00:00+00:00 94.663112
2011-01-06 00:00:00+00:00 69.966829
2011-01-07 00:00:00+00:00 60.251294
2011-01-10 00:00:00+00:00 40.902112
2011-01-11 00:00:00+00:00 22.677512
2011-01-12 00:00:00+00:00 102.322189
...
2016-10-20 00:00:00+00:00 0.105048
2016-10-21 00:00:00+00:00 0.134921
2016-10-24 00:00:00+00:00 0.187283
2016-10-25 00:00:00+00:00 0.125960
2016-10-26 00:00:00+00:00 0.104165
2016-10-27 00:00:00+00:00 0.107933
2016-10-28 00:00:00+00:00 0.060382
2016-10-31 00:00:00+00:00 0.127659
2016-11-01 00:00:00+00:00 0.066860
2016-11-02 00:00:00+00:00 0.083547
2016-11-03 00:00:00+00:00 0.091488
2016-11-04 00:00:00+00:00 0.090225
2016-11-07 00:00:00+00:00 0.080173
2016-11-08 00:00:00+00:00 0.071261
2016-11-09 00:00:00+00:00 0.041323
2016-11-10 00:00:00+00:00 0.039352
2016-11-11 00:00:00+00:00 0.089592
2016-11-14 00:00:00+00:00 0.098444
2016-11-15 00:00:00+00:00 0.113898
2016-11-16 00:00:00+00:00 0.121899
2016-11-17 00:00:00+00:00 0.144423
2016-11-18 00:00:00+00:00 0.121290
2016-11-21 00:00:00+00:00 0.147709
2016-11-22 00:00:00+00:00 0.130433
2016-11-23 00:00:00+00:00 0.144159
2016-11-25 00:00:00+00:00 0.363156
2016-11-28 00:00:00+00:00 0.138360
2016-11-29 00:00:00+00:00 0.171660
2016-11-30 00:00:00+00:00 0.115805
2016-12-01 00:00:00+00:00 0.078498
Freq: C, Name: mean_minute_dollar_vol, dtype: float64
In [12]:
minutes_to_trade.plot(ylim=(0, 5))
Out[12]:
<matplotlib.axes._subplots.AxesSubplot at 0x7fe167dcc810>
Looks like much of the time during 2011 and 2012 it would take more than 1 bar to fill a $5000 dollar order of XIV. This would be a market order. Add a limit price constraint and this value could be much higher.
In [ ]: