Bid And Ask Price Thresholds As Technical Indicators

The original MS word file can be downloaded here.

Note that the following technical indicators only works with Direct Market Access.

Summary

The word "amount" in this summary refers to the number of shares for convenience.

MBA and MAA

The maximum number of shares for a bid to be instantly matched in full amount for sure in theory regardless of the bid price is the total number of shares for all unmatched asks, which is also the Maximum Bid Amount(MBA).

The maximum number of shares for an ask to be instantly matched in full amount for sure in theory regardless of the ask price is the total number of shares for all unmatched bids, which is also the Maximum Ask Amount(MAA).

MBA and MAA can also have their respective K-charts and Moving Averages, which can help investors to decide a suitable number of shares to open/close long/short positions.

BPT and APT

For a bid with number of shares not exceeding MBA, Bid Price Threshold(BPT) is the lowest price for that bid to be instantly matched in full amount for sure in theory, but larger shares won't have BPT since they can't be matched in full no matter how high the bid price is.

For an ask with number of shares not exceeding MAA, Ask Price Threshold(APT) is the highest price for that ask to be instantly matched in full amount for sure in theory, but larger shares won't have APT since they can't be matched in full no matter how low the ask price is.

BPT and APT can also have their respective K-charts and Moving Averages, with the catch that invalid BPT and APT values should be skipped respectively.

These indicators can help investors with a predetermined number of shares for opening/closing long/short positions to fine-tune the precise bid/ask price and the timing.

BPT and APT ordering

The BAPT Ordering Theorem states that, in Direct Market Access, BPT is always greater than APT for any same or different number of shares of the corresponding bids and asks at the exact same moment, so there are 5 possibilities regarding the ordering among BPT, APT and the current price:

price < APT < BPT - Probably meaning that most bidders and askers expect the price to rise or keep rising significantly for quite some time, so it can point to a solid trend based on strong fundamental improvements or a baseless surge caused by good news coming out of thin air

price = APT < BPT - Probably meaning that most bidders expect the price to rise or keep rising significant for quite some time but most askers expect this trend to diminish or end soon, so it's better to wait and look for signs of reversal unless it's still obviously undervalued

APT < price < BPT - Probably meaning that the market have drastically different expectations on the upcoming price trend, so it can be due to the price still under corrections or many important but uncertain signs of reversal being surfaced

APT < price = BPT - Basically the polar opposite of the "price = APT < BPT" case

APT < BPT < price - Basically the polar opposite of the "price < APT < BPT" case

BPT Table and APT Table

Because a bid with a different number of shares usually have different BPTs, a BPT Table can be used to show all BPTs with their corresponding number of shares.

Because an ask with a different number of shares usually have different APTs, a APT Table can be used to show all APTs with their corresponding number of shares.

Real-time BPT Table and APT Table can help investors to weight against different combinations of number of shares with the bid/ask price as well as the pros/cons of different timing to open/close long/short positions.