{
  "id": 1070,
  "title": "defn of liquidity shock",
  "url": "/competitions/AlgorithmicTradingChallenge/discussion/1070",
  "author_name": "",
  "post_date": "2011-11-21T06:12:39.117Z",
  "votes": null,
  "comment_count": 3,
  "views": 8526,
  "content": "<p>Hi Admin</p>\r\n<p>in an earlier post you defined a liquidity shock as -</p>\r\n<p>&quot;we define a liquidity shock to be a trade that results in a new inside bid/ask spread where the trade and quote message timestamps are identical.&quot;</p>\r\n<p>Is this a necessary and sufficient condition for you to classify a state as a liquidity shock?&nbsp;</p>\r\n<p>Do you also classify this condition as a shock - If the bid/ask spread remains constant, but the bid price and ask price change, and the T and Q timestamps are identical.</p>\r\n<p>thx<br>\r\n<br>\r\n<br>\r\n</p>",
  "messages": [
    {
      "id": "6644",
      "postDate": "11/21/2011 06:12:39",
      "content": "<p>Hi Admin</p>\r\n<p>in an earlier post you defined a liquidity shock as -</p>\r\n<p>&quot;we define a liquidity shock to be a trade that results in a new inside bid/ask spread where the trade and quote message timestamps are identical.&quot;</p>\r\n<p>Is this a necessary and sufficient condition for you to classify a state as a liquidity shock?&nbsp;</p>\r\n<p>Do you also classify this condition as a shock - If the bid/ask spread remains constant, but the bid price and ask price change, and the T and Q timestamps are identical.</p>\r\n<p>thx<br>\r\n<br>\r\n<br>\r\n</p>",
      "rawMarkdown": "",
      "votes": null
    },
    {
      "id": "6665",
      "postDate": "11/21/2011 18:15:27",
      "content": "<p>As per the definition of Liquidity shock, it says that it is caused only due to trade event. However what if any news feed leads people to change best bid &amp; ask price . In this case there wouldn't be any trade event but there would be liquidity shock.</p>\r\n<p>Can you kindly confirm this</p>\r\n<p>Thanks</p>",
      "rawMarkdown": "",
      "votes": null
    },
    {
      "id": "6684",
      "postDate": "11/22/2011 01:36:52",
      "content": "<p>And although table 2 of the competition description states that trade_vwap is in pounds and while bid and ask are in pence, they appear to be in the same units.\r\n</p>\r\n<p>Can you clarify the units for these quantities.</p>\r\n<p>thx.</p>",
      "rawMarkdown": "",
      "votes": null
    },
    {
      "id": "6686",
      "postDate": "11/22/2011 03:52:10",
      "content": "<p>If trade<em>vwap is in fact in pence, can you also confirm whether p</em>value is in pounds or pence.</p>",
      "rawMarkdown": "",
      "votes": null
    }
  ],
  "comments": [
    {
      "id": 6665,
      "author_name": "setu19438",
      "author_url": "",
      "post_date": "11/21/2011 18:15:27",
      "content": "<p>As per the definition of Liquidity shock, it says that it is caused only due to trade event. However what if any news feed leads people to change best bid &amp; ask price . In this case there wouldn't be any trade event but there would be liquidity shock.</p>\r\n<p>Can you kindly confirm this</p>\r\n<p>Thanks</p>",
      "votes": null,
      "replies": []
    },
    {
      "id": 6684,
      "author_name": "stellar",
      "author_url": "",
      "post_date": "11/22/2011 01:36:52",
      "content": "<p>And although table 2 of the competition description states that trade_vwap is in pounds and while bid and ask are in pence, they appear to be in the same units.\r\n</p>\r\n<p>Can you clarify the units for these quantities.</p>\r\n<p>thx.</p>",
      "votes": null,
      "replies": []
    },
    {
      "id": 6686,
      "author_name": "breakfastpirate",
      "author_url": "",
      "post_date": "11/22/2011 03:52:10",
      "content": "<p>If trade<em>vwap is in fact in pence, can you also confirm whether p</em>value is in pounds or pence.</p>",
      "votes": null,
      "replies": []
    }
  ],
  "raw_markdown_by_id": {
    "6644": "",
    "6665": "",
    "6684": "",
    "6686": ""
  },
  "source": "meta"
}