The question
This study measures whether unusually large prints tend to occur on the same days as unusually high trading volume in the same ticker. It describes co-occurrence only, meaning how often the two happen together. It does not test whether either one leads to the other.
Why it matters to you
When a favorite has a big print, the day's volume may be heavy or light. Knowing how often big prints and busy days come together helps you read either case calmly.
There is a trap to avoid. A very large print adds to its day's volume by itself. A $500 million print in a stock that usually trades $300 million a day would make the day busy on its own. So the study takes each day's big prints out of that day's volume before it decides whether the day was busy.
Definitions
- Big print.
- An eligible print that ranked
Top 100 or higher for its ticker at the moment it printed. A second pass repeats every measure usingRare Prints . - Eligible print.
- A print that counts toward ranks under the method version in use, using corrected data. Excluded and Canceled trades are left out.
- Big-print day.
- A ticker-session with at least one big print.
- Dollar volume.
- The total of price times shares for all eligible regular-session trades in one ticker on one day.
- Relative volume.
- A day's dollar volume, with its big prints removed, divided by the median dollar volume of the previous 20 sessions.
- Busy day.
- A ticker-session with relative volume of 2.0 or more.
- Market-wide busy day.
- A session on which more than half of covered tickers had relative volume of 1.5 or more.
Population, window and eligibility
- Population.
- Every U.S.-listed stock and ETF that BigTape covers, from its 21st covered session onward, so that 20 earlier sessions exist for the median.
- Window.
- From the first session with 20 earlier sessions of history, in early February 2016, to the last complete month before the study runs.
- Gaps.
- Ticker-sessions with incomplete data are left out, and the report counts them.
What we will measure and how we will report it
- How often a big-print day is a busy day, compared with how often any day is a busy day for the same tickers.
- The reverse view, how often a busy day contains a big print, compared with any day.
- All results with and without market-wide busy days, and split by stocks versus ETFs and by the venue type of the big print.
Results will appear as rates and ratios, each with its counts and a 95% interval. A ratio above one will mean the two occur together more often than they would if they were unrelated. It will not mean that either one causes the other. The report will name the method version used and the date the study ran.