Let's say I'm looking at a certain stock, ABC. I know what it's average daily volume is since that is public information. I also know its current price. Is there any way to now correlate potential incoming order sizes with potential price movement, even just roughly?
Obviously, small orders are barely going to affect the price, but the aggregation of many small ones – or one big order – will move the price, as that is how the market works. The question is: Can I bound that movement?
Example: Let's say I'm building a trading algorithm, and that algorithm predicts (whether rightly or wrongly) that in the next 30 minutes, orders will hit the exchange that sum up to, let's say, 100k shares market-buy, which by all means should at least temporarily increase the price. Can I now, using information about volume (For example, let's say that 500k shares usually get traded during the day, so I'm expecting 20% of daily volume to occur during the next 30 minutes) and price (Let's imagine that if the 100k shares all filled at the same price, it'd be a volume of $1M, which I can correlate with daily price volume of $5M), find a range in which I will expect the price to move in (Let's say 0.1% – 0.2%)?
Theoretically I should be able to since most information for it should be available, no? How could I approach this?
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