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Audit Trail of Trades
Started:November 28th, 2011 (02:41 PM) by ab456 Views / Replies:373 / 1
Last Reply:November 28th, 2011 (02:41 PM) Attachments:0

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Audit Trail of Trades

Old November 28th, 2011, 02:41 PM   #1 (permalink)
Elite Member
New Delhi, India
Futures Experience: Intermediate
Platform: NEOTICKER, NinjaTrader, MarketDelta
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Audit Trail of Trades

On investopedia it is given that -
Audit Trail Definition
What Does Audit Trail Mean?
A step-by-step record by which accounting data can be traced to their source. The SEC and NYSE will use this method for the explicit reconstruction of trades when there are questions as to the validity or accuracy of an accounting figure.

Investopedia explains Audit Trail
This is the technique used to track improper market activity. By documenting and analyzing all houses and brokers involved in specific trades, those who follow the audit trail can (hopefully) identify the culprit.

What is an Audit Trail of Stock Trades exactly ? How can we make use of it for checking the efficiency of our Indicators which classify the trades as Buy or Sell Trades ? Any ideas in this regards ?

There are 3 popular Trade Classification Algorithms based on -
tick rule
quote rule

Lee and Ready rule

But how do we know if the trades being marked as Buy / Sell Trades by these algorithms are Correct ?


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Old November 28th, 2011, 02:41 PM   #2 (permalink)
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