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General Category => The Investor Challenge => Topic started by: Patrick on January 08, 2014, 03:00:27 pm

Title: How to identify frequently traded shares
Post by: Patrick on January 08, 2014, 03:00:27 pm
Ok, following on from all the changes made yesterday, as the competition allows selling, I need to remove infrequently traded shares. Any ideas how to identify them?
Title: Re: How to identify frequently traded shares
Post by: Bundu on January 08, 2014, 03:16:53 pm
not sure what data you have available, but a possibility would be to take the average volume per day over say the past six months and only allow shares that traded on average more than say R100k per day
Title: Re: How to identify frequently traded shares
Post by: Aragorn on January 08, 2014, 03:17:57 pm
Patrick
I can provide you with lists of shares who's average daily deals, value or volume (over 52 weeks) is less than a certain amount. Not sure what deal count, value or volume should be applied though - 'cause NPN 1000 shares (low volume) is over R 1 mill (high value) even with just 2 deals (low count), when comparing to others.
Let me know if I can assist here
Title: Re: How to identify frequently traded shares
Post by: Patrick on January 08, 2014, 03:22:02 pm
Patrick
I can provide you with lists of shares who's average daily deals, value or volume (over 52 weeks) is less than a certain amount. Not sure what deal count, value or volume should be applied though - 'cause NPN 1000 shares (low volume) is over R 1 mill (high value) even with just 2 deals (low count), when comparing to others.
Let me know if I can assist here

That would be a good start, ideally I need trade frequency. Shares that are traded continuously throughout the day can't be manipulated as easily as a share that sits at either the buy or sell price for very long.

CRD for example is too stagnant and has an extremely large spread.
Title: Re: How to identify frequently traded shares
Post by: Bundu on January 08, 2014, 03:24:08 pm
Patrick
I can provide you with lists of shares who's average daily deals, value or volume (over 52 weeks) is less than a certain amount. Not sure what deal count, value or volume should be applied though - 'cause NPN 1000 shares (low volume) is over R 1 mill (high value) even with just 2 deals (low count), when comparing to others.
Let me know if I can assist here

I think it should be "value" and definitely not less than R100k/day, as that is what many here buy in one go
Title: Re: How to identify frequently traded shares
Post by: Aragorn on January 08, 2014, 03:38:38 pm
That would be a good start, ideally I need trade frequency. Shares that are traded continuously throughout the day can't be manipulated as easily as a share that sits at either the buy or sell price for very long.

CRD for example is too stagnant and has an extremely large spread.

Sent you a PM with a list of shares for scrutiny. See if it helps.
Title: Re: How to identify frequently traded shares
Post by: tgg78703 on January 08, 2014, 05:51:51 pm
instead of all the loophole closing and writing of programmes. just post a set of rules (which seems absent)

and anyone that does not abide by the rules just has his portfolio deleted.

simple and klaar, no issues, no fights
Title: Re: How to identify frequently traded shares
Post by: Orca on January 08, 2014, 07:29:29 pm
I agree tgg. There are enough guys here with Real Time Quotes and checking other investor's stocks to see any anomalies. We can then vote the trade in or out. This will also keep the forum more lively and interesting. That way we can all learn as we go along. Keeping it as it is will be more educating. Look at how lively it has become lately. We can then all stay up till 01am like some okes here.
Oops. 7.30pm. Sorry. Delete. Delete.... Burp. Can't find that Delete thingie.
Title: Re: How to identify frequently traded shares
Post by: Bundu on January 08, 2014, 08:03:36 pm
I agree tgg. There are enough guys here with Real Time Quotes and checking other investor's stocks to see any anomalies. We can then vote the trade in or out. This will also keep the forum more lively and interesting. That way we can all learn as we go along. Keeping it as it is will be more educating. Look at how lively it has become lately. We can then all stay up till 01am like some okes here.
Oops. 7.30pm. Sorry. Delete. Delete.... Burp. Can't find that Delete thingie.

Orca - you really need to watch your mouth especially after 6.30 p.m :-[
 :D :D :D
Title: Re: How to identify frequently traded shares
Post by: Orca on January 08, 2014, 08:59:06 pm
I agree tgg. There are enough guys here with Real Time Quotes and checking other investor's stocks to see any anomalies. We can then vote the trade in or out. This will also keep the forum more lively and interesting. That way we can all learn as we go along. Keeping it as it is will be more educating. Look at how lively it has become lately. We can then all stay up till 01am like some okes here.
Oops. 7.30pm. Sorry. Delete. Delete.... Burp. Can't find that Delete thingie.

Orca - you really need to watch your mouth especially after 6.30 p.m :-[
 :D :D :D

Eish. Ok, I will stop posting after 06.30. Promise. I told you guys not to read my posts made after 06.60.
Title: Re: How to identify frequently traded shares
Post by: tgg78703 on January 08, 2014, 09:45:50 pm
whats my cutoff time Bundu, can I still post a reply ;)

Some people like the game and want to make it work, others are just learners and don,t know how or why, other are loopholers and seek a gap.

I should most probably admit that If I was a newbie to this, I would not do research , I would go and check shares see what has fallen the most and just buy them in ignorance and hope that something happens.

Then it happens my share shoots up and suddenly I get chucked out of a game.

BTW, that is how I bought my first shares when I was 18, was Zandpan

Are there somewhere some rules, regulations and quidelines posted, The closest I have seem is a disclaimer on the 1c shares portfolio.

May I go and sleep now, die voggies trek

Title: Re: How to identify frequently traded shares
Post by: Bundu on January 08, 2014, 09:54:11 pm
tgg, you have no time limit, you have a whisky limit  :LHST:

I agree with the rules thing and would suggest that the basic rule should be "don't do or try to do anything you can't do on the JSE", which would include time-jumping  ;)
Title: Re: How to identify frequently traded shares
Post by: tgg78703 on January 08, 2014, 10:56:59 pm
my whisky limit is close to 8 in the evening, still outlast orca by n hour, but give it time.

I am much younger than him. still a virgin actually.

Patrick has an good thing going, but to many people try and mess it up with all kind of tricks.

The game is not main stream, but we all learn a bit and enjoy, last year the 1c guys buggered it up. But we learnt to look past them and it was fun, although I took a crushing defeat on second portfolio.

Which I might vindicate in 2014.

I might add here that in 1983 when I bought my first gold shares, I got a annual report, took one look at it and sold, there is was no  future in that metal, they were bringing out more dirt from the core of the earth and getting less for it, still told the auntie working with me, om gold andele te koop is om kak te soek.

I think I have had enough whiskey now and will wait for orca to wake up and see if I can make a plan with my virginity issues in the interem

Title: Re: How to identify frequently traded shares
Post by: Bevan on January 09, 2014, 07:56:41 am
The cause of many issues that will crop up is the difference between live pricing and the 15 min delay, not infrequently traded shares. Since the spirit of the game is to be an investment club, and not a live trader or scalper, then wouldn't it be better to delay all trades (buys and sells) by 15 minutes as well. That way you execute at the prevailing price at the time the trader sees the real time price.

Clearly it would be unrealistic to have live pricing here (because of the cost) so a delay seems most appropriate to synchronise everything.

Title: Re: How to identify frequently traded shares
Post by: Patrick on January 09, 2014, 08:04:42 am
The cause of many issues that will crop up is the difference between live pricing and the 15 min delay, not infrequently traded shares. Since the spirit of the game is to be an investment club, and not a live trader or scalper, then wouldn't it be better to delay all trades (buys and sells) by 15 minutes as well. That way you execute at the prevailing price at the time the trader sees the real time price.

Clearly it would be unrealistic to have live pricing here (because of the cost) so a delay seems most appropriate to synchronise everything.

Have you purchased/sold in the last 24 hours ;)

You'll notice a pending next to your line item with a price update once live prices are in!
Title: Re: How to identify frequently traded shares
Post by: Bevan on January 09, 2014, 08:33:32 am
Have you purchased/sold in the last 24 hours ;)
You'll notice a pending next to your line item with a price update once live prices are in!

Oh, well done. Thanks for the efforts.
Title: Re: How to identify frequently traded shares
Post by: Patrick on January 09, 2014, 09:41:13 am
Ok, here's the list of infrequently traded shares (thanks Aragorn), I've sorted it by trade frequency. Now all we need to do is draw the line.

I want at least 16 trades a day (2 an hour) but if we want to keep up with the updates we need every 15 minutes ie 32 a day.

Comments?
Title: Re: How to identify frequently traded shares
Post by: Bevan on January 09, 2014, 10:00:39 am
Both Keaton and Wescoal are in there.... Keaton is currently helping gnomez to top spot and Wescoal gave me 142% return last year. What is the point of taking out infrequently traded shares? In real life you would obviously have bid:offer slippage but you've already removed penny stocks which is the big issue so slippage on the stocks that remain is not as big an issue surely?
Title: Re: How to identify frequently traded shares
Post by: Bundu on January 09, 2014, 11:41:13 am
Patrick this probably a stupid question, but do we buy at the last transaction price or at the offer price?
and do we sell at the last transaction price or at the bid price?
Title: Re: How to identify frequently traded shares
Post by: Patrick on January 09, 2014, 11:44:19 am
Last transaction for both.
Title: Re: How to identify frequently traded shares
Post by: Bundu on January 09, 2014, 11:58:16 am
do you get the bid and offer prices?
That would be closest to reality IMO
Title: Re: How to identify frequently traded shares
Post by: Patrick on January 09, 2014, 12:01:16 pm
do you get the bid and offer prices?
That would be closest to reality IMO

Wish I could but it's too costly from the JSE.
Title: Re: How to identify frequently traded shares
Post by: Bundu on January 09, 2014, 12:07:04 pm
fair enough :TU:
Title: Re: How to identify frequently traded shares
Post by: gcr on January 09, 2014, 02:30:22 pm
do you get the bid and offer prices?
That would be closest to reality IMO
I don't know that the bid and offer prices are closer to reality than the real transaction prices. In some cases the highest bid/offer price would be a few cents off the transaction figure. By the same token in a choppy market the bid and offer could be quite substantial. The fundamentals of the exchange are that at a point the bidder and offeror agree a price at which they are prepared to buy/sell and the transaction is concluded. So my view is that we need to stick with the last transaction price 
Title: Re: How to identify frequently traded shares
Post by: Bevan on January 09, 2014, 02:54:45 pm
do you get the bid and offer prices?
That would be closest to reality IMO
I don't know that the bid and offer prices are closer to reality than the real transaction prices. In some cases the highest bid/offer price would be a few cents off the transaction figure. By the same token in a choppy market the bid and offer could be quite substantial. The fundamentals of the exchange are that at a point the bidder and offeror agree a price at which they are prepared to buy/sell and the transaction is concluded. So my view is that we need to stick with the last transaction price

Last transaction price is always the reported price. The bid (for sellers) and offer (for buyers) is the realistic transaction price at any point in time. However, with many electronic systems there is often very little volume on the leading bid and / or offer. The price you end up trading at (assuming a best price order) would be the weighted average of the price and volume available. One really needs to see the "stack" i.e. list of all bids and offers and the associated volumes to see where traders are actually interested in trading at.

Often in fast markets you will see electronic systems picking off the bid and offer in small amounts, trying to lead volume into the trade. However, volume can often be hidden as part of an "iceberg" order e.g. you think you are hitting the bid in 1,000 lots and driving the price down but the bid keeps coming back at the same price because the trader has placed an iceberg for 10,000 lots. These are where the real games are played in trading.  ;)

Title: Re: How to identify frequently traded shares
Post by: mark.saved.duplessis on January 10, 2014, 06:27:52 am
Hi all...share trading is very foreign to me so I am trying to wrap my head around this...and with all the to and fro about trying to make the playing field more level here its even more confusing. I get that the difference in real time with the JSE can enable guys to cheat - thus why my colleagues and I who are playing don't look there - otherwise what's the point right. But what I don't understand is the issue of frequently traded shares?

Please explain it in easy English for me :)
Title: Re: How to identify frequently traded shares
Post by: MrMafia on January 10, 2014, 08:24:11 am
My thoughts on the infrequently traded shares...

While they make it easy for someone to exploit the system on this site by keeping a watchful eye on live data I think there is no need to also eliminate infrequently traded shares.  Perhaps bring the "live" trading back and instead disable the selling feature for 24 hours after buying?  Some of those shares eliminated are still attractive long term despite being "infrequent". 

The problem is most of the beginners AFAIK also use other free online resources that are also delayed.  So my trade would in effect be 30 minutes late here which means if I read a breaking story I can't capitalize on it and at the end of the year I could potentially be 4% down.  (I lost 4% yesterday on Advtech because of the pending rule, I was 14th place on leaderboard before it took me back)

I haven't bought shares before so I don't know if there is any delay in real terms.  If so then you can still leave the pending feature enabled to simulate this...in which case I'm not too heart sore about my 4% loss :P

But in any event maybe a 24 hour selling disable after purchase is the way to go? 
Title: Re: How to identify frequently traded shares
Post by: MrMafia on January 10, 2014, 10:06:14 am
Or another suggestion.  Put the trading back to normal but make the selling 15 minutes delayed.  Problem solved?
Title: Re: How to identify frequently traded shares
Post by: mark.saved.duplessis on January 10, 2014, 10:19:03 am
Bring back the shares people already have...level the playing field. I also have a share that is not available anymore and is doing well...
Title: Re: How to identify frequently traded shares
Post by: Orca on January 10, 2014, 11:01:13 am
Hi all...share trading is very foreign to me so I am trying to wrap my head around this...and with all the to and fro about trying to make the playing field more level here its even more confusing. I get that the difference in real time with the JSE can enable guys to cheat - thus why my colleagues and I who are playing don't look there - otherwise what's the point right. But what I don't understand is the issue of frequently traded shares?

Please explain it in easy English for me :)

Shares that are not traded frequently enough cannot be bought or sold at the given price as the spread is too high and the volumes too low.
Spread is the difference between the next offer and next bid price. A stock with a price of 10c will have a seller offering to sell at 15c. This is 50% higher and the volume is also normally low.
In reality you could never buy at the quoted price. You would have to buy at 15c or place an offer at 10c and wait for weeks to get your large volume bought up.
Title: Re: How to identify frequently traded shares
Post by: mark.saved.duplessis on January 10, 2014, 11:16:18 am
OK - understood.

Is this why Oando, Central Rand Gold, Keaton etc. has been removed?
Title: Re: How to identify frequently traded shares
Post by: MrMafia on January 10, 2014, 11:19:02 am
Surely then shares in a stock can suddenly become frequently traded should something in the market change?  Wouldn't that make administration on this site a bit difficult?  Perhaps rather then impose a small penalty on buying price based on a stocks average volume?   :)
Title: Re: How to identify frequently traded shares
Post by: Bundu on January 10, 2014, 11:31:19 am
Surely then shares in a stock can suddenly become frequently traded should something in the market change?  Wouldn't that make administration on this site a bit difficult?  Perhaps rather then impose a small penalty on buying price based on a stocks average volume?   :)

if you wanted to sell say 30 000 CRD now, what should your income be?
Title: Re: How to identify frequently traded shares
Post by: MrMafia on January 10, 2014, 11:45:43 am
I assume R96000-00 if an offer of R3,20 a share is taken?
Title: Re: How to identify frequently traded shares
Post by: Bundu on January 10, 2014, 11:56:49 am
I assume R96000-00 if an offer of R3,20 a share is taken?

nope, the highest buyer is only offering 1000 shares at R1.90
Title: Re: How to identify frequently traded shares
Post by: MrMafia on January 10, 2014, 11:58:57 am
But if you put up an offer of R3,20 and someone sees it isn't there a chance a buyer would come in and bid on that?  Or isn't that how it works?
Title: Re: How to identify frequently traded shares
Post by: Bundu on January 10, 2014, 12:46:00 pm
not likely.... why would he offer 68% more than the present highest bid?
Title: Re: How to identify frequently traded shares
Post by: MrMafia on January 10, 2014, 01:16:50 pm
A bid of R1-90 seems highly unrealistic/opportunistic as the stock is currently sitting at R3-22.  I'm guessing updated figures will show the stock is a little over-valued but surely nowhere under R3-00.  Well that is my very amatuer analysis for the day ;D

What intrigues me is the large difference between bids and offers.  I can only assume bids can carry over for days/months and those could be outdated?  That would maybe mean there is just very little demand at the moment. 
Title: Re: How to identify frequently traded shares
Post by: Bundu on January 10, 2014, 02:04:11 pm
the last traded price sometimes means nothing, especially if the volume is very low, as in only one or a couple of shares traded

the bottom-line is, that a share is only 'worth' what the highest bidder is prepared to pay - illiquid and seldom traded shares often have large gaps between bid and offer
Title: Re: How to identify frequently traded shares
Post by: Bevan on January 10, 2014, 03:15:49 pm
Some terminology...... A buyer "bids" to buy, a seller "offers" to sell. Very different to buying a house where a buyer makes an offer....

When executing a seller "hits the bid" as in a hammer going down and a buyer "lifts the offer". From floor trading days when a trader shouted "mine" he was buying and when you shout "yours" you are selling.

Trading is all about the bid / offer spread and the stack. Goldmans stole a lead on all other banks trading systems by offering a volume weighted traded price execution mechanism which gave traders key insight into the most popular trading levels. This is important to know, especially when you are "fishing for stops" i.e. pushing the market down and hoping that long-only traders get stopped out and push it down further, typically because you want to get in at a lower price.

P.S. I really think by having the delay and eliminating penny stocks that the system is robust enough i.e. the bid offer spread on stocks trading above R1 can't be that significant to affect performance......
Title: Re: How to identify frequently traded shares
Post by: Patrick on February 03, 2014, 07:51:14 am
I've had a request for to add Italtile to the list of available shares. Anyone have any info on trade frequency and price variations for it? Any thoughts?
Title: Re: How to identify frequently traded shares
Post by: Aragorn on February 03, 2014, 08:55:40 am
I've had a request for to add Italtile to the list of available shares. Anyone have any info on trade frequency and price variations for it? Any thoughts?
Hi Patrick
Not much on the Bid and Offer list this morning (5 bids, 3 offers) -
Bid & Offer : ITLTILE(Live)
As at 03 Feb 2014 08:08
 Bids to Buy Offers to Sell
# Ord Volume Price(c) Price(c) Volume Ord
1 2 100 150 735 770 100 000 1
2 2 16 064 634 800 1 100 2
3    900 4 846 1
4       
5     

Last 30 trades - may point the way. Fair volume at 760 mark.

Last 30 trades : ITLTILE
# Traded time Quantity Price (c) Value (R)
1 31 Jan 2014 12:20 8 604 760 65 390
2 31 Jan 2014 12:16 20 000 760 152 000
3 31 Jan 2014 12:16 20 000 760 152 000
4 31 Jan 2014 12:16 20 000 760 152 000
5 31 Jan 2014 12:16 20 000 760 152 000
6 31 Jan 2014 12:16 20 000 760 152 000
7 31 Jan 2014 12:16 20 000 760 152 000
8 31 Jan 2014 12:16 5 000 760 38 000
9 30 Jan 2014 11:13 6 680 760 50 768
10 29 Jan 2014 16:15 1 630 760 12 388
11 29 Jan 2014 14:34 588 770 4 528
12 29 Jan 2014 10:26 5 050 760 38 380
13 27 Jan 2014 14:55 1 630 760 12 388
14 27 Jan 2014 09:54 4 900 765 37 485
15 24 Jan 2014 16:30 3 000 770 23 100
16 24 Jan 2014 16:30 6 000 770 46 200
17 24 Jan 2014 14:32 700 761 5 327
18 24 Jan 2014 12:50 4 500 760 34 200
19 24 Jan 2014 12:24 13 500 760 102 600
20 24 Jan 2014 12:24 1 500 760 11 400
21 21 Jan 2014 09:08 378 760 2 873
22 21 Jan 2014 09:07 5 000 760 38 000
23 21 Jan 2014 09:07 5 000 760 38 000
24 21 Jan 2014 09:07 5 000 760 38 000
25 21 Jan 2014 09:07 5 000 760 38 000
26 21 Jan 2014 09:07 5 000 760 38 000
27 21 Jan 2014 09:07 5 000 760 38 000
28 21 Jan 2014 09:07 5 000 760 38 000
29 21 Jan 2014 09:07 5 000 760 38 000
30 21 Jan 2014 09:07 5 000 760 38 000
Title: Re: How to identify frequently traded shares
Post by: Patrick on February 03, 2014, 09:18:00 am
Thanks Aragorn, seems reasonable enough to me, ABSA shows a 2.5% spread, I'd say we add it. Any more comments from the rest of the players?
Title: Re: How to identify frequently traded shares
Post by: gcr on February 03, 2014, 11:32:58 am
Thanks Aragorn, seems reasonable enough to me, ABSA shows a 2.5% spread, I'd say we add it. Any more comments from the rest of the players?
ITE does not seem to be a high traded counter and does move sometimes quite a bit 40 cents at a time. The shares are tightly held by the Ravazzotti clan. I bought these shares over 3 years ago and they pay reasonable dividends. It seems that the price over the last 12 months has had a low of R 5.50 and a high of R 8.00 but it does hover around the R 7.60 price for long periods. As a counter I think it should be in the competition, but as a stellar performer I think you may well have to look elsewhere
Title: Re: How to identify frequently traded shares
Post by: Bundu on February 03, 2014, 01:09:36 pm
I would not add ITE - none traded today so far and quite big swings in price
see attached
Title: Re: How to identify frequently traded shares
Post by: gcr on February 03, 2014, 02:02:52 pm
I would not add ITE - none traded today so far and quite big swings in price
see attached
I can't agree with you on this - this competition is all about investing and if the company can have a swing of between R 5.50 to say R 8.00 over a 12 month period then surely that change could be meaningful in such a competition - we should not exclude such shares from the competition. In my private portfolio I bought Poynting Holdings at R0.82 cents 2 years ago and today they are trading at R 2.70 - Poynting I think is also excluded from shares one can buy though why I have no idea
Title: Re: How to identify frequently traded shares
Post by: Bundu on February 03, 2014, 02:10:47 pm
I would not add ITE - none traded today so far and quite big swings in price
see attached
I can't agree with you on this - this competition is all about investing and if the company can have a swing of between R 5.50 to say R 8.00 over a 12 month period then surely that change could be meaningful in such a competition - we should not exclude such shares from the competition. In my private portfolio I bought Poynting Holdings at R0.82 cents 2 years ago and today they are trading at R 2.70 - Poynting I think is also excluded from shares one can buy though why I have no idea

we normally have a 'budget' of R100k and in the past 136 days, ITE has only traded more than R100k on 51 days - not what I would call a liquid share
Title: Re: How to identify frequently traded shares
Post by: Patrick on February 05, 2014, 08:55:18 am
Another proposal, how about we allow investing in companies like ITE, but not trading, ie no sell option for ITE?
Title: Re: How to identify frequently traded shares
Post by: gcr on February 05, 2014, 10:06:17 am
Another proposal, how about we allow investing in companies like ITE, but not trading, ie no sell option for ITE?
Patrick - I would support you proposal. I don't know of a trader in his right mind that would want to trade ITE as volumes are low and price movements are normally gradual. Another suggestion is that you limit buy and sell orders against that days volumes for the day - if you buy/sell volumes greater than those traded for the day then you will only have your order executed up to the volumes traded and at the price that the shares traded at not your order price
Just my views
Title: Re: How to identify frequently traded shares
Post by: Patrick on February 05, 2014, 10:15:19 am
Another suggestion is that you limit buy and sell orders against that days volumes for the day - if you buy/sell volumes greater than those traded for the day then you will only have your order executed up to the volumes traded and at the price that the shares traded at not your order price
Just my views

Sadly that's impossible with the data I can pull automatically...
Title: Re: How to identify frequently traded shares
Post by: Aragorn on February 05, 2014, 12:42:57 pm
So Patrick, what you are proposing is that we provide for the opportunity to buy shares on infrequently traded shares, but not allow for the ability to sell them (i.e. to prevent actual trading). I guess it's fine by me, but now you'll have the investors saying that if I bought them, I should have the right to sell them in 6 months time for xxxx reason (not trading related).