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I don't know if y'all picked up on this: But Mr Larsen said that the system was so flawed that "any rational investor could have done what we did in the same open and transparent way." The court said that the transparency of their trades was one reason for their acquittal. I think Larsen was...

When I read the story, I didn't see anything the traders did that would clearly be market manipulation. Apparently the highest Norwegian court agreed, and the conviction was thrown out. http://gata.org/node/11316

One of the things that is unique about trading is that there is no prescribed course of study that will make you successful within a defined period of time. There are schools that make claims, but they don't deliver. If you enter medical school, you either wash out or become a doctor "on...

In your post, you didn't say what you will be trading, particularly whether stocks or futures. There are two people I know of who teach trading based on market depth: John Grady and Jack Broz. Both trade futures, mostly bond futures. I know less about what the prop firms are teaching and...

In the battle between conflicting values, some people are more bothered by violations of fairness, and some by violations of loyalty. CalVolibrator and others seem to be in the latter camp. Both fairness and loyalty are normal human values. Which is the more important is an entirely...

You could use adaptive moving averages. They reoptimize themselves continuously, so you never have to optimize again. You would then include the adaption process in your backtesting.

Trading ends three business days before the termination of trading in the underlying futures contract. http://www.cmegroup.com/trading/energy/crude-oil/light-sweet-crude_contractSpecs_options.html Trading ends at 1:30pm (Central) on the last day. Traders have until 3:30pm (Central) to enter...

Not everybody is cut out to be a trader, and even some who are, can find themselves short of capital. There may still be opportunities, if you have something to offer. You might have a look at http://www.collective2.com/ (I haven't used them). Or you might find some other way to sell signals...

Assuming you want consistency and predictability, you need to build a system to deliver that. Building such a system from scratch would seem very daunting. You might have a better outcome by learning an existing system, such as Goldman Sachs or Morgan Stanley, and then tweaking it to suit your...

Well, I posted late last night when I wasn't thinking clearly. Of course, stops getting triggered will add to buying pressure in an up-move. I guess what I was thinking of are limit-if-touched (LIT) orders to sell. But now I see that Globex offers Maximum Quantity Display (MaxShow) that will...

That's what I am trying to find out. There are a lot of folks, especially here at ET, who say that analysis of market depth is useless, especially with sampled or conflated data. I'm still not convinced. And I have no intention of buying an expensive data feed, nor of co-locating, to compete...

I was reading through some old related threads on ET, and that triggered a realization. I think what I overlooked is that the hidden size is probably coming from stops being elected. There could be new orders arriving, but more likely it is from stops. When a stop is elected, in most cases...

This is how I envision a crossing engine working. I'm not speaking with certainty here, only theorizing. An order can only be an entirely new order (buy or sell), a change order, or a cancellation. As it takes an order from the input queue, the exchange checks to see whether the order is...

I question whether the data as it comes from Globex has both trades and inside quotes in the same transaction. Do you know this for certain? I'm using IB's data. For quotes, I get a separate size update for each side, one per price level (0 through 9, with 0 being best). Most quotes merely...

I have been seeing this too, and I was assuming I am not seeing everything the matching engine has. @jelite: You didn't tell us what data feed you're using. My broker aggregates the data, but I understand Globex is also aggregating data before distributing it. I am guessing they have...

By situation hopeless, I meant specifically with regard to using retail tools to analyze the order book and tape. There are a lot of folks on ET and other traders' groups who say that retail software and data are crap, and there is nothing of value for a retail trader to be gleaned from...

I think IB's BookTrader is usable, though perhaps not the most elegant.

@hft: I understand as a retail trader I lack first-rate tools, and that puts me at a competitive disadvantage with hft companies that are smarter and better financed. Does that mean my situation is hopeless? I am reasonably bright and motivated with some programming skills. I see as my...

@gmst: Have you reached a conclusion: Is the data from IB wrong, or are you displaying it wrong? How are you displaying it?

The IB website lists by exchange which order types are native or simulated. I am pretty sure stop-limit is native on Globex, though are are conditions (i.e. price banding) that you need to understand.