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Not too hard. Mak's PRV spreadsheet has the code you need to create rising/falling bars using cells. IB provides a sample spreadsheet with a DOM that uses DDE links to their datafeed. So with a bit of work you could combine these two and create what you want.

I pretty sure he is referring to a "price ladder". See http://www.buttontrader.com/ yes See attached image of tradestation's Level-2 window. Contracts at each depth level are displayed graphically as stalactites. Notice the "wall" on the ask.

Hey Mak, thanks for the additional info. It is interesting but actually confuses things a bit for me. It seems to contradict the link I posted, which was quite explicit about how globex handles emini mkt orders. I'll see if I can find further clarification.

The link I posted is specifically about the emini contracts traded on CME Globex. The page you linked to is referring to the YM, traded on ECBOT, which likely has different rules for filling orders.

P1, you may find this enlightening... q25 How are E-mini market orders handled on GLOBEX? a25 The GLOBEX trading host will convert all orders it receives without a specific price to limit orders: buy orders will become limit orders at the best offered price, sell orders will become limit...

Then you might like SciLab, an open source app that runs matlab code. http://www.scilab.org/

Here is the equivalent functionality for tradestation.

Moose, 2-pair and spike are terms Jack uses for sequences on the DOM. I think they are easier to visualize on a 1-tick range chart, see attached. A “pair” is a single bid-ask pair of prices. The 2-pair sequence occurs when price gyrates back and forth between two price pairs. The BO of...

http://www.elitetrader.com/vb/showthread.php?postid=1192171#post1192171

I've seen this come through on T&S, but I've never been clear on how this is possible. Take ES and assume a gap in the spread: 1270.0 x 1270.5. How is it possible that I execute in between the B/A at 1270.25? If I enter a buy market I get filled at the ask. If I enter a buy limit...

This has little relevance to retail traders but some may find it interesting to see what MSFT is pushing to the big guys... Microsoft Showcases Modeling and Trading Platform of the Future Linking Excel Services with Windows Compute Cluster Server 2003, Microsoft demonstrates how to turn...

I tried it and rolled-back too. I strongly recommend NOT installing this beta on your trading machine... it caused numerous system slow-downs and crashes on the computer I ran it on (Outlook had the most problems, followed by excel). At first glance the apps have a crisp new look to them, but...

Jack, I've read the LevII posts you are referring to and found them very enlightening, thank you. What do you mean here by "filtering"? I'd appreciate if you could give an explanation as it is a broad term to google and Larry Harris doesn't have it in his index. Thanks

Nine hours til the market opens... I'll see how far I can get with it

yes... unless someone hits the bid at the last second for 300+ contracts :cool: very nice illustration... I can see that this far better than watching the numbers on the DOM grid, which I often do. I'll make another pass through sexy with this in mind. I've just got a new weekend project...

Mak, how about an early look at the new tool? Your PRV & Squ/Str tools are VAST improvements over what I had been using to monitor those values and they have become an integral part of my monitoring. But prior to their release I at least had something to monitor the values and I could...

Mak you're always two steps ahead. Thanks for the dde links, I wasn't aware iqfeed had these fields available. This afternoon I cross-referenced the symbols between IQ and idxarb and noticed the issues you describe. I plan to monitor the values and make a manual FV adjustment as they change...

I've setup a realtime calc of FV to see how it compares through the day to the daily indexarb value. For the interest rate I'm taking the front two eurodollar rates and averaging the two, which seems to get me very close to the indexarb FV at the start of the day. But the one element of the...

note Bernanke speaks today... http://online.barrons.com/public/page/barrons_econoday.html

For any of you using camtasia to record portions of your trading day, here is a doc showing the settings I use. These settings versus the defaults decreased my file size for a six hour recording from ~800mb down to ~150mb. I arrived at these by trial and error... if anybody has improvements on...