Chinook, I've tried my darndest to figure out if there's any meaning to the market depth on CL and can't find many patterns. One pattern that appears to have a high probability of success is when you see considerable size (100-500 lots) parked at a price level. Price has a tendency to gravitate toward that size and breaks through it more often than not whether it's a spoof order (disappears at the last second) or not (the entire size gets eaten up at that price). Only rarely does price simply stop there and reverse. ADD: Usually when it does, it's near a major high/low.
The one thing I notice on those big lots, which I do think may be HFT generated, is if there's upward movement and they are near the inside bid and they're pulled, that's usually a sign of a reversal, although maybe not a huge one.
Chinook, I've tried my darndest to figure out if there's any meaning to the market depth on CL and can't find many patterns. One pattern that appears to have a high probability of success is when you see considerable size (100-500 lots) parked at a price level. Price has a tendency to gravitate toward that size and breaks through it more often than not whether it's a spoof order (disappears at the last second) or not (the entire size gets eaten up at that price). Only rarely does price simply stop there and reverse. ADD: Usually when it does, it's near a major high/low.
I pretty much gave up analyzing the market depth. If I had access to historical bid/asks on all 10 levels, I would have run some statistical analysis on them and see if there are any patterns pointing to major highs/lows. I don't have the data anyway.
The one thing I notice on those big lots, which I do think may be HFT generated, is if there's upward movement and they are near the inside bid and they're pulled, that's usually a sign of a reversal, although maybe not a huge one.
I don't think these big lots are HFT generated either. By the way, isn't illegal by the exchange rules to keep showing big size and pulling it off last second? You are not supposed to spoof the market?
I don't think these big lots are HFT generated either. By the way, isn't illegal by the exchange rules to keep showing big size and pulling it off last second? You are not supposed to spoof the market?
That's why I think they are HFT generated. My take is there's some algorithm that's deciding when to put these on and when to pull them. That's what it looks like to me.
I know. Although I did a quicky 10 tick short scalp a few minutes ago. Has quite a bit of support there @105.70 so far.