DAX scalping and leaning on size

Quote from Xavier Cougat:

Watch what happens when the ECB has it's press conference in an hour.
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Well, I'm watching, and attached is what I see. :p That 100+ lot offer at 85 has been sitting there for ages and price has been hitting a brick wall at 84.5. (Whoops, just spiked up to 92 and back down again as I type.) Anyway, what I noticed is illustrated by the chart - see how price bounced down from 84.5 multiple times? That's what I've never seen in the FTSE, and what made me wonder about whether this is tradable behaviour in FDAX.
 

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Quote from atavachron:

qazwsxedc, may I ask what platform allows you to export DOM data to excel?

Thanks.
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Any of the ones I mentioned above plus CQG, I believe.
 
Quote from Surfeur:

Hi atavachron,

The data FDAX / on Tradestation is valid ? not late or bad quotes ?

Regards.
Ludo.
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Hi Ludo,

that is a very good question - I have no way of checking these currently. Tradestation introduced EUREX data recently, so I am just having a look at the moment.

However, if you are into the high-frequency scalp-like-a-monkey(tm) thing, I wouldn't recommend Tradestation if you are using charts to do this - as at least on my computer the charts occasionaly freeze during rapid market moves whilst the Time & Sales and DOM are updated. :(

I'd like to write my own application but I am not aware of many data providers that provide a true (read: non-snapshot) view of the data and API access to the DOM. eSignal has issues, and DTN IQ does not currently provide DOM data via an API (as far as I can tell from their forums). But I digress...


Cheers, atavachron.
 
Have a look at http://www.opentick.com

US markets only. I havn't tried L2 streaming yet, but L1 for stocks seems to be fairly reliable now. I havn't tried futures yet.

The API also supports historical book data, but I havn't tried that either.

Very cheap (exchange fees only)


Quote from atavachron:

Hi Ludo,

that is a very good question - I have no way of checking these currently. Tradestation introduced EUREX data recently, so I am just having a look at the moment.

However, if you are into the high-frequency scalp-like-a-monkey(tm) thing, I wouldn't recommend Tradestation if you are using charts to do this - as at least on my computer the charts occasionaly freeze during rapid market moves whilst the Time & Sales and DOM are updated. :(

I'd like to write my own application but I am not aware of many data providers that provide a true (read: non-snapshot) view of the data and API access to the DOM. eSignal has issues, and DTN IQ does not currently provide DOM data via an API (as far as I can tell from their forums). But I digress...


Cheers, atavachron.
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qazwsxedc,

Did you see the 270 lot at 6700 in the DAX? It chewed right thru it without barely blinking. The DAX is one wicked animal. Be very careful.

Good Luck and Good Trading
 
Quote from Xavier Cougat:

qazwsxedc,

Did you see the 270 lot at 6700 in the DAX? It chewed right thru it without barely blinking. The DAX is one wicked animal. Be very careful.

Good Luck and Good Trading
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Very true. I've seen 500 lot at the inside ask on the DAX (fairly unusual in itself) get taken out in the blink of an eye on a news event.
 
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