Depth of ES Market

LizardHead1 · Nov 22, 2002

I have been watching the Market Depth on the ES for a while now, and am thoroughly confused. My intentions were to use it as a tool to better time short term scalps/swings (5-20 min in trade, 1.5-3 pt profit target). However, my instincts on supply/demand are often proven wrong. Has anyone had any success reading the ES market depth? Do the rules/strategies for Level II apply to the ES? Are there any hidden traps? Maybe I shouldn't even open that window on TWS!

RAY · Nov 23, 2002

ES is a derivative, the arb. guys (eventually anyone) will take out size like a laser through butter. (some small exceptions)

Quah · Nov 23, 2002

Depth of market on the ES (and NQ for that matter) is useless, IMO. Orders are placed and pulled all the time - what you see is hardly ever what you get.

PuffyGums · Nov 23, 2002

Look at the bid ask size alone. Only that is legitimate. If you want to trade your order has to show up there.

Look at the rate in which bids are being added/ taken away in T&S.

A market depth of the second level (one behind the best bid) may have some validity, esp for manual traders who sometime place limit orders there.

All other market depth levels are total BS, ignore them.

nitro · Nov 23, 2002

Quote from PuffyGums:

Look at the bid ask size alone. Only that is legitimate. If you want to trade your order has to show up there.

Look at the rate in which bids are being added/ taken away in T&S.

A market depth of the second level (one behind the best bid) may have some validity, esp for manual traders who sometime place limit orders there.

All other market depth levels are total BS, ignore them.

I turn off the size on bid/ask fields - that shit moves so fast it drives me crazy.

I couldn't give a shit who is on the bid, or how much size is on the ask. When the spoos decide to move, the momentum is UNSTOPABLE regardless of size.

nitro

stock777 · Nov 24, 2002

All the bids and asks are real.

But they are valid only for the few seconds they are live.

There is no such thing as a 'fake' b/a anywhere on Globex, or an ECN

Sarasota · Nov 24, 2002

Quote from LizardHead1:

I have been watching the Market Depth on the ES for a while now, and am thoroughly confused. My intentions were to use it as a tool to better time short term scalps/swings (5-20 min in trade, 1.5-3 pt profit target). However, my instincts on supply/demand are often proven wrong. Has anyone had any success reading the ES market depth? Do the rules/strategies for Level II apply to the ES? Are there any hidden traps? Maybe I shouldn't even open that window on TWS!

1.5 target profit? What will you be using as a stop? Does it calculate to be a favorable reward vs. risk ratio?

Never understood you scalpers out there........

gnome · Nov 24, 2002

Any of you guys successful at scalping it? I don't try, but it seems to me the prices move around within about .75 so quickly, you can't move consistantly fast enough to ensure a good fill and therefore limit losses on scalp-size trading plays. That how you see it?

buzzy2 · Nov 24, 2002

Quote from stock777:

All the bids and asks are real.
But they are valid only for the few seconds they are live.
There is no such thing as a 'fake' b/a anywhere on Globex, or an ECN

They are real but possibly misleading. Sometimes I observe the following: price is moving sluggishly but it looks like it's moving up, say. Then suddenly big sell limits worth thousands of contracts appear on the ES 3/4 ticks above the best ask. So you sell because somebody big is trying to sell, right? wrong!, price keeps going up and 1 tick below those levels the big orders are quickly pulled. Somebody (metoox?) was trying to make you sell. But sometimes those big orders are legit and they stay put until they are filled, so you cannot use them as a contrarian indicator either. Depends on the situation, there are more 'fakes' when market is sluggish, otherwise they can backfire.

Sarasota · Nov 24, 2002

Quote from gnome:

Any of you guys successful at scalping it? I don't try, but it seems to me the prices move around within about .75 so quickly, you can't move consistantly fast enough to ensure a good fill and therefore limit losses on scalp-size trading plays. That how you see it?

exactly.......