Dunno, there's plenty of size traded in NQ, and they're obviously hedging. And it's fun to watch the shitty fills they get. Thanks for your opinion. Trade well!
DOM ACV and bid/ask WALL used tgether
- Thread starter RedDuke
- Start date
The need for T&S is to be able to analyze if the wall was truly breached by trades or was the wall just pulled off. That is why we need not just last trade, but last 10/20 or so trades. In the first case, the momentum is there, in the second it could be a trap.
One way to achieve it is to store the trades in my own array, but I would rather use the function of application.
It took me a while to figure out how to access DOM in real time when anything changes there, and not when just the trade takes place. Ninja does not provide support for this feature, but it is there. Same I believe with T@S. I will ask them again.
Hi RedDuke... i appreciate this thread... interesting topic for observation...
ACV on the DOM was actually discussed and introduced by Scientist way back in 04' - especially the 2:1 or greater ratio and its effect on price moves...
thanks...
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By algorithmic I was thinking of something that would get away from eyeballing and its problems. If you have dom changes, you also have volume and last price ticks in your data feed. Sort of makes t&s superfluous, no? What I am trying to say is that with volume and last price data you could do anything that can be done by looking at t&s -- if you wanted you could even generate t&s from your data feed.
ButtonTrader directly supports this ACV feature and has the totals at both ends and even has the features to set alarm alerts per ratio criteria... 2:1, 3:1, 4:1, etc...
i am not involved with ButtonTrader and am not using it at this time...
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The total volume is not the point in any particular product ...it is how the PLAYERS that make up the total Bid/Ask over 5 levels manage and manipulate price zones (with what ever strategies they are using). You have to remember that a lot of hedge funds started to trade the ER2 which has changed the make up of the group that all trade the ER2.
**Side note - I think VSTscalper has his ACV on a NT DOM.
It's true. The snapshot you see may be different from the snapshot your neighbor sees, but if "acv" and "wall" are generally useful it _may_ not matter; nonetheless, it is an open question. BTW, GLOBEX (cme) aggregates the data they generate, too, so that is also a consideration.Quote from TradEStar:
But IB uses snapshot data...could this MESS with a proper Bid/Ask ratio reading???