It would seem with spoofing or otherwise, or the fact that at any moment either side could get taken out faster than you can blink, there's no real way to get useful information from this. It may seem like one side may be weaker, but the edge in that is not perceptible for humans, I'd think.
Is watching Time and Sales useful at all?
- Thread starter CyJackX
- Start date
You're right, I conflated the DOM with T&S, but I guess my concerns are really with either. They are both involved with volume, but on short timeframes, there is no truly consistent volume.
I don't consider open orders on the order book to be volume. I like to consider that as simply order size, but I never really pay attention to it as they don't change exposure to a given product. I looked at bid / ask many years ago (Market Delta), but couldn't find it predictive of price. Price can move up on very little volume (executed trades) as open orders are cancelled, the order book will offer little resistance. I thought about making an indicator that combines option put / call volume with underlying volume in order to determine a more clear picture of exposure to a given product, but haven't gotten around to that. Understanding the change in total (derivative volume + underlying) exposure might be predictive of price.
I find it useful for the following reasons:
1) How active is the market
2) How close are the actual prices versus the mark price versus the bid/ask
3) To see why my bid is not being accepted (i.e, I bid 0.02 and it was 0.02 but just ticked up to 0.03 and only two other bids got accepted at 0.02 before ticking up so I must be in a queue somewhere).
4) To realize the market is open (flurry of sales versus trickle before market opens)
1) How active is the market
2) How close are the actual prices versus the mark price versus the bid/ask
3) To see why my bid is not being accepted (i.e, I bid 0.02 and it was 0.02 but just ticked up to 0.03 and only two other bids got accepted at 0.02 before ticking up so I must be in a queue somewhere).
4) To realize the market is open (flurry of sales versus trickle before market opens)
Technically I did not use Market Delta, but I tried to make my own indicator in an attempt to reverse engineer it. I basically plotted 2 horizontal volume bars at each price level where trading took place. I also color coded the two bars to designate how many trades took place at the bid (red) or ask (blue). It looked similar to this, but each box contained two bars:
I didn't find it to be very helpful though because more trades occurred at the bid as price was going down and more trades occurred at the ask as price was going up. So it mirrored price movement rather than predicted it. From there my studies turned toward market profile.