Let's learn/discuss how to read the DOM and Time and Sales

Quote from Paddler:

Don't you 'retire' from ET?

The total 5's on each side do not tell anything. What the heck does last paragraph mean? :D :D :D
More...

wow, I guess people just trade without having an understanding of what they trade at all.... interesting... not sure if you were being serious or joking around...

in any event, only the first 5 levels of the book are of true value, anything else further away from those levels are merely manipulation a la paul rotter... personally, depending on the market of course, i pay more attention to the first 3 levels on either side... those can be swept...
 
Quote from ofthomas:

...
in any event, only the first 5 levels of the book are of true value, anything else further away from those levels are merely manipulation a la paul rotter... personally, depending on the market of course, i pay more attention to the first 3 levels on either side... those can be swept...
More...

Yep, only the closest levels really matter. And the only way to properly analyze them is to develop source code. NinjaTrader has very good methods to analyze this data.

However, I see large size trades all the time that appear in T&S, but do not affect DOM at all. Kinda puzzling, was not able to find an answer for them. I trade KOSPI 200 futures (S&P equivalent in South Korea).
 
Quote from RedDuke:

Yep, only the closest levels really matter. And the only way to properly analyze them is to develop source code. NinjaTrader has very good methods to analyze this data.
More...

I have access to OneTick CEP, so to me is a simple query... but also, I can code within CQG what I need and use their Pretrade analytics... other than that, Tradestation 9 has an object for the OB ... but I've never used it... first time i hear that NT7 has an object for it... the other alternative that I know is out there comes from sceeto... but you are now taking the developers opinions of DOM/TS interpretation, which are not crazy btw... they are really good, but coding is not my forte... (sad, I know... considering I am in the IT world..)
 
Quote from RedDuke:



However, I see large size trades all the time that appear in T&S, but do not affect DOM at all. Kinda puzzling, was not able to find an answer for them. I trade KOSPI 200 futures (S&P equivalent in South Korea).
More...

my experience, that is usually an indication of an iceberg... you will see price "stuck".. and huge flow on the T&S until either the iceberg is exhausted or there is no more buy/sell into it... where it gets interesting is when the market visits that price again and if the iceberg is still there..
 
90% of all orders on the ES E-mini book are not executed.

You are wasting your time.

Big orders of 1000's of contracts are been cut up in 1 and 2, 3 lots, automated, combined with market and limit orders.

Maybe in 1995, but welcome in 2013.
 
Quote from RedDuke:


However, I see large size trades all the time that appear in T&S, but do not affect DOM at all. Kinda puzzling, was not able to find an answer for them. I trade KOSPI 200 futures (S&P equivalent in South Korea).
More...

Wow, KOSPI futures in the current fundamental environment... are they volatile (I know they are very liquid, but never watched them somehow)?
 
Quote from ofthomas:

in any event, only the first 5 levels of the book are of true value, anything else further away from those levels are merely manipulation a la paul rotter... personally, depending on the market of course, i pay more attention to the first 3 levels on either side... those can be swept...
More...

The DOM on OEC displays the first 10 on either side and then 8-12 more on either side in much smaller numbers. Do people wait until price is within 10 ticks of the current price to put in their big orders?

Should I try to find a way to only show the first 3-5 levels on either side of the current price rather than the 10+ OEC shows?

attachment.php


What do you mean by "swept"?
 
Quote from RedDuke:

Yep, only the closest levels really matter. And the only way to properly analyze them is to develop source code. NinjaTrader has very good methods to analyze this data.
More...

Do you have an example of now NinjaTrader can analyze this data?
 
Quote from ofthomas:

my experience, that is usually an indication of an iceberg... you will see price "stuck".. and huge flow on the T&S until either the iceberg is exhausted or there is no more buy/sell into it... where it gets interesting is when the market visits that price again and if the iceberg is still there..
More...

What I see is actually is not iceberg. It looks like an underwater portion of it, if we use this allegory.

Imagine, 120 at bid and 150 at ask. Then tape prints 230 executed at bid, yet the bid level stays the same and size on that level is also pretty much the same. These trades have no overall effect on price moves, at least I could not see any.

Still curious where they come from.
 
Quote from cornix:

Wow, KOSPI futures in the current fundamental environment... are they volatile (I know they are very liquid, but never watched them somehow)?
More...

It is a phenomenal contract to trade. It is liquid, volatile and has a high tick value ( approximately $22 or 25,000 krw).

To give you an idea, 20 tick range is a very slow day. It is usually between 40 and 60 ticks.

Currently opens at 8pm eastern time.
 
You must log in or register to reply here.
Back
Top