Market Delta by bolter
- Thread starter bolter
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You got me interested in the VWAP so i am collecting it for the SPX and charting against the SPX Last...
cj...
HAVE STOP <img src=http://www.enflow.com/p.gif> WILL TRADE
Would be interesting to know if anybody has done a comparison of market delta on this contract as compared to SGXNK. More volume suggests it might be better, but one never knows.
It seems it is one fifth the size of SGXNK, so could be a bit expensive to trade.
Given the size, it might be the place where very small retail traders play. Again, this may or may not be interesting.
Just to prove that nothing works all the time, the order book delta fails miserably on this mornings K200.
However, it seems there is a reason. 179.95 is around about yesterday's high. Size moved heavily onto the bid in the book in anticipation of a pullback from this level. A pullback that never happended. The red line where price is clustering is R1.
10 tick chart from IB feed.
However, it seems there is a reason. 179.95 is around about yesterday's high. Size moved heavily onto the bid in the book in anticipation of a pullback from this level. A pullback that never happended. The red line where price is clustering is R1.
10 tick chart from IB feed.
bolter thanks for starting a great thread.
dcraig i love your work. i'm new to MD my self but would like to get your impression on an idea in relation to Order Book Delta.
from your last image of the K200 it appears to me that the market moved up one bar before the order book moved down. p'haps i could assume that successive asks were quickly removed by a bunch of marketable orders. making me wonder how widely spread the asks were.
consequently what do you think might be the value of measuring the Order Book Spread at the middle. for example accumulate volume from the inside, outwards. then take the price at the median volume. Median Bid By Volume / Median Ask By Volume, would tell us which side is more widely spread in price vs volume.
so i'm sudgesting that it might not just be about price moving towards volume, but more specifically it could be that price moves towards the wider spread of volume, and that much of the time the wider spread will hold more volume, but not always, as in your example.
dcraig i love your work. i'm new to MD my self but would like to get your impression on an idea in relation to Order Book Delta.
from your last image of the K200 it appears to me that the market moved up one bar before the order book moved down. p'haps i could assume that successive asks were quickly removed by a bunch of marketable orders. making me wonder how widely spread the asks were.
consequently what do you think might be the value of measuring the Order Book Spread at the middle. for example accumulate volume from the inside, outwards. then take the price at the median volume. Median Bid By Volume / Median Ask By Volume, would tell us which side is more widely spread in price vs volume.
so i'm sudgesting that it might not just be about price moving towards volume, but more specifically it could be that price moves towards the wider spread of volume, and that much of the time the wider spread will hold more volume, but not always, as in your example.
Hi toe,
Thanks very much for the comment and contribution. I was hoping that somebody would either point out that I'm talking rubbish or preferably take this discussion a little further.
I understand what you are getting at and your formula seems a reasonable way of measuring it. I will try to code it up this weekend and will post anything interesting. I've got a couple of other little programming tasks to do as well, so they may not all get done. We'll see.
In general, I don't believe that most of the movement of size in the book is due to fills depleting the book. You can often see a big change in the book on a bar with very low volume - perhaps just 1 contract lots being traded. I should have posted charts with volume bars, where this can be observed.
Thanks very much for the comment and contribution. I was hoping that somebody would either point out that I'm talking rubbish or preferably take this discussion a little further.
I understand what you are getting at and your formula seems a reasonable way of measuring it. I will try to code it up this weekend and will post anything interesting. I've got a couple of other little programming tasks to do as well, so they may not all get done. We'll see.
In general, I don't believe that most of the movement of size in the book is due to fills depleting the book. You can often see a big change in the book on a bar with very low volume - perhaps just 1 contract lots being traded. I should have posted charts with volume bars, where this can be observed.
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