market depth as indicator?

M

mattyg1884

Does anybody use market depth as an indicator? When I say market depth, I mean the likes of what you see on Currenex where it shows the size of various bids and offers. Just wondering if it has any uses beyond the obvious.
 
Quote from mattyg1884:
Does anybody use market depth as an indicator?
More...
Do a Google search on the terms:

"PLAT order book imbalance"

PLAT stands for Penn-Lehman Automated Trading contest.

There has been a good deal of research done on SOBI,
or Static Order Book Imbalance models. Less research
on DOBI (dynamic) models.


.
 
Quote from Kevin Schmit:

Do a Google search on the terms:

"PLAT order book imbalance"

PLAT stands for Penn-Lehman Automated Trading contest.

There has been a good deal of research done on SOBI,
or Static Order Book Imbalance models. Less research
on DOBI (dynamic) models.


.
More...
that's just the kind of info that i was looking for. thank you.
 
Quote from mattyg1884:

that's just the kind of info that i was looking for. thank you.
More...

Also, if you can disassemble the order book, you can see the price skew by source which will help scrub out random one sided rates that are sometime bogus "spoofs".

Don't always buy the depth of book at face value by itself. Also, look to disqualify any far outlying orders that are static. They add more noise that assistance.

Happy Hunting
 
You must log in or register to reply here.
Back
Top