Market Depth patterns
- Thread starter rhay
- Start date
Quote from ozzy:
I scalp and I'm not ashamed.
If I had the right set-up (fee structure) a majority of my day would be spent scalping. Hopefully in the future when I get things in order.
I can only take what the market will offer. Today was mostly one of those take your tick and be happy days in the DAX. I don't mind it at all. While one person waits for prices to go from 51.5 to 58.0 in the next 3 hours. Another person might get 5 times the points out of it by scalping for ticks. This, of course, is highly dependent on your fee structure. When you are trading products at the lowest available cost, then scalping for ticks is a feasible and lower risk strategy.
Quotetracker, as of today, now has the same ability. To use it properly with DOM, you can pull up a RANGE BAR CHART with the range increment set to the spread (ie. .25 for ES, .1 for big SP, etc...). Then select the volume indicator and select the pressure bar indicator. As a result, you wind up having TOTAL historical DOM from the demand side of the equation. Open up your trading chart alongside it to stay on your trading interval. Basically, keep the DOM/RANGE CHART for fine decision/confirmation. The only item that isn't charted is the supply sizes (bid size, ask size). Of course, you can just pull up Level 2 for that and fortunately, Quotetracker also provides that... You can check the correlation between bar to bar migrations and pressure sticks and find that they are better than 90% accuracy...
MAK...
market delta would be cheaper probably, does the same and you can get a free trial over the web
http://www.marketdelta.com/
I wanted to bump this thread because I found it very useful. Does anyone know of any other resources or papers that cover similar topics as the four papers posted by a previous poster?
Specifically, I'm looking for info on the mechanics of how orders are matched up in futures markets. Any detailed information about working orders, market orders, cancelled orders, time and sales,or anything technical that could give me a better feel for how orders are matched and thus how the tape moves.
Specifically, I'm looking for info on the mechanics of how orders are matched up in futures markets. Any detailed information about working orders, market orders, cancelled orders, time and sales,or anything technical that could give me a better feel for how orders are matched and thus how the tape moves.