It isn't a question of bid/ask ratio. It's a little more advanced than just that. Studies have been made with the help of statistical physics. I can post a link to some interesting articles if you feel like, but be aware that you need a certain knowledge in maths/physics (more than in finance) to understand these articles.
Market Depth patterns
- Thread starter rhay
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It isn't a question of bid/ask ratio. It's a little more advanced than just that. Studies have been made with the help of statistical physics. I can post a link to some interesting articles if you feel like, but be aware that you need a certain knowledge in maths/physics (more than in finance) to understand these articles.
The number I gave you is a rough range for all types of trades. In a thin and/or quiet market, I will take what I can get at one price and hold for a while (couple of minutes at most).
Please provide any info you can. Qtip is a smart guy.....
What you think isn't important, namely cancellation of orders, IS important.
Some interesting papers on the topic....
http://xxx.sissa.it/abs/cond-mat/0206280
http://xxx.sissa.it/abs/cond-mat/0210475
http://xxx.sissa.it/abs/cond-mat/0203511
http://xxx.sissa.it/abs/cond-mat/0307332
Printing them now. Thanks.
i like hearing everyones thoughts on this. i have been watching mkt depth and i have trouble finding it useful, although i would love to. i have TT on my desk and a GL front end (globex) setup also for (for backup). the GL front end will tell u how many orders make up a bid or offer. so right now its 1213.00 bid for 564 and made up of 44 orders. i refer to this constantly to see if a bid or offer is real or just someone posting fake size to spoof. now obviously this could be a real order even if it consists of just a few orders but in general i think its a good indicator. is there anything like this for the dax? i would think it would be easy to program (im not a programmer) something that just gave u a quick ratio of size to orders. i dont know if one could manipulate the data from globex but it might be cool. as always its nice to hear your thoughts futuretrader71. hope to hear some more responses to this thread. good luck to all. jim
Thanks. I had planned to put up a journal outlining what I do just to get this kind of feedback from contributors like Science-Trader and others like you.
I have tried using Xceed GUI from Eurex, but it doesn't show anything not already available on X-Trader. You can track Bid/Ask data using the T&S feature of X-Trader (the tape). You can filter out to show changes in the Bid/Ask.
Science_trader
I have done a lot of work myself on bid/ask ratios, but in my analysis I always seemed to discount cancelled order maybe I should reassess my work. Is a lot of the work you have done with MD based around these papers? In my experience these analysis work better on high volume markets such as emini s&p rather than a market such as the DAX where there is no where like the same ammount of volume. In your experiences do these analysis of the work better on high volume markets or does it make no difference.
Thanks for your time
Scouse
These articles (and some other facts/papers/studies) have given me some ideas. But don't be fooled : you have to work with the data. There is a lot to be discovered and the path is quite long.
My results are quite universal and apply equally to a market like NQ or DAX, and even on EUR futures.
Feel free to ask if you have any other question, no problem.