Order Flow Fundamentals

MattZ

MattZ

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I do have a question.

In my experience, unless you're paying big bucks for deep book data (think tens of thousands), they don't seem to be very accurate.

I was on the phone with my broker and a nyse rep about this arguing the point. Deep book data was not matching up with orders that I knew had been placed. I compared my "Level 2" book data to hers. I sorta drilled her... "How many orders do you see waiting at 11.52? How many at 11.57?" She got a little defensive, but I pressed her on it, and got some numbers. They were entirely different from what I was seeing. More lies.

Basically, the typical "L2 data" is really only accurate to +/- $0.02... maybe. At the exchanges it goes up to L3, L4, L5... Ln data.. basically the whole order book, but only the inner sanctum can see this.

I actually cancelled my deep book data; I have lost faith and trust therein. If they aren't accurate, I would prefer to not look at them at all. They could lead me astray. I prefer to simply rely on ticker price and bid/ask spread.
 
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kmiklas said:
I do have a question.

In my experience, unless you're paying big bucks for deep book data (think tens of thousands), they don't seem to be very accurate.

........
More...

This is related to equities, and as such I will let the equities guys answer, however, the data feed we use for Level 2 DOM Futures is directly from the CME/Eurex/etc. and it does represent exchange numbers.
 
kmiklas said:
I do have a question.

In my experience, unless you're paying big bucks for deep book data (think tens of thousands), they don't seem to be very accurate.

I was on the phone with my broker and a nyse rep about this arguing the point. Deep book data was not matching up with orders that I knew had been placed. I compared my "Level 2" book data to hers. I sorta drilled her... "How many orders do you see waiting at 11.52? How many at 11.57?" She got a little defensive, but I pressed her on it, and got some numbers. They were entirely different from what I was seeing. More lies.

Basically, the typical "L2 data" is really only accurate to +/- $0.02... maybe. At the exchanges it goes up to L3, L4, L5... Ln data.. basically the whole order book, but only the inner sanctum can see this.

I actually cancelled my deep book data; I have lost faith and trust therein. If they aren't accurate, I would prefer to not look at them at all. They could lead me astray. I prefer to simply rely on ticker price and bid/ask spread.
More...
Iv been getting better info from the bats trading free levl 2 stuff the depth is better then my own level 2. i just have to keep switching from edgex bxx,,..,., over and over . and add it up in my head. totalview and open book seem like maybe it could be equal . but that batstrading stuff is awesome.Just need the price to fall or rise to see more s/r levels/ You can also watch the shares fly from one side to the other. I was laughing the other day 140k at one level like a scary monster it touches and goes bac up / s
 
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