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Trade Point Technologies

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Paris, France
Trading Experience: Advanced
Platform: Market Delta & Ninjatrader
Favorite Futures: ES
cunparis's Avatar
Posts: 2,565 since Jun 2009
Thanks: 1,162 given, 2,070 received

RJay View Post
"To demonstrate one of those flaws, please consider the situation where a very large buyer places a limit order at the current asked price - the order is larger than the asked size so he is partially filled at the asked and as the order took all the asked size the asked moves up and so does the bid. Now the remainder of this large buyer's order is on the bid and trade that fills this large buyer, on his bid, is recorded as selling volume. "

I use bid/ask extensively in my trading, which is why I still use Tradestation (only reason really).

His case makes a lot of sense, but I would have to ask if that is a common occurrence. I have found that if I look at the raw bid/ask data that it is extremely jumpy from one extreme to another. However if I smooth that data out then it reflects the true order flow. Very often I see a tip off to a reversal with this data.

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