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EOT Automated System

  #52 (permalink)

Dallas TX/USA
Posts: 154 since Jun 2009
Thanks: 33 given, 283 received

It is definitely a sea change, in that you get insight into the resting orders that you didn't have before, at the expense of seeing less summarized "big trade" events. But, if you are watching every tick go by, you can re-bundle the trades yourself and still get at the improved information. It's one of the things I'm starting to work on.

There are lots of ideas to try, not the least interesting of which is to ignore all of the "block" trades that are still on the tape. Why? Because then you know that a big market order matched a big limit order... and from a delta perspective you might say that two "big" traders cancelled each other out. It should be fun.

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