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Trade Point Technologies

  #73 (permalink)

Just starting out...
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Futures Experience: Intermediate
Platform: NinjaTrader
 
Posts: 2 since Jun 2009
Thanks: 1 given, 1 received


toulouse-lautrec View Post
analyzing orders pulled might be a tough one, as there are systems out there placing orders automatically in the book on various levels with the purpose to beat the queue (remember, orders are being matched FIFO).

so, basically, in case something/someone decides to actually trade a specific price, then there will already be an order sitting there at that level with a high probability of being executed.


If they want it executed. If they're flooding the book like that, it's more likely it will get pulled.

As for analyzing pulled orders, here's what I did: whenever there is an order
if at ask:
pendingAskOrder += size
if at bid:
pendingBidOrder += size

Then when the bid or ask changes,
pendingAskOrder -= change in ask
if pendingAskOrder > 0 do nothing
else add to pulled at ask orders (and reset pendingAskOrder to 0)

So.... keep track of order amounts and don't count those toward the contracts pulled amount.

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