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DOM Dynamics

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Salt Lake City, UT
Trading Experience: Intermediate
Platform: SC, NT, MT
Broker/Data: AMP
Favorite Futures: NQ ES YM Bonds
Posts: 246 since Mar 2010
Thanks: 49 given, 354 received

DOM Dynamics

Given ASK is at price value A0 (original price value) and price values above are at A1, A2, A3.... and BID is at price value B0 and price values are below at B1, B2, B3... At some time t, some typical point in time, what happens to the DOM volume at A0 if the ASK price value goes to A1 (next higher price value)? I would think the booked orders that were not filled are still "there" unless pulled. And in this typical example, just moments later, when price movement causes the ASK to drop back to the original price value, how is the DOM volume reported at the re-established ASK price value? It would seem if one was slow in reacting, their missed DOM orders would still be on the book, and/or perhaps if the trader was quick these orders may have been pulled (ie ASK DOM volume change at a lower-than-the-current-ask price value) . In this typical market movement, does the volume get reported just as it was when the ASK changed (which i don't think is the case) or does it come back updated (due to changes that occurred when the ASK was at the higher value)? And if it comes back updated (which I think is the case), what process is updating these orders (ie the actions taken by traders who pull a missed limit order ) below the ASK? I am certain orders can be pulled in this case(done this myself), but does that imply orders can also be added? If this is how the system works, it would seem this should also apply to A-1, A-2, A-3... to support requests in the case of a price spike that blasts past limit orders and leaves them hanging around. If my thinking is correct, then it would seem that the auction system is continually keeping track of limit orders to sell or buy at all prices, irrespective if above or below the ASK/BID respectively. Perhaps it only reports on the +10 and -10 order slots, but continually updates all in the market. Where can I find out more about this detail?

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