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Importance of Volume

  #21 (permalink)

London, UK
Trading Experience: Master
Platform: sierra chart, Jigsaw Trading, Bookmap
Favorite Futures: 6E futures, Cable
Posts: 93 since Aug 2012

mangolassi View Post
Yes but what we are seeing on the DOM are not only simply a set of standing limit orders, but also a collection of thousands of HFT algorithms placing and removing limit orders as price moves in order to exploit other algorithms. Most of these limit orders will never be filled because they will be removed quickly by the algorithms, and you probably are seeing only a small fraction of them coming on and off. Keep in mind that your DOM (and also your eyes) is not fast enough to update at the level of microseconds, so what you're seeing is really not an accurate reflection of what's going on in reality.

Again absolutely agree with you. I have been trading for a number of years and I work with most European institutional Trading desks, providing them with TCA/best execution solutions working for a big firm, and analysing algos is part of what the product I sell to them does, so I know this is the case reasonably well.

Still as Retail Traders we have to do with what we have, and the best we have is the DOM as all Limit orders are not HFT, specially not as far as Futures are concerned. Also, an algo is just an automated program, there is often confusion between Algos and HFT, but if HFT instituions use algos, algos are not necessarily HFT related.

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