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Understanding of tick volume

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charlotte nc
Trading Experience: Master
Platform: ninjatrader
Broker/Data: NinjaTrader
Favorite Futures: Emini (ES, YM, NQ, ect.)
Posts: 379 since Jan 2015
Thanks: 69 given, 917 received


No you shouldn't need to worry about any level 2 data. I am not sure if I worded something to imply this by mistake or not... But no this won't hold much value in the context of what we have been talking about here.

Your characterization of calling the level 2 (Resting DOM volumes) #FakeNews is very fair for the average retail trader. Especially when it comes to the best bid / ask, there is very little here that will be actionable to retail traders given their latency. Orders that are 2-10 levels out may present information that one could react to in time, but as I am sure you know, there are lots of changes occurring constantly with added and canceled volume so it's a bit noisy and nothing is written in ink, so it's a bit of a crap shoot.

The most practical use of level 2 data in my opinion is knowing the resting volumes out there, in connection with placing your order K levels out. With this, you can build a queue tracking model to know your position in the queue. This will give you better decision making because you will be able to know if you are likely to get filled on not in the first place.

Best of Luck!


tehuff View Post
... really good stuff, iantg. I'll re-read your comments several times

You seem to infer that the order book needs to be factored in, true? But, from my experience the order book is basically #FakeNews for the independent trader. Unless you have deep resources, trying to factor in the order book as a guy trading from his PC is a waste of time. Too many times, I see order book shenanigans that either prevent me from pulling the trigger or worse: take me out early of a winning trade.

SL and PT is where the edge can be found for the independent trader, IMO.

In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
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