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Block Trade Observations

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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

For what it's worth...

Hi goodknight,

Traditionally people think about limit order activity in two ways.

1. Resting on the DOM in real time
2. What has transacted

But there is quite a bit more to it than this. For every price level we have

1. Starting limit order volume
2. Added limit order volume
3. Canceled limit order volume
4. Ending limit order volume

I built some algorithms that cut the data into these buckets for every price level. But outside of writing my own code, I am unaware of anything else out there that attempts to do anything similar. I am not saying it's not out there... I just have never seen anyone get to this level of detail... and get it measured the way I was looking for it.

I use this information mainly for modeling research, not live trading. But it has helped me to build a very accurate testing platform and to better understand microstructures.

One of the observations that I came to here was that the canceled volume was 2x to 3x the transacted volume which was a big eye opener..... So when you speak of the market makers playing games and doing things... You can see it very clearly with this type of data.

Best of luck!


goodknight View Post
(1) Indicators are good at telling me what market orders have done recently, but they do not tell me much about limit orders. If anyone has any suggestions on an indicator that identifies limit order activity, I would love to hear about it.

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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