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Block Trade Observations

  #6 (permalink)

Market Wizard
SF Bay Area + CA/US
Trading Experience: None
Platform: TS, TOS, Ninja(Analytics)
Favorite Futures: NQ CL, ES when volatile mrkts
paps's Avatar
Posts: 1,698 since Oct 2011
Thanks: 2,161 given, 1,691 received

this is one of the most interesting posts i have read...advice sought...n given same time....nice....makes things interesting

this is good by @iantg...its the only way u can know of executed Buy/Sell lims in the mrkt

From a DP is very important to know what Form Ts are doing.......

iantg View Post
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!


Last edited by paps; August 7th, 2018 at 07:03 AM.
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