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My broker is $2.82 per round turn, but your cost-per-contract is close. In practice it comes out on the higher side. I've been live with it for 15 months.
I have never looked at Order flow as a means to enter trade. I realized I can observe professional activity by watching order flow and use that price levels to complement my current strategies. I wrote an application over the weekend by combining MarketDepth and Time and Sales in Tradestation, which looks like a glorified TS matrix. As of now I am using the app to see price levels where I see aggressive orders from either side, broadcast these levels to my trading charts and see if they complement a level I am looking to trade.
I am planning to study Footprint charts / orderflow and see how I can further use the info.
Have you tested further out? I've tried similar strategies, and even some with as high a win rate. However, they get killed the last few weeks of the contract, or when the spreads change. Not to mention what the end of summer chop will do when we're only talking 2 ticks.
I've tested to 2007, but not any further back than that. Contract rollover days haven't had a noticeable effect yet, but that could be because my targets are so small, and my willingness to quit for the day after the goal is reached. Your timeframe may be longer than mine if that is a concern. The average time in a position is very low(3m is too long for me), the entry happens when the move is in progress, and the exit typically happens while the move is still in progress. That means in theory I am leaving a lot of profit on the table in the name of being conservative, but I'm just a boring conservative guy at the end of the day
I like your strategy of watching prices that attract orders. Something similar I study is the reactive orders at a price. EG... price ticks up to 152'11, and instantly 61 sell orders tick it back to '10. Then it happens again, and again, and again, while measuring the average time from tick up until the reactive sells come back. When the price ticks up, and that average time before reactive orders occur passes once, twice, three times etc - the reactive buying is done, and you can write off that side of the market for the particular price area you are at(these are small areas spanning 2-3 ticks). What application are you currently using to keep track of the activity once a price is reached?
to the OP, I second that. That is amazing that you have been able to empirically quantify it. I hope you run with it.
There are so many little nuances on the DOM that one can pick up after one knows what to look for, that it really is an art to it, and now that I know this, there is much more ground to over on this subject, not just on one market but on several. THe brain aint puny, we just don't know how to deliberately program to get to that advanced heuristic level, which it is capable of.
Plus, this sort of behaviour is evident on almost every liquid market, and on thin markets as well, selectively at select times of the week and around major news events.
