Yes you can use the regular DOM and T&S supplied in NT.
I have no idea if vvAggregatedTS would help or not. I never used it. I usually aggregate them in my head as I see them print.
6E does not lag or lead spot. Its exactly the same price at the exact same time. Price sometimes is a few ticks higher on the future because its basically an options contract which holds a premium. The guy who posted that has no idea what he is talking about. If it actually did lag, then we would all be billionaires because we would simply buy whenever it was lagging spot and would have guaranteed winners.
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Even though there is almost instant arb between spot and futures. I would expect the order book of CME futures to be different from the actual order book resting on interbank. Are you saying that it would be directly proportional? In fact EBS might provide much better level 2 data.
Trouble is with spot forex, there is no order book or centralized exchange.
Plus the currencies are correlated and there's arbs there too - not just spot vs futures but currency vs currency.
I have a friend runs a spot forex USD/THB desk - basically it's an open outcry system with him matching up large banks on both sides.
On a good day, a billion dollars will go through his desk. I know he's worked for 2 firms here and so I guess that unless the first firm shut down the desk when he left (never asked), they are still doing it.
That's just one pair traded through a couple of firms with nothing linking them and them not being able to see each others book. Whilst this is tiny, they still impact USD to a small degree and no-one sees their order books.
It is an interesting point about the futures order book being different & probably unrelated to spot and large bids/offers there probably not being on the spot too (although us small fry never know).
I think sometimes you have to stop thinking about which is the tail and which is the dog - because it's the same for index futures. DOM for the ES probably isn't going to reflect the combined DOMs for the 500 stocks in the index.
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Last edited by DionysusToast; November 16th, 2014 at 10:07 AM.