Is SPY order flow data equivalent to ES data? - futures io
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Is SPY order flow data equivalent to ES data?


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Is SPY order flow data equivalent to ES data?

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  #1 (permalink)
spokane wa
 
 
Posts: 8 since Apr 2014
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I've been learning scalping on the SPY with Interactive Brokers TWS BookTrader and the inexpensive BEX data feed. I am beginning to wonder, with all the various exchanges and dark pools, if my BEX deep book data is representative of the whole market. Is ES deep book data significantly different? Do I need to switch to the ES to effectively scalp the DOM?

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  #3 (permalink)
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In my experience, no. The reason is that "small" order flow (<$500K notional position size) in the S&P behaves very differently from big order flow. And big order flow pretty much has to be routed almost entirely to ES.

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  #4 (permalink)
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No. Discussed several times in the main ES spoo thread. If I recall, @josh in particular has documented why they are unequal for order flow.

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May 20, 2014


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