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

Is SPY order flow data equivalent to ES data?

Discussion in Emini and Emicro Index

Updated by Big Mike
      Top Posters
    1. looks_one Quick Summary with 1 posts (0 thanks)
    2. looks_two SplawnDarts with 1 posts (0 thanks)
    3. looks_3 Big Mike with 1 posts (0 thanks)
    4. looks_4 tennon with 1 posts (0 thanks)
    1. trending_up 2,764 views
    2. thumb_up 0 thanks given
    3. group 1 followers
    1. forum 3 replies
    2. attach_file 0 attachments

Welcome to futures io: the largest futures trading community on the planet, with well over 100,000 members
  • Genuine reviews from real traders, not fake reviews from stealth vendors
  • Quality education from leading professional traders
  • We are a friendly, helpful, and positive community
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts
  • We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

(If you already have an account, login at the top of the page)

Search this Thread

Is SPY order flow data equivalent to ES data?

(login for full post details)
  #1 (permalink)
spokane wa
Posts: 8 since Apr 2014
Thanks: 1 given, 0 received

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?

Reply With Quote

Can you help answer these questions
from other members on futures io?
Need a near crosses scan help for TOS
Horizontal Line Indicator
Platforms and Indicators
Stacked Imbalances.
Sierra Chart
Times and Sales more data to be displayed
help to convert from thinkscript to ninjascript
(login for full post details)
  #3 (permalink)
Denver, Colorado
Posts: 3 since May 2014
Thanks: 0 given, 1 received

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.

Reply With Quote
(login for full post details)
  #4 (permalink)
Site Administrator
Manta, Ecuador
Experience: Advanced
Platform: My own custom solution
Trading: Emini Futures
Big Mike's Avatar
Posts: 49,050 since Jun 2009
Thanks: 31,658 given, 94,915 received

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.

Sent from my LG Optimus G Pro

We're here to help -- just ask

For the best trading education, watch our webinars
Searching for trading reviews? Review this list

Follow us on Twitter, YouTube, and Facebook

Support our community as an Elite Member:
Follow me on Twitter Visit my Facebook Visit my futures io Trade Journal Reply With Quote

futures io Trading Community Traders Hideout Emini and Emicro Index > Is SPY order flow data equivalent to ES data?

May 20, 2014

Upcoming Webinars and Events

Copyright © 2020 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432,
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts