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Is SPY order flow data equivalent to ES data?
Started:May 20th, 2014 (03:15 PM) by tennon Views / Replies:448 / 3
Last Reply:May 20th, 2014 (10:45 PM) Attachments:0

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Is SPY order flow data equivalent to ES data?

Old May 20th, 2014, 03:15 PM   #1 (permalink)
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Is SPY order flow data equivalent to ES data?

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?

Last edited by tennon; May 20th, 2014 at 03:55 PM.
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Old May 20th, 2014, 03:15 PM   #2 (permalink)
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Old May 20th, 2014, 05:14 PM   #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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Old May 20th, 2014, 10:45 PM   #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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