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.
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.
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
Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.
Need help? 1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first. 2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses. 3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make. 4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance. 5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers. 6) Help using the forum? Watch this video to learn general tips on using the site.
If you want to support our community, become an Elite Member.