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Bookmap xRay

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  #41 (permalink)
Munich Germany
 
Experience: Intermediate
Platform: NinjaTrader, MetaTrader
Broker: S5
Trading: DAX, ES
 
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Posts: 53 since Dec 2013
Thanks: 75 given, 43 received


Bookmap View Post
Dear Michael,

It's indeed a very interesting behavior of market participants. How do you explain it yourself? We can't be certain, but our best guess is that a poorly tuned / tested "liquidity seeking" HFT algo got hunted by another HFT algo. The liquidity seeker algo was programmed to send an aggressive order (market or limit) over the spread when certain conditions occur. The other algo (the HFT hunter) discovered what are those conditions and started to generated them, and as result earned the spread from those transactions. Actually, it's a playground (or a battlefield) for robots. We often observe structural, but unreasonable and strange behavior, sometimes deep in the order book, that is seemingly purposeless. But at least part of this activity belongs to the "HFT hunters" that measure the response of other event driven HFT's. By measuring this response on various events, they can back-engineer other HFT's, discover their weaknesses, and then use it as we see on your image.

But again, it's just a guess, and we can't be certain.

We will post later another similar example that was observed on Crude Oil (CL). Here is a short part of that event:


Thanks a lot for your reply.

Yes indeed, the CL Example is even better

Looking deeper in todays FDAX activities, I found 6 occurrences today, each of them 10-20 secs long and in total they traded approx. 1500 contracts. Clearly the liquidity provider takes the gain - all 1 tick gains. It seems its more likely two parties are battling rather than having one algo doing this.

Of course a lot of follow up questions/ideas come to my mind and maybe one day i can decipher this.
Keep watching this "event"

Thanks for your help

Michael

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  #42 (permalink)
Tunisia
 
 
Posts: 2 since Apr 2016
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Dear @Bookmap ,

Some questions please:
1- Is bookmap API V5 a plugin to other plateformes or it's a plateforme by it self ?
2- If Bookmap API V5 is an independant plateforme, so what about the rate of the commisson ?
3- I have a request about the Imbalance Indicators : the Order Book imbalance It's to small especially if i monitor 3,4,5 ... markets at the same time. So, is it any way the Order Book imbalance can be more clear and big ?

Regards,

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  #43 (permalink)
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adnen messaoudi View Post
Dear @Bookmap ,

Some questions please:
1- Is bookmap API V5 a plugin to other plateformes or it's a plateforme by it self ?
2- If Bookmap API V5 is an independant plateforme, so what about the rate of the commisson ?
3- I have a request about the Imbalance Indicators : the Order Book imbalance It's to small especially if i monitor 3,4,5 ... markets at the same time. So, is it any way the Order Book imbalance can be more clear and big ?

Regards,

Dear Adnen,

I have a feeling that by Bookmap API V5 you mean just Bookmap version 5.0. Please correct me if I'm wrong, and I will change my answer. The API is a feature of Bookmap that is in development starting from version 5.0. The API will be released in Q1 of 2017, and you will be able to create an indicator of your choice and display it as you prefer. Answers to your questions are below:

1. Bookmap is a standalone trading platform, but it's not a broker, so we don't charge trading commissions. Bookmap supports number of market data / orders routing services including Rithmic, CQG, Stage 5, and others. See the full list on Bookmap website in the CONNECTIVITY section. In order to get market data and trade with Bookmap you need to have an account (or a demo account) with a broker that supports any of the above. If you need help with this, please write us an email to support@veloxpro.com. You can mention this conversation in the email.

2. see #1

3. Starting from version 5.0 Bookmap adjusts the size of its components according to your Windows settings (size of text, icons, etc.). But I don't know which version you are using. Can you send us an email about it? We do plan to move the imbalance indicators into the indicators panel at the bottom of the chart where they will be bigger.

Regards,
Sergey

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  #44 (permalink)
london
 
Experience: Advanced
Platform: multicharts,ninja,Bookmap
Broker: IB IQ,OEC
Trading: fdax fgbl
 
Posts: 57 since Jan 2011
Thanks: 8 given, 27 received

Would you mind explaining why trades print between bid and offer that are not in a time and sales.

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  #45 (permalink)
NY, USA
 
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what's the diff between bookmap from bookmap.com and S5 bookmap?
thanks.

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  #46 (permalink)
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johnl View Post
Would you mind explaining why trades print between bid and offer that are not in a time and sales.

Hi John,

When more than one trades occur at exactly the same time (same pixel width of the monitor), Bookmap displays an aggregated trade where the price is calculated as VWAP of the constituting trades. The color of such aggregated trades also represent the proportion of Buy/Sell trades that were aggregated (see the volume dots configuration panel).

Note that you can still see the individual trades to compare them with Time&Sales. Just press the "move" button and zoom-in deep enough.

Regards,

Bruce
Bookmap Support

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  #47 (permalink)
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jz166 View Post
what's the diff between bookmap from bookmap.com and S5 bookmap?
thanks.

Hi,

There is no functional difference between S5 Bookmap and Bookmap. The S5 Bookmap is a white label for Stage Five Trading brokerage.

However, now due to Bookmap's new API, it is now possible for anyone to write proprietary Trading Strategies and Indicators within Bookmap. S5 has developed their own features and offer it for their S5 Bookmap clients. It is a beta offering. The Bookmap API will be available to all shortly, in Q1 of 2017.

regards,

Bruce
Bookmap Support

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  #48 (permalink)
london
 
Experience: Advanced
Platform: multicharts,ninja,Bookmap
Broker: IB IQ,OEC
Trading: fdax fgbl
 
Posts: 57 since Jan 2011
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As a followup to this I have now gone through replays for more than a month of data using the latest 5 410 for FESX and FGBM and have yet to find a single iceberg other than on the close.

I have noticed no issues on other software with IQ data for these contracts ,so it would appear that either there is a bug or the methodology is incompatible with these contacts.

I appreciate that to have fewer but higher quality alerts is preferable but to have none at all is another matter.

It seems that the iceberg function has been vulnerable to new releases as there have been instances in the past where Eurex icebergs were lost but then reappeared after a fix.

If icebergs cannot occur for these 2 major contracts on Bookmap then an understanding of why would be helpful,T Notes are a similarly thick market for which icebergs are generated by Bookmap.





Bookmap View Post
Hi johnl,

It could be that there is no detection of iceberg in Thick market.

As said earlier, I would count more on detections with version 5.0 than the ones you see in version 4.4

I checked few hours on Friday's market data using Bookmap V5.0 latest build with Rithmic feed and found the following:
None iceberg detections on 6E, NQ, ZN, FDAX, FESX
Got few on GC, CL, ES
Got more on NG

So as you see it depends on the instrument and also the market data feed you're using

Note that if you zoom-in, you can see exactly how the iceberg is detected. Whenever you see that a volume traded that is greater than the size on the best bid or the best ask, the iceberg is shown. Note that iceberg is shown until that price changes the side (e.g. Bid becomes Ask or Ask becomes Bid) so if you change your zoom, or drag, you might see icebergs that wasn't shown in larger zoom. We will add the option the view the iceberg on the historical heatmap, so it'll be easier to locate them.

Hope that's help

Best


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  #49 (permalink)
West Coast
 
Experience: Advanced
Platform: X_Trader, Bookmap, R|T
Broker: IQ Feed, TT, Rithmic
Trading: Index Futures, Energy and Interest Rate spreads
 
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Posts: 81 since Oct 2010
Thanks: 54 given, 35 received

John, the latest version is beta. Have you looked at 4.5? I'm sorry to hijack your question, I don't work at veloxpro, I just use bookmap and this came to mind.

Sent using the futures.io mobile app

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  #50 (permalink)
Boston Ma/USA
 
Experience: Intermediate
Platform: Sierra Chart, Bookmap
Trading: ES
 
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Posts: 16 since Oct 2015
Thanks: 85 given, 13 received



johnl View Post
As a followup to this I have now gone through replays for more than a month of data using the latest 5 410 for FESX and FGBM and have yet to find a single iceberg other than on the close.

I have noticed no issues on other software with IQ data for these contracts ,so it would appear that either there is a bug or the methodology is incompatible with these contacts.

I appreciate that to have fewer but higher quality alerts is preferable but to have none at all is another matter.

It seems that the iceberg function has been vulnerable to new releases as there have been instances in the past where Eurex icebergs were lost but then reappeared after a fix.

If icebergs cannot occur for these 2 major contracts on Bookmap then an understanding of why would be helpful,T Notes are a similarly thick market for which icebergs are generated by Bookmap.



Hi John! I am also curious to know if you've tried the same tests with version 5? I have no issues seeing icebergs on the bond products I use.

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