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Market Depth Historical Graph
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Market Depth Historical Graph

  #21 (permalink)
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DionysusToast View Post
Although much of what is in it now comes from Jigsaw - don't forget that Morad
...

I thought it was your company who copied BM. Are you saying you were the first to introduce this new way to look at liquidity?

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  #22 (permalink)
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OmegaXan2 View Post
If you want to see the Bid/Ask lines like i have in mine, you need to add that indicator to the chart. It's called "Bid & Ask Prices"

The only thing I wish is if the settings for which size liquidity you want to filter for was a little more dynamic. Somedays, you want to only see 1300+, then some is 1000+. I'll go and manually change the value depending on the current liquidity in the book.

Are you hiding the typical price indicator and using a different setting for bid / ask? Sorry to bug you on this, but I'm not having much luck.

On the liquidity, I have created several versions of the MDH Graph since I trade ETH and the volume is much lower.

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  #23 (permalink)
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CenFlo View Post
Are you hiding the typical price indicator and using a different setting for bid / ask? Sorry to bug you on this, but I'm not having much luck.

On the liquidity, I have created several versions of the MDH Graph since I trade ETH and the volume is much lower.

Yes, I have Draw Graph Type set to Blank

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  #24 (permalink)
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DionysusToast View Post
Although much of what is in it now comes from Jigsaw - don't forget that Morad

In terms of what Sierra have developed - I would imagine a number of vendors are now developing something along a similar line.

The bottom line though - is that despite the pretty historical depth views - the depth is perhaps the least important set of order flow information. It's fake most of the time. If you were to lean on above average depth each time you saw it - you would lose money. Mostly because the depth is there to entice you to do something stupid.

Footprint charts and other tools that show you where people are positions will always be superior because when a cluster of positions exist in an area, you know with a much greater certainty that people will react to a move away from that area. The same cannot be said about market depth because it does not represent existing risk.

So - on the Sierra screenshots - the execution data is still the most valuable.

Agree... ...depth means nothing "ooops practically" in Order Flow terms. It is always Trade rate & Trades or Arrival Rate or Quote rate which will dictate. Atleast in the ideal world. Ofcourse there are times when a Huge Order in LOB as shown in DOM will stick.Not sure in world of retail what exactly applies.
I use bookmap dont get me wrong. But am i getting info before the event...i am not sure if I am looking at depth.

But whoever opens up their reconstructed LOB via API's will be king of the markets. well in my mind .

anyways OP...here is a link i found when i started my journey in OF. If you do not find it useful...pls ignore https://cran.r-project.org/web/packages/obAnalytics/vignettes/guide.html A deep study of even LOB is needed if one really wants to see how depth changes or what exactly affects the LOB.

cheers

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  #25 (permalink)
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paps View Post
Agree... ...depth means nothing "ooops practically" in Order Flow terms. It is always Trade rate & Trades or Arrival Rate or Quote rate which will dictate. Atleast in the ideal world. Ofcourse there are times when a Huge Order in LOB as shown in DOM will stick.Not sure in world of retail what exactly applies.
I use bookmap dont get me wrong. But am i getting info before the event...i am not sure if I am looking at depth.

But whoever opens up their reconstructed LOB via API's will be king of the markets. well in my mind .

anyways OP...here is a link i found when i started my journey in OF. If you do not find it useful...pls ignore https://cran.r-project.org/web/packages/obAnalytics/vignettes/guide.html A deep study of even LOB is needed if one really wants to see how depth changes or what exactly affects the LOB.

cheers

The order book is already available through Ninja, MC.NET and all the other platforms that support automation. In my opinion, what will happen when historical order book info is available through an API is that a whole bunch of traders will spend a ton of time and money looking for magic beans from that information.

You will get a lot of people jumping on it, trying to code automated order book solutions but like all forms of retail trading automation, it's all about the promise of riches and not the customer actually making any money.

Now that many people are doing these charts, what will likely happen is that vendors will attempt to jam as many things onto those charts to compete in features - regardless of how much use that information is in making a trading decision.

Look how all this started - for a while we were being sold on "fade market depth" - which has got to be the worst strategy around. It is attractive because it is a 1 rule trading system - see depth, fade it. When all this started, I was talking to a number of professional traders who couldn't believe what retailers were being told to do in terms of reacting to depth. Hard-core scalpers were listening to this "fade the depth" spiel and shaking their heads in disgust.

The bottom line it that a LOT of trading is non-directional. You will often see the eMini S&P500 futures marching down but every 5 or 6 ticks there will be a big bid, where thousands of contracts will trade and yet the market carries on down. Chances are that's not some idiot with a billion dollar account - but someone executing some sort of arb/spread trade. If you take a one dimensional view "everyone is buying to sell higher" - then that guy appears to be a loser but the fact is - you are only seeing one half of his trade.

There's no way to remove arbs/spreads/hedges - from the overall activity. Yet how many vendors will tell you that there is a large amount of market neutral information in what they are showing and that it's the overall picture that's important rather than 1 specific data point?

As it is - we are still fed the line that every bit of depth, every trade is significant from a directional perspective.

In terms of 'beating HFTs' - well that's a bit silly seeing as most of them are out of the market before you could click the mouse - but with any form of manipulation, there;s one factor that is usually omitted when discussing predators. Fact is - even if you see a predator in action (e.g. a flip) - there is no guarantee they will be successful. There's times someone attempts to flip a market but nobody bites and they just pull their orders. So when you go for the 'follow a predator' entries - you are relying on that predator succeeding. Yet again, when this is discussed there isn't much mention of these predators you are following actually losing money themselves.

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Last edited by DionysusToast; February 17th, 2017 at 11:13 PM.
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  #26 (permalink)
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trendisyourfriend View Post
I thought it was your company who copied BM. Are you saying you were the first to introduce this new way to look at liquidity?

Nanex were the first to do it.

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http://www.nanex.net/aqck2/4682.html

We've always about specific order flow functionality that a few people tried to replicate.

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  #27 (permalink)
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DionysusToast View Post
...

We've always about specific order flow functionality that a few people tried to replicate.

Was your liquidity tool released before BM? Or is it just a coincidence that your tool showed up at about the same time?

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  #28 (permalink)
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trendisyourfriend View Post
Was your liquidity tool released before BM? Or is it just a coincidence that your tool showed up at about the same time?

If you want to have a chat about it - Skype me on "JigsawTrading".

If you have any questions about the products or services provided, please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #29 (permalink)
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DionysusToast View Post
The order book is already available through Ninja, MC.NET and all the other platforms that support automation. In my opinion, what will happen when historical order book info is available through an API is that a whole bunch of traders will spend a ton of time and money looking for magic beans from that information.

You will get a lot of people jumping on it, trying to code automated order book solutions but like all forms of retail trading automation, it's all about the promise of riches and not the customer actually making any money.

Now that many people are doing these charts, what will likely happen is that vendors will attempt to jam as many things onto those charts to compete in features - regardless of how much use that information is in making a trading decision.

Look how all this started - for a while we were being sold on "fade market depth" - which has got to be the worst strategy around. It is attractive because it is a 1 rule trading system - see depth, fade it. When all this started, I was talking to a number of professional traders who couldn't believe what retailers were being told to do in terms of reacting to depth. Hard-core scalpers were listening to this "fade the depth" spiel and shaking their heads in disgust.

The bottom line it that a LOT of trading is non-directional. You will often see the eMini S&P500 futures marching down but every 5 or 6 ticks there will be a big bid, where thousands of contracts will trade and yet the market carries on down. Chances are that's not some idiot with a billion dollar account - but someone executing some sort of arb/spread trade. If you take a one dimensional view "everyone is buying to sell higher" - then that guy appears to be a loser but the fact is - you are only seeing one half of his trade.

There's no way to remove arbs/spreads/hedges - from the overall activity. Yet how many vendors will tell you that there is a large amount of market neutral information in what they are showing and that it's the overall picture that's important rather than 1 specific data point?

As it is - we are still fed the line that every bit of depth, every trade is significant from a directional perspective.

In terms of 'beating HFTs' - well that's a bit silly seeing as most of them are out of the market before you could click the mouse - but with any form of manipulation, there;s one factor that is usually omitted when discussing predators. Fact is - even if you see a predator in action (e.g. a flip) - there is no guarantee they will be successful. There's times someone attempts to flip a market but nobody bites and they just pull their orders. So when you go for the 'follow a predator' entries - you are relying on that predator succeeding. Yet again, when this is discussed there isn't much mention of these predators you are following actually losing money themselves.

lol Pete..true on that. I dont know about others are being told and what they do.
From a Market Depth perspective...i dont trade of it. I like having it on the screen. Similarly an Hidden Order shown by any tool which is AFTER THE FACT is as good as one wants it to be. Again i dont really trade of it.

However i know what i am looking for. I will text you on skpe what am after. The tool I am after is possible after a reconstructed LOB is available. These are available today but the feeds prices are exorbitant. If one can afford bloomberg or for that matter something like Trade data - London Stock Exchange.

btw i am not sure why retail thinks of beating the big boyz or any HFT. all they need to do is hang on to their coattails. Every spike in any instrument can be seen. also when markets are up or down there is a definite correlation from certain KEY instruments(mother of all) in equities during RTH. Retail needs to do their howework as none of this will ever be found in a DOM tool. Now if they can find these details outside DOM....then they can capitalize on certain events which will happen IF THEY have instrumentation from a reconstructed LOB.

anyways if no vendor gives it to me. I will go at it my way. I will have this in my toolset end of 2018s max.
the costing from my end is pale in comparision to what i will get.

Exploring if auction dashboard is offering this...it has opened access to some l2 data....checking on it if it will serve my purpose.

If you do open up APIs....you should have a reconsideration of Jigsaw costs for the api.
cheers


Last edited by paps; February 18th, 2017 at 04:34 PM.
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  #30 (permalink)
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@DionysusToast I hope people reading your post realizes what you wrote. It's imp

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