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Market Depth Historical Graph
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Created: by WilleeMac Attachments:11

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Market Depth Historical Graph

  #51 (permalink)
Trading Apprentice
Chicago, IL
Trading Experience: None
Platform: Sierra Chart
Favorite Futures: ES
Posts: 7 since Apr 2013
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paps View Post
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 has opened access to some l2 data....checking on it if it will serve my purpose.

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

Have you been able to accomplish this?

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  #52 (permalink)
Elite Member
SF Bay Area + CA/US
Trading Experience: None
Platform: TS, TOS, Ninja(Analytics)
Favorite Futures: NQ CL, ES when volatile mrkts
paps's Avatar
Posts: 1,660 since Oct 2011
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ironfist View Post
Have you been able to accomplish this?

no i just went the way of the tools. I use Jigsaw & Auction Dashboard to gauge Limits. I do keep a track of all limits in the market as this is drawn on my chart....not just the DOM....& also use Bookmap.

I just went ahead & furthered myself in aspects of Volume....where i can see if volume a buy/sell at a level.
And i also do not doing from a very Minute Mircostructure was not required in lob since I did that in Volume....

i did not get into reconstructs of LOB. thats for the big guys

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  #53 (permalink)
Trading Apprentice
Chicago, IL
Trading Experience: None
Platform: Sierra Chart
Favorite Futures: ES
Posts: 7 since Apr 2013
Thanks: 0 given, 0 received

Thanks for responding to my post in 22 months on this forum. Look for a private message soon. This was the one post I read I wanted a reply to and am looking into this myself.

Last edited by ironfist; January 9th, 2018 at 08:59 PM.
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