Orderflow and footprint for FTSE100 and FTSE250 stocks on London Stock Exchange? - futures io
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Orderflow and footprint for FTSE100 and FTSE250 stocks on London Stock Exchange?


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Orderflow and footprint for FTSE100 and FTSE250 stocks on London Stock Exchange?

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  #1 (permalink)
London
 
 
Posts: 4 since Nov 2019
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Hi,

I would like to trade FTSE100 and FTSE250 stocks (LSE). I have an IB account and I have subscription to the required data packages. I'm mostly interested in LEVEL2 (orderflow, footprint) visualisation. However, it seems like none of the platforms are offering compatible footprint visualisation for those stocks through IB's data feed.

Right now, the only thing working is IB's Trader Workstation and that only provides me with a DOM window, depth window and Time&Sales.

Anyone successfully using any of the orderflow/footprint platforms with LSE stocks?

Thanks,

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  #3 (permalink)
Moscow/Russia
 
Experience: Intermediate
Platform: Investor RT, Overcharts
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OrderFlow and Footprint can help you in momentum (find best moment for trade). This is very good tool for trader, but for understand how it work you need few months or more (may be years). Yes and answer for question: Does not meter which instrument you wold like to trade this is instrument show you buyers/sellers pressure on market.

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  #4 (permalink)
London
 
 
Posts: 4 since Nov 2019
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Hi,

I have been using orderflow and footprint for a while (for futures). Iím familiar with the concept. The question was about how to actually set it up for specifically LSE stocks and IB.

Anyways, I got it working. Required me to tweak the platform and the instrument import functions.

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  #5 (permalink)
London UK
 
Experience: Advanced
Platform: Sierra Chart, NinjaTrader
Trading: ES, CL, GC, ZB
 
Posts: 34 since Jun 2015

I would recommend reading up on the limitations of IB's data (due to aggregation and back filling) for analysing traded volume. This has been well documented by Sierra Chart (their implementation of footprint charts is called Numbers Bars):

https://www.sierrachart.com/index.php?page=doc/InteractiveBrokers.php

If you are really set on analysing LSE equities using a footprint chart, IQFeed is probably worth investigating but will be expensive.

I would also recommend reading this article:
https://www.jigsawtrading.com/forex-vs-future/

on why futures are preferable to stocks or forex.

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  #6 (permalink)
London
 
 
Posts: 4 since Nov 2019
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Hi,

Thanks for the reply. Yes, I'm aware about the issues related to IB and SierraCharts.

LSE is a niche market and I'm aware of the limitations. I'm a futures trader but due to other conditions and shift in the market conditions I have been trading LSE lately.

Because I'm used to trade with the Footprint (MarketDelta days), I simply wanted to have the same tools at my disposal when I'm in that specific stocks market (LSE).

Anyways, seems like MotiveWave's Volume Imprint is working, I will try SC with the IB feed on Monday. Honestly I just need to see a rough representation of the BID and ASK hit volume.

Considering that I have been using the DOM and the Time&Sales (in TWS!!!) so far, any form of BID/ASK visualization should suffice

IQFeed and other data feeds don't do LSE. I have already checked with them. That is why I have opened an account with IB, separate from my Futures account and datafeed.

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  #7 (permalink)
Dallas Texas
 
 
Posts: 11 since Apr 2019
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For any stocks, I expect you are better off using upticks and downticks than bid and ask. The reason is that multi-provider data feeds are garbage when it comes to matching trades and bid/ask. You get trade from one feed matched with (different) bid from another, etc. I don't know of any retail data feed that has found a way around this.

Even with Globex, the error rate is pretty high unless you have a data feed with the "aggressor flag" data exposed. Even then, the advantage (over uptick/downtick) is negligible at best. There are certain situations where aggressor data gives inferior results to old fashioned uptick/downtick.

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  #8 (permalink)
London
 
 
Posts: 4 since Nov 2019
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Hi,

I will investigate. But I think it is working right now. Data is IB and the trading platform is Sierra Chart. I can see the bid and ask volume accumulation on price levels with the BID x ASK and VOLUME visualisation using Trend Reversal candle sticks with the Numbers Study (which is effectively what used to be the Footprint in MarketDelta). Also Time&Sales are tagged as 'AT BID' or 'AT ASK'. The DOM is showing the BID and ASK percentages and the various Volume Profiles seem to behave nicely.

Seems to be working so far. Not sure how more accurate it needs to be. Obviously it is a bit patchy, not as rich as a highly liquid futures orderflow.

Thanks,
M.

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November 7, 2019


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