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Is the DOM useless?
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Created: by PeterOhlson Attachments:0

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Is the DOM useless?

  #11 (permalink)
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PeterOhlson View Post
I agree. And I do in fact use it the way you explain, that is for spotting manipulation. Fake walls for example, is a good signal I act on. Because 90% of the time the wall will dissappear once price reaches it, and whomever responsible for it will squeeze out the suckers who acted on it.

Anyways, guess I should've named the thread "Is the DOM useless for it's actual intent".


Would you mind explaining more about "professional level DOMs"? How can it spot an entire iceberg from just the tip?


www.jigsawtrading.com • View topic - FAQ - Iceberg Orders

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  #12 (permalink)
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I've never understood the fascination with DOM, Market Profile
I think volume is after-the-fact information and it isn't part of my trading system

following the 6E during the Asian session which can have periods of narrow range
prices, I've seen a couple of examples when an order or orders totaling 5,000+ hit
and the price in that example moved I think 50+ pips, but as it wasn't open, would
I have seen anything in the DOM that would have alerted me in enough time that a
large Sell order had been entered, and given me the time to also enter my Sell 1
contract ?

unless the DOM is going to help me do that, it's useless

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  #13 (permalink)
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Volume is a relic itself between 80s ideas like Market Profile and the present.

When I see someone post a chart that has volume on it I tend to discount them as it is rather obviously a stochastic process. Stochastic process are not captured visually well at all.

You don't need to model such things with SDEs...Price does not care about how many people were willing to pay "whatever", "whatever seconds ago". Price does care though about the number of participants that will be willing to participate going forward. That is the realm of SDEs and quant finance and why the entire concept of retail trading is somewhat a joke at this point.

IMO you are either working at penetrating the nuclear phynance world or you are kidding yourself as the theta on the optionality of your trading career eats time premium.

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  #14 (permalink)
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dutchbookmaker View Post
Volume is a relic itself between 80s ideas like Market Profile and the present.

When I see someone post a chart that has volume on it I tend to discount them as it is rather obviously a stochastic process. Stochastic process are not captured visually well at all.

You don't need to model such things with SDEs...Price does not care about how many people were willing to pay "whatever", "whatever seconds ago". Price does care though about the number of participants that will be willing to participate going forward. That is the realm of SDEs and quant finance and why the entire concept of retail trading is somewhat a joke at this point.

IMO you are either working at penetrating the nuclear phynance world or you are kidding yourself as the theta on the optionality of your trading career eats time premium.

Price cares about both. And the latter is largely a result of the first. In other words, the future is a result of the past. If Goldman bought X amounts of contracts "whatever" seconds ago, they aren't gonna let it dip down without resistance.

But I agree retail trading is a joke for the most part. The future lies in nuclear phynance, as you say.



Thanks for the link.

It's what I expected it to be. Just a way of showing the limit order qty at a certain price, vs how many contracts actually traded at the price. Thus you can spot icebergs. However I would hardly call this a "professional DOM". You can do the same by using NT volume ladders.

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  #15 (permalink)
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Agreed Peter - it's not a DOM at all, it's a Tape - it just alerts you to icebergs as one of its features.

As for 'professional level' DOM - what is that exactly? Are you referring to order entry capabilities or the data displayed on the DOM with which you make a trading decision?

If the former, I agree - Ninja is perhaps behind the curve. You certainly can't submit an iceberg in Ninja but that's not a huge issue for most retailers.

In terms of data displayed, with the exception of EPIQ, there's nothing really that one DOM has over another.

The DOM is a tool, it is useful in terms of making a trading decision sometimes, other times it is not. Many retail traders are looking for magic bullets and there aren't any there. It's the whole red light/green light thing that people suffer from. No-one wants to read the market, what they want is a 'setup' that tells them when to buy or sell. Normally, such setups are static, they could be printed on a piece of paper, they are not dynamic and evolving.

So - if you want a setup on the DOM as in

1 - see a big buy limit order
2 - see the market eat it
3 - sell the market

These things just don't exist - every situation is different but there are commonalities and you can spot a big fish moving the market around. You can trade this but you never know where the next bigger fish is.

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  #16 (permalink)
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DionysusToast View Post
Agreed Peter - it's not a DOM at all, it's a Tape - it just alerts you to icebergs as one of its features.

As for 'professional level' DOM - what is that exactly? Are you referring to order entry capabilities or the data displayed on the DOM with which you make a trading decision?

If the former, I agree - Ninja is perhaps behind the curve. In terms of data displayed, with the exception of EPIQ, there's nothing really that one DOM has over another.

I was just referring to the post GaryD made where he claims 'professional level' DOMs have settings for iceberg orders:

GaryD View Post
Professional level DOMs (no, not Ninja Trader or MultiCharts or Tradestation) actually have settings for "iceberg" orders, where they only show the "tip" but there is a large volume underneath. But even if you could see every real order, how does that help you see who is sitting there ready to hit the mouse? Electronic orders are fast enough to swamp you.


DionysusToast View Post
The DOM is a tool, it is useful in terms of making a trading decision sometimes, other times it is not. Many retail traders are looking for magic bullets and there aren't any there. It's the whole red light/green light thing that people suffer from. No-one wants to read the market, what they want is a 'setup' that tells them when to buy or sell. Normally, such setups are static, they could be printed on a piece of paper, they are not dynamic and evolving.

So - if you want a setup on the DOM as in

1 - see a big buy limit order
2 - see the market eat it
3 - sell the market

These things just don't exist - every situation is different but there are commonalities and you can spot a big fish moving the market around. You can trade this but you never know where the next bigger fish is.

I agree it can be a useful tool, but I believe it's not useful anymore for it's original intent, which is to inform you of limit orders that are up for grabs. Most big fish these days uses algorithms to enter and exit the market. The algorithms are very good at "hiding" their activity. This makes sure nobody is aware of where your entry/exit happened, and part of achieving that is to manipulate the DOM.

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  #17 (permalink)
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DionysusToast View Post
Agreed Peter - it's not a DOM at all, it's a Tape - it just alerts you to icebergs as one of its features.

As for 'professional level' DOM - what is that exactly? Are you referring to order entry capabilities or the data displayed on the DOM with which you make a trading decision?

If the former, I agree - Ninja is perhaps behind the curve. You certainly can't submit an iceberg in Ninja but that's not a huge issue for most retailers.

In terms of data displayed, with the exception of EPIQ, there's nothing really that one DOM has over another.

The DOM is a tool, it is useful in terms of making a trading decision sometimes, other times it is not. Many retail traders are looking for magic bullets and there aren't any there. It's the whole red light/green light thing that people suffer from. No-one wants to read the market, what they want is a 'setup' that tells them when to buy or sell. Normally, such setups are static, they could be printed on a piece of paper, they are not dynamic and evolving.

So - if you want a setup on the DOM as in

1 - see a big buy limit order
2 - see the market eat it
3 - sell the market

These things just don't exist - every situation is different but there are commonalities and you can spot a big fish moving the market around. You can trade this but you never know where the next bigger fish is.

Couldn't agree with you more. Static thinking can be appealing. It is alluring to think that there is a single, unchanging order to the marketplace and that some particular indicator or method can discern that order. Static traders want rules they can count upon to make money, today and the next, ad infinitum.

But markets change their rules with regularity. Even the time series of price changes from one period, may not be drawn from the same distribution, as the time series of price changes from the next, or the one before it, never mind from day-to-day or week-to-week.

Catching moves requires that we see (in real time) the rules shift as they are happening. Which, by definition, means that we cannot be locked into any single set of rules or ideas for very long.

To the best of my knowledge there is not a singular-stand alone tool for trading that will guarantee one's success, except for the trader himself, perhaps. However, there are singular tools that in combination with other tools might result in an enhanced utility which would not be independently available. Your product definitely has the potential to fill this criteria.

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  #18 (permalink)
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Tiger - DOM/Tape Reading is like Depends - no-one really wants to go that route. It's a major inconvenience. Much better to pucker up and hope you make it.

Still - after a while, short term traders will either run out of time/money or recognise that S****ing your pants on a regular basis is no way to live.

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  #19 (permalink)
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PeterOhlson View Post
I was just referring to the post GaryD made where he claims 'professional level' DOMs have settings for iceberg orders:

Yeah - I read that as him talking about their ability to submit icebergs, not to see if they are there.


Quoting 
I agree it can be a useful tool, but I believe it's not useful anymore for it's original intent, which is to inform you of limit orders that are up for grabs. Most big fish these days uses algorithms to enter and exit the market. The algorithms are very good at "hiding" their activity. This makes sure nobody is aware of where your entry/exit happened, and part of achieving that is to manipulate the DOM.

Way before my time as a trader. I didn't look at the DOM/L2 until early 2010. At that point, the people that taught me were specifically discussing the gameplay on there.

The only mention of size being real was on certain markets such as wheat which is more of a legitimate hedgers market and where people who spoof the ES occasionally go to try their games and get their a$$es handed to them.

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  #20 (permalink)
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DionysusToast View Post
Yeah - I read that as him talking about their ability to submit icebergs, not to see if they are there.

I thought he meant to see icebergs. Which would just require a tape as we discussed earlier.

But for submitting icebergs, yeah that probably requires a professional level DOM. Although I prefer to define the DOM as just a provider of information, not an order submission tool.

Just semantics though.


DionysusToast View Post
Way before my time as a trader. I didn't look at the DOM/L2 until early 2010. At that point, the people that taught me were specifically discussing the gameplay on there.

The only mention of size being real was on certain markets such as wheat which is more of a legitimate hedgers market and where people who spoof the ES occasionally go to try their games and get their a$$es handed to them.

Yeah, there is definitely gameplay on it. And as mentioned I do have it on my screen, but I don't focus much of my attention on it. Before I started this thread I was considering dumping it all together. But from reading the various responses I think I'll keep it on my screen still and try to read it better.

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