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How do you leverage Level 2 data ?
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How do you leverage Level 2 data ?

  #1 (permalink)
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How do you leverage Level 2 data ?

I'd be curious to know if any traders use level 2 data for automated trading and if so, get their perspective on the value of it and how best to use it knowing that it can be manipulated and probably not as reliable as it used to be for a number of reasons.

I've personnaly never used it but was wondering if this could be a valuable add-on to some of my existing algos.


Last edited by Virtuose1; December 30th, 2013 at 11:43 PM. Reason: typos
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  #3 (permalink)
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Interesting...the "limited" number of responses might be an indication that few traders on futures.io (formerly BMT) uses that kind of information. If anyone has experiences use it they can share that'd be appreciated. Thanks again.

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I believe the question was too generic to illicit response. But the popular retail platforms on the site are not well equipped for this task.

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Given the lack of response I'll offer a couple of comments for what it's worth. I've been watching level 2 on Eurex futures for a while now, but not actively trading. You can see iceberg orders, pulled orders, support/resistance orders. I would say there's information there to be used in an algorithm. Probably best for a scalping algorithm, though I've read of people using L2 to assist in discretionary entry/exit points for longer than scalping time frames.

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I believe the question was too generic to illicit response. But the popular retail platforms on the site are not well equipped for this task.

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I use NT. Do you have any suggestions on what could a good platform to build an automated trading strategy that leverage level 2 information ? Thanks

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Virtuose1 View Post
I use NT. Do you have any suggestions on what could a good platform to build an automated trading strategy that leverage level 2 information ? Thanks

I built my own

https://futures.io/elite-automated-trading/29764-big-mike-s-custom-trading-platform.html

Mike

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