DOM Dynamics - Traders Hideout | futures io social day trading
futures io futures trading


DOM Dynamics
Updated: Views / Replies:609 / 9
Created: by tulanch Attachments:0

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

DOM Dynamics

  #1 (permalink)
Elite Member
Salt Lake City, UT
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Dormans/Zen-fire
Favorite Futures: 6E ES YM
 
Posts: 233 since Mar 2010
Thanks: 46 given, 321 received

DOM Dynamics

Given ASK is at price value A0 (original price value) and price values above are at A1, A2, A3.... and BID is at price value B0 and price values are below at B1, B2, B3... At some time t, some typical point in time, what happens to the DOM volume at A0 if the ASK price value goes to A1 (next higher price value)? I would think the booked orders that were not filled are still "there" unless pulled. And in this typical example, just moments later, when price movement causes the ASK to drop back to the original price value, how is the DOM volume reported at the re-established ASK price value? It would seem if one was slow in reacting, their missed DOM orders would still be on the book, and/or perhaps if the trader was quick these orders may have been pulled (ie ASK DOM volume change at a lower-than-the-current-ask price value) . In this typical market movement, does the volume get reported just as it was when the ASK changed (which i don't think is the case) or does it come back updated (due to changes that occurred when the ASK was at the higher value)? And if it comes back updated (which I think is the case), what process is updating these orders (ie the actions taken by traders who pull a missed limit order ) below the ASK? I am certain orders can be pulled in this case(done this myself), but does that imply orders can also be added? If this is how the system works, it would seem this should also apply to A-1, A-2, A-3... to support requests in the case of a price spike that blasts past limit orders and leaves them hanging around. If my thinking is correct, then it would seem that the auction system is continually keeping track of limit orders to sell or buy at all prices, irrespective if above or below the ASK/BID respectively. Perhaps it only reports on the +10 and -10 order slots, but continually updates all in the market. Where can I find out more about this detail?

Reply With Quote
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
Market Wizard
Bangkok
 
Futures Experience: Intermediate
Platform: MultiCharts.NET, S5, Ninj
Broker/Data: AMP, S5, IB
Favorite Futures: ES
 
DionysusToast's Avatar
 
Posts: 2,618 since Nov 2010
Thanks: 766 given, 8,453 received
Forum Reputation: Legendary

Answer
This post has been selected as an answer to the original posters question Answer


The ask price can only move to A1 if there are no more offers at A0.

The bids and offers ARE the market - price only moves when they are consumed.

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
Reply With Quote
The following 2 users say Thank You to DionysusToast for this post:
 
  #4 (permalink)
Elite Member
Salt Lake City, UT
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Dormans/Zen-fire
Favorite Futures: 6E ES YM
 
Posts: 233 since Mar 2010
Thanks: 46 given, 321 received

Ah, I am getting confused where ask limits remain at A1 as it comes back down to A0. But to get to A1 from A0, all ask limits at A0 must first clear.

Reply With Quote
The following user says Thank You to tulanch for this post:
 
  #5 (permalink)
Get In, Get Out, Get Paid
Springfield, MO/USA
 
Futures Experience: Advanced
Platform: Jigsaw
Broker/Data: AMP CQG
Favorite Futures: ZN, ZB
 
Heph333's Avatar
 
Posts: 43 since Oct 2009
Thanks: 49 given, 69 received

There are algorithms that trade in milliseconds constantly adding and removing their orders on the depth. This can give the appearance that price moves before all the limits are consumed, or that when it backticks and you see a lot of orders, it may appear they were already there.

Price can only move to the next level once there are zero limit orders left at the current level. Orders are being added and removed so fast, that it doesn't appear this way.

Think of it in terms of an auction: nobody is going to buy a vase for $10 is there is one available for $9. Likewise who would sell their vase for $9 if somebody is offering to pay $10?

The best resource for simply explaining how the market moves is the Jigsaw Trading website's free training section.


Last edited by Heph333; October 2nd, 2016 at 06:00 PM.
Reply With Quote
The following 2 users say Thank You to Heph333 for this post:
 
  #6 (permalink)
Market Wizard
Bangkok
 
Futures Experience: Intermediate
Platform: MultiCharts.NET, S5, Ninj
Broker/Data: AMP, S5, IB
Favorite Futures: ES
 
DionysusToast's Avatar
 
Posts: 2,618 since Nov 2010
Thanks: 766 given, 8,453 received
Forum Reputation: Legendary


tulanch View Post
Ah, I am getting confused where ask limits remain at A1 as it comes back down to A0. But to get to A1 from A0, all ask limits at A0 must first clear.

Yup - you got it!

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
Reply With Quote
 
  #7 (permalink)
Elite Member
Boston, MA / USA
 
Futures Experience: Intermediate
Platform: NinjaTrader
Favorite Futures: ES
 
Posts: 199 since Apr 2013
Thanks: 2,072 given, 258 received

The DOM also has some update latency. 300 milli seconds would be typical. So you would not necessarily see a price level deplete to 0 before it moves to the next level.

Reply With Quote
 
  #8 (permalink)
Market Wizard
London UK
 
Futures Experience: Beginner
Platform: CQG
Favorite Futures: Futures
 
xplorer's Avatar
 
Posts: 2,923 since Sep 2015
Thanks: 6,287 given, 4,509 received
Forum Reputation: Legendary


Camdo View Post
The DOM also has some update latency. 300 milli seconds would be typical. So you would not necessarily see a price level deplete to 0 before it moves to the next level.

Are you referring to a specific platform?

Reply With Quote
 
  #9 (permalink)
Market Wizard
Bangkok
 
Futures Experience: Intermediate
Platform: MultiCharts.NET, S5, Ninj
Broker/Data: AMP, S5, IB
Favorite Futures: ES
 
DionysusToast's Avatar
 
Posts: 2,618 since Nov 2010
Thanks: 766 given, 8,453 received
Forum Reputation: Legendary


xplorer View Post
Are you referring to a specific platform?

You really have 2 things to consider there...

1 - latency of data to your PC
2 - frequency of screen updates

At peak times, there can be 60,000 bid/offer updates in a minute. You obviously don't need to see them all and to avoid thrashing the CPU, there needs to be some sort of throttle.

Whether that adds latency or not depends on the architecture and how the throttling was implemented.

Most people in the US are 30-50ms from the exchange. I would estimate that total latency of 300 for someone in the US is on the high side.

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
Reply With Quote
The following 2 users say Thank You to DionysusToast for this post:
 
  #10 (permalink)
Market Wizard
London UK
 
Futures Experience: Beginner
Platform: CQG
Favorite Futures: Futures
 
xplorer's Avatar
 
Posts: 2,923 since Sep 2015
Thanks: 6,287 given, 4,509 received
Forum Reputation: Legendary



DionysusToast View Post
You really have 2 things to consider there...

1 - latency of data to your PC
2 - frequency of screen updates

At peak times, there can be 60,000 bid/offer updates in a minute. You obviously don't need to see them all and to avoid thrashing the CPU, there needs to be some sort of throttle.

Whether that adds latency or not depends on the architecture and how the throttling was implemented.

Most people in the US are 30-50ms from the exchange. I would estimate that total latency of 300 for someone in the US is on the high side.

Thanks Pete - makes sense.

I have 2 separate platforms, CQG and NinjaTrader, and the DOM updates appear to be considerably faster on the former - which is why I was questioning the blanket 300 ms statement.

Reply With Quote

Reply



futures io > > > DOM Dynamics

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)
 

Introducing daytradr by Jigsaw, new stand-alone platform

Oct 19
 

RandBots: AutoTrading Bots to diversify your trading

Oct 24
 

TopstepTrader: Profiting Without Risking Your Own Money

Oct 26

Building Open Source Indicators for NT8 w/Fat Tails @ Lizard Indicators

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Rhythm Relay System - Software reviews (www.price-dynamics.com) MarkG Trading Reviews and Vendors 3 May 16th, 2016 01:26 PM
Trends and Nonlinear Dynamics Fat Tails NinjaTrader 20 January 25th, 2016 09:36 PM
DOM Leon of Pizza Platforms, Tools and Indicators 0 September 5th, 2015 08:10 PM
Truths behind market dynamics olevkat The Elite Circle 1 February 6th, 2013 06:36 AM
broker dynamics Stem1 Reviews of Brokers and Data Feeds 6 October 16th, 2010 09:41 AM


All times are GMT -4. The time now is 03:45 AM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-10-18 in 0.15 seconds with 37 queries on phoenix via your IP 54.81.110.114