Level II market data for NQ ?

July 7th, 2023, 10:36 AM

Hey guys I've been trading futures for 2 years now and I just subscribed to level 2 market data just to experiment. My question for those who trade NQ or MNQ is , how can u read all the orders so fast, is it useful? do u see just some orders? It is so fast that I cannot see clearly the functionality. But please tell me if you have experience with it .

July 7th, 2023, 10:58 AM

yotinky

Hey guys I've been trading futures for 2 years now and I just subscribed to level 2 market data just to experiment. My question for those who trade NQ or MNQ is , how can u read all the orders so fast, is it useful? do u see just some orders? It is so fast that I cannot see clearly the functionality. But please tell me if you have experience with it .

Simple - "you" can't

I'm sure there are a few DOM traders out there that may say otherwise, but processing tick-level data at those rates presumes you've written code to process it all in real-time and make decisions based on pattern recognition (be it TA-based, order flow/book-based or a combination of both). Sprinkle some machine learning in there to help optimize and proper money management and you end up with a tradable system.

My .02

August 4th, 2023, 01:18 AM

Reading orders from the order book is not that useful.
You can run a market footprint or a market profile indicator to show deltas between bids and asks, that will be a lot more readable.

August 4th, 2023, 02:51 PM

Guys, check out Bookmap. It's essentially a visual DOM. Some refer to it as "Level 3" data.

Not affiliated with them. Software and data isn't free.

August 4th, 2023, 03:25 PM

To be honest, you shouldn't be able to without building some derived signal over it.

Just picking a random minute (2023-07-31T13:00Z+00) for NQ lead month, there are nearly 10k book updates, or 166 updates per second. The refresh rate of a typical monitor is 60 Hz, so at times even your monitor can't refresh as fast as it's updating, much less your own human discretion. This is just the average rate�during important moments, the traffic spikes even more.

Code

                                                               ts_event  rtype  publisher_id  instrument_id action  ...       order_id  flags  ts_in_delta  sequence  symbol
ts_recv                                                                                                             ...
2023-07-31 13:00:00.000521418+00:00 2023-07-31 13:00:00.000024365+00:00    160             1           2130      C  ...  6845306502122    130        13940   7398365  NQ.n.0
2023-07-31 13:00:00.000827400+00:00 2023-07-31 13:00:00.000100267+00:00    160             1           2130      C  ...  6845306509537    130        14042   7398398  NQ.n.0
2023-07-31 13:00:00.000891234+00:00 2023-07-31 13:00:00.000121181+00:00    160             1           2130      C  ...  6845306501874    130        14719   7398404  NQ.n.0
2023-07-31 13:00:00.001205300+00:00 2023-07-31 13:00:00.000197271+00:00    160             1           2130      C  ...  6845306502431    130        14526   7398434  NQ.n.0
2023-07-31 13:00:00.001228104+00:00 2023-07-31 13:00:00.000203197+00:00    160             1           2130      C  ...  6845306508954    130        14152   7398435  NQ.n.0
...                                                                 ...    ...           ...            ...    ...  ...            ...    ...          ...       ...     ...
2023-07-31 13:01:59.944566006+00:00 2023-07-31 13:01:59.944468501+00:00    160             1           2130      C  ...  6845306517514    130        16305   7431597  NQ.n.0
2023-07-31 13:01:59.955101630+00:00 2023-07-31 13:01:59.955015643+00:00    160             1           2130      C  ...  6845306531705    130        14917   7431601  NQ.n.0
2023-07-31 13:01:59.955210304+00:00 2023-07-31 13:01:59.955112333+00:00    160             1           2130      C  ...  6845306531748    130        17529   7431603  NQ.n.0
2023-07-31 13:01:59.956776386+00:00 2023-07-31 13:01:59.956670919+00:00    160             1           2130      A  ...  6845306531800    130        17204   7431604  NQ.n.0
2023-07-31 13:01:59.969066201+00:00 2023-07-31 13:01:59.968958369+00:00    160             1           2130      C  ...  6845306531771    130        18394   7431607  NQ.n.0

[9481 rows x 14 columns]

Moreover a lot of feeds or UIs conflate the events, in a way that obscures important features like trade sign autocorrelation, uptick/downtick, etc.

August 4th, 2023, 04:28 PM

NQ is a special avatar.
It reminds me of the wild days before 2000 on the ES.
It moves FAST to say the least.

I've attached a chart of today's ending on NQ.
Notice the BLUE bars at the bottom of the chart.
Some of them seem to be missing.
They are not missing, they are completed in the same time section so NT can't measure them.
On the Data Box the vertical line highlights one bar that had 48 volume but ZERO bar speed.
If you can stand the rhythm it is a nice ride.

This is typical of NQ.
It is as wild as my first girl friend and much hotter.

Level II market data for NQ ?

Discussion in Emini and Emicro Index

Level II market data for NQ ?