DOM games

[brownsfan019]

Here you go Ravin - a real-time example from this afternoon. This was just a small bit of time that I watched. I could not imagine doing this throughout the entire day.

Obviously with some refinement, something like this could work, but it's far from being the grail and as easy as it sounds. Big surprise!

[BlowFish]

Random thoughts.

The thread over at ET is one of the few I keep an eye on shame it is pretty much dead now. Interesting stuff. Casual observation show it to be 'real' though in practice the flip from bid heavy to ask heavy can occur as quickly as price can turn. Handy as a confirmation perhaps? To me this is like market delta in many ways it is more information that is not simply based on price but is more information necessarily a good thing? Actually combining market delta with order book analysis is likely to yield a pretty unique tool allowing you to see orders fillled @ price versus orders pulled @ price.

There are two broad categories of order those that show on the book (limit) and those that don't (stop & market). Most people have a good idea where the invisible orders are hence to and froing as the market tests levels. Ironically the break out traders and peoples stops (invisible) will likely be in the same area the buy S/R traders have there limit orders.

Markets exist to facilitate trade it is uncanny how they move towards size. This seems counter intuitive to some. It is a bit of a paradigm shift but offers an interesting perspective. For example if you accept this then it is easy to think of S/R as levels that actually attract price rather than repel it. Put another way price tends to move to them rather than away from them.

Bracket Trader (and possibly other order helpers) show cumulative depth. IB offer a sample DDE spreadsheet that's easy to modify. Neoticker can also display depth info on charts.

Great thread will be interesting to see where it goes.

[RAVIN]

Much obliged BF , can I presume that this primarily for scalping, could this be applied to say trading of 15min or 5min charts.

Question still remains, why does price gravitate towards size, what is the logic, the only one I can think of is if I was long, I would have a sell limit order at some resistance level, so if enough people employed this mode of exit, one could have a whole load of limit orders at a resistance level. Ofcourse to place that exit limit order was indicative of bullishness on the part of traders.
Correct me if I am on the wrong track

[brownsfan019]

	Quote:	RAVIN
	Much obliged BF , can I presume that this primarily for scalping, could this be applied to say trading of 15min or 5min charts. Question still remains, why does price gravitate towards size, what is the logic, the only one I can think of is if I was long, I would have a sell limit order at some resistance level, so if enough people employed this mode of exit, one could have a whole load of limit orders at a resistance level. Ofcourse to place that exit limit order was indicative of bullishness on the part of traders. Correct me if I am on the wrong track

Ravin - If you look at the actual numbers from my sample and watch this during the day, what I have seen is:
1) Price may gravitate towards some volume at some point.
2) To try to trade off of just this is tricky at best and requires other filters.

What I am saying is that I'm having trouble seeing any use of the cumulative depth on the DOM at this point. There may be other filters needed but with as quickly as those numbers change, it's hard to decipher the 'real' volume that may attract price and just the games being played trying to attract price and then dump it. That's the other side of the coin - if we assume price travels to the heaviest volume, what happens when that volume just up and disappears? That happens OFTEN.

As for using this on a larger timeframe, I really don't see how just using the #'s on the DOM. Reason being that these numbers flip by the second, so I don't know how to translate that to a 5 min chart in and of itself. A couple of the posts at ET have turned this into some sort of charting indicator, so I would guess you'd have to go that route in order to trade off a larger timeframe. Again, how you implement something like this that changes by the second over to a 5 or 15 min chart I am not sure.

As for why price appears to gravitate towards volume I think it comes down to the job of the exchange - which is to match buyers and sellers. In order to move 'inventory' price needs to go to a place where there's the most buyers and sellers IN THEORY. Since the bidders and sellers can pull their bid or ask in seconds however, the auction is constantly moving around to find the next buyers and sellers.

I could see something like this being useful in theory and looking good on paper. Just casually looking at it though, I would think some sort of additional filter(s) is necessary to try to find when price is heading towards real buyers or sellers (those that plan to get filled at the stated price) and when to avoid the possible fake bids/asks of people that are simply trying to make price look like it could move....

[TinGull]

Another fun one...just now. Still is real thick on the offers....

[Richard III]

The understanding I am getting is the DOM is showing lots to buy and sell around the market price. If a large lot order is submitted, several points away from the market price when does that show on the DOM? Especially, if the order is made counter to the current market trend.

[Richard III]

I stumbled across this link http://www.ioamt.com/media/videos/da.../sforecap.html. It is a flash video. The first half is a overall market report however, the second half goes right to the S&P emini, showing how to trade using the DOM. I dug into the source and found it to be a proprietary subscription system. But it does show enough to add some direction to the ideas on this thread.

[brownsfan019]

	Quote:	Richard III
	The understanding I am getting is the DOM is showing lots to buy and sell around the market price. If a large lot order is submitted, several points away from the market price when does that show on the DOM? Especially, if the order is made counter to the current market trend.

Richard - the volume will show on the DOM when it's within 'view'. On the ES for example, most DOM's show 5 levels of bids and asks. Other markets like the bonds show 10 or more.

So the large orders you are referring to will appear when they are viewable on the DOM platform that you are using.

[Richard III]

Brownsfan,
Thank you.

[RAVIN]

	Quote:	Richard III
	I stumbled across this link http://www.ioamt.com/media/videos/da.../sforecap.html. It is a flash video. The first half is a overall market report however, the second half goes right to the S&P emini, showing how to trade using the DOM. I dug into the source and found it to be a proprietary subscription system. But it does show enough to add some direction to the ideas on this thread.

Hi Richard,
The link only shows video on Market profile analysis, nothing about trading via DOM
Wonder if there is another link to that, the 2nd part that you mentioned