[rwk]

Originally Posted by carltonp »

... is it possible to determine if a transaction has been executed at bid or ask, realtime?

I'm a little late to this thread, but I thought I would chime in. I am pretty much where carltonp is, that I am attempting to use automation to read and act on order flow. I was a professional programmer before becoming a full time trader. I am well aware, as joshdance points out, that I am competing with the smartest and best-financed traders in the world at their game. I also have many years' trading experience.

Thanks to gosu for pointing out that "GLOBEX allows orders to be shown that do not reflect the actual size being bid or offered; e.g., a bid of 1 contract at a certain price could actually be 1000 contracts.". I knew that was common in stocks, but I had not heard that about GLOBEX.

I have heard that GLOBEX is now aggregating trades. I'm not sure if ECBOT is doing that too, but I would not be surprised if they are or will be soon. The problem is bandwidth and transaction volumes.

That's also something I wonder if carltonp is aware of. While IB's data is aggregated, it has less lag, especially during busy times, than more complete data feeds. You can have completeness or you can have timeliness ... take your pick. I use IB's data. There are some things about IB's data that don't seem to be widely known. For example, we can now get live volume together with price in the same update, along with a timestamp. Pair that with DOM, and we have a pretty complete and timely picture of what is happening at a rate of well over 100 updates per second.

By way of clarification, we need two things to be able to trade off order flow: the limit order book (which shows bid/ask but not trades) and the tape (which shows trades, not bid/ask). This thread got to be pretty confusing about that.

Regarding carltonp's question above, it comes down to identifying whether a trade removed size from the bid or ask. I believe you can guess, and you will be right most of the time. But what I really wonder is: How useful is that information?

[rwk]

[joshdance]

Originally Posted by carltonp »

Josh,

What trading platform do you use?

Investor RT for charting, and NT for order routing to my broker (using the DOM).

[gosu]

Originally Posted by carltonp »

Josh, I think I've been bit of a numpty (British term for what Americans call a Putz).

Do you remember when Gosu said 'That policy would seem to make suspect any trade decision based on what's showing on the bid and ask at any given time regardless of the flawlessness of the data itself.'

What is exactly what I was doing, when it actual fact I thought I was doint what you thought I was doing when you said I think carlton is talking about transactions that have been executed, not orders in the book.

It's still possible to write a formula for that, just going to require a little more thought....

Thanks mate....

It seems to me that you are looking to design some type of a poor man's HFT algorithm to trade a retail account. My experience is that the "micro" level of the market is not the optimum place for a retail trader to operate. There is so much gamesmanship at that level that you really need to secure your bearings as to the right side of the market from less transitory elements and then zoom in when an action is required.

Indeed, once you know the right side, you will find that the best action points are fading the "fake outs" on the micro level and not reaching for prices after the move is underway. By "best" action point I mean an entry that can be "washed" easily if the need arises and an exit that extracts the bulk of the move--after the "swoosh," if you will.

You will be operating on another level when you no longer wait for "confirmation" but hit the transmit button to fade the micro spike on the stall because you KNOW that is the right side. Capturing the spread is just icing on the cake.

[Jleon]

The T/S and DOM is a crazy place that is for sure. To be able to see Iceberg and other institutional orders is a big help with any trading method.

I have created Software that works with Ninja Trader and plots these orders on a chart in real time. I have been a trader for 11 years and have always looked at the order flow on the DOM and T/S but a lot of orders have become way to fast for the human eye or are hidden in tiny lots. I have examples and screen shots to help explain. This will help anyone that is trying to understand the market by tape reading.

My website is Tradewithvolume

Have a great day!

[bobcollett]

Hi cabbie
Are you also a partner in this business, or just support?
Regards
bobc