A limit order book shows the number of unexecuted limit (or stop) orders resting on the exchange at each price increment. According to this unsourced quote from Cerco, the full order book which market makers have access to, contains "large orders or clusters of orders away from the current market" I assume he is referring to Limit order data or limit order book that is inaccessible to retail traders.
Quote from cerco: The ECN full book (Level III) used by MM's (market makers) which includes size for each price tier buy and sell side - showing large orders or clusters of orders away from the current market indicating support and resistance levels. This can be used to "hunt" stops, triggering them to drive the price lower in order to buy the stock at lower prices.
I contacted the CME and asked why this data on limit orders is only available to market makers. The rep. I spoke with insisted no one has access to this information, including market makers since 'it could be used to manipulate the market'. His statement conflicts with cercos description of the market maker order book. I'd like to know who is correct (link the source).
A limit order book shows the number of unexecuted limit (or stop) orders resting on the exchange at each price increment. According to this unsourced quote from Cerco, the full order book which market makers have access to, contains "large orders or clusters of orders away from the current market" I assume he is referring to Limit order data or limit order book that is inaccessible to retail traders. I contacted the CME and asked why this data on limit orders is only available to market makers. The rep. I spoke with insisted no one has access to this information, including market makers since 'it could be used to manipulate the market'. His statement conflicts with cercos description of the market maker order book. I'd like to know who is correct (link the source).
If you find a data feed specification that includes stop orders, I will love to read it.
The data feed specifications for most markets and ecn's (including CME) are publicly available... and yes, they're the same specifications used by market makers and other institutions to setup their feeds. I've worked with most of these feed specifications and they info on each individual order sitting on the queue, down to the order #... but only limit orders. Stop orders are not included.
Quote from pcp198: ... the full order book which market makers have access to, contains "large orders or clusters of orders away from the current market"...
The "market" at any time is the best bid and offer (BBO).
Limit orders resting at current BBO are "at the current market".
Limit orders resting at levels other than BBO are "away from the current market".
As long as your data feed provides other than just BBO, you can see these resting orders that are "away from the current market".
