That has been done. There are papers (academic) that show that money flow/oder imbalances predict price movements. As for a series of L2 snapshots, I actually have complied one, for a slightly different reason. I might work on it one day when I have more time...
Why the price of a chicken you buy at supermarket doesn't change between the moment you put it in your caddy and the moment you make the queue to pay it with many other clients that have also bought the same chicken ? Because of the rules of THIS market: the rule say that the price of the chicken should not vary every second even if there are so many clients who want to buy chickens that there is nothing left in stock Stock market has not the same rules. The rules of the stock market permit variation of the chicken every second or even sub-second. If the chicken of the supermarket was priced in stock market (why not huh ?) it could vary second by second and perhaps reach the price of a cow if someone ever launch the rumour that the whole chickens producters of the world have now decided to create a chickens farmer cartel . The micro-scale permit discretionary jump (the term discretionary refers to "quantum" or not continous jump) without any or very light force. That is why Maurice Allais - a Nobel prize economist - is saying that real time should not be permitted in stock market because market makers need not so much money to control it technically (that is to say they can make the prices they want including driving the prices up or down by crashing or making rally rather by their own will than by public will). So he advocates that fixing should be the rule instead because there would a very huge money necessary to control a product in case of fixing - in that case you have to counter the true law of the buyers and sellers all at once, this not the case in real time where it is only a very small fraction of buyers and sellers that you have to control. As for myself I say that because of fractal nature it would only displace the problem to upper scale and even worsen it because there would be no micro-speculation anymore by any trader but only megaspeculation only with giant hedges funds or you have to forbid giant hedge funds and only authorize micro-hedge funds ... in fact the same Nobel prize asked for the suppression of giants hedge funds ... he is dreaming since the ones who make the law to suit their needs are the same who make these giant funds
"Because of the rules of THIS market: the rule say that the price of the chicken should not vary every second even if there are so many clients who want to buy chickens that there is nothing left in stock Stock market has not the same rules. The rules of the stock market permit variation of the chicken every second or even sub-second. If the chicken of the supermarket was priced in stock market (why not huh ?) it could vary second by second and perhaps reach the price of a cow if someone ever launch the rumour that the whole chickens producters of the world have now decided to create a chickens farmer cartel . " huh? meat is priced the same way as stocks are.supply and demand. have you ever heard of the commodities market?
I talk of rules of a SUPERMARKET, the rules of real ECONOMY. The rules of Commodities market are the rules of Stock market, in fact historically COMMODITIES markets are the ANCESTORS of STOCK MARKETs and above all DERIVATIVES markets. Futures contracts were invented for commodities far before stock indices. Commodities market are THE REFERENCE MODEL of stock market. If you prefer, so as not to make confusion, replace the chicken by a teeth brush except if you tell me that teeth brushes are now also priced on commodities market
well the price in the supermarket is controlled by the commodities market.at any time before you pick up the chicken the merchant can change the price.at the time you pick up the chicken and put it in you shopping cart you have effectively purchased the chicken and it is out of the control of the merchant.up until that time supply and demand controls the price unless the merchant is willing to absorb the price changes.if the merchant advertises a price he is also locked into a set price because he creates a contract with that advertisement.
Then why not saying that the price of the supermarket is also controlled by the moon, the sun, the galaxy and put it simply God himself huh Do you know this joke: "Meier's Law A herd of buffalo can move only as fast as the slowest buffalo, and when the herd is hunted, it is the slowest and weakest ones at the back that are killed first. This natural selection is good for the herd as a whole, because the general speed and health of the whole group keeps improving by the regular culling of the weakest members. In much the same way the human brain can only operate as fast as the slowest brain cells. Excessive intake of alcohol, we all know, kills off brain cells, but naturally it attacks the slowest and weakest brain cells first. In this way, regular consumption of beer eliminates the weaker brain cells, constantly making the brain a faster and more efficient machine." The purpose is to explain the derivative phenomena of prices in stock market (as a category including commodities market) even and above all on micro-sub scale level whereas in traditional market we have equilibrium during at least several days if not months or years.
Tch Analysis: You do not have to speculate as you are to find the answer. This is the basic question you have to deal with successfully to make money. If you learn that an excellent approach is absolutely necessary to efficiently appreciate capital, then you embark systematically on getting the major questions on the table that will round out an bound what you have to absolultely consider to have a comprehensive algorithm to iteratively refine to optimize getting rich fast. So draw a picture of the market to be able to "see" what is going on and how to start making money. Look at the whole picture and gradually focus in on the details that you have to keep track of. I willl paint the picture you can't see yet you speculate about. There is a desk or table. Two lines face it. One on the left one on the right. the person sitting opposite these line is running the show. His simple job is taking the first person in each line and stamping their documents. the lines are formed in groups and anyone coming to get in line goes to the side hewishes and joins the group he desires to be with. One line is sellers and one line is buyers. Within each line are groups of prices. If you want to make money and make it fast. You come to the place and go to the front of the line and get stamped and leave with what you wanted. Now you ask here: Why does the price of a security (futures) rise? The better more general question is: Why do prices change? You will get to that question as you learn to not have a bias for making money as you do now. Look at the person at the table doing the deals and time stamping. He nods to the eligible folks nearest him. To transact as a person standing in the line, you have to get in the front of the line. everyone who is smart has a way of looking at the lines. So far you do not since you are not looking at the marketplace as yet judging byyour questions. You will look closely and see one line is shorter than the other. Soon you will recognize one line is in charge. As each group in the shorter line is taken care of, the people in the longer line must change their ninds about the group they are standing in if they want to get to the front of the long line. The people in the short group do not have to cahnge their minds to get to the front. That is because the people in front of them are getting their papers stamped quite easily and very soon after they come into the line. You will notice that the people who just walk in the line and go to the front of the table on either side of the line are really getting done what they want quite easily. I watch all of this all the time in very precise ways and I have roller skates to so I can zoom right to where I want to be all the time. I know the short line is in charge. I knowthe people in the long line have to do what the short line people want to be able to satisfy why they are standing in line. People who make money fast know which line to be in at the right time. they know how to watch the short line all the time. there will be some dummies reading this thatthink long and short mean lines to trade long or short. These are just the nrmal dummies you often see here making funny noises. If you get this picture, then you can begin to amke an algorithm to start making money. you have to get this picture first so you can get past idle speculation. If anyone asks dum questions about this I will use them as an example of how their minds aren't yet in gear.