Well, even though I was very clear, I'll attempt one more time to wise up the amateurs. I'm feeling generous today, and hopefully if 1000 turkeys gobble at Ameritrade they will fix it. Level 2 XYZ The Bid 100 NYSE 35.00 1000 ARCA 35.00 1000 BATS 35.00 They will show , on Level 1, only 100 bid Clear now? Hope so.
A few points to be made (seems there is misinformation here): 1. TD is presumable posting the number of lots for NBBO. This is all that matters. Due to Reg NMS, any liquidity that is posted above/below NBBO is protected unless someone does in inter market sweep (not retail) 2. Since we are talking about TD/retail brokers, you are likely looking at very old (several milliseconds to seconds) data that isn't at a tradable price. This is true for all market feeds from retail brokers (especially if not collocated). 3. If you're routing without specifying a specific exchange, your order is most likely going to a dark pool first. I really doubt much retail flow is reaching lit venues.
Guess EVERYONE confused now. Really amazing how the simplest observation is misconstrued by so many. I know what it is. 99% of you get it, and only the clueless 1% are posting. I feel much better now.
On top of this, I would also add that the problem is that when you look at what is in the order book, compared to the trades that happen, its also a small fraction. With computers these days placing trades, it literally takes a micro second to add a limit order somewhere and execute a trade without having to already have had your order in. Being at the front of the line in the order cue just doesn't seem all that important with the ES for example, unlike maybe the bonds. I don't have the tools, or even the inclination, but I would be curious to see how does, what is on the order book at each level, compare with what actually traded at that level. Suppose there is 500 offered, and 300 trades, so then you assume that 200 would be on offer left, but really, based on the way I see it, with my incredibly slow brain, I can't keep up with what is added and what is removed and I don't really see this reflected. I know jigsaw has the ability to this, but even then, I think its of little use because there just isn't much need to show you intentions in the market since it takes you a fraction of a second for a computer to put the order in. These orders can get refreshed multiple times, and pulled, and it happens thousands of times a second, so how does one keep up with that? (keep in mind that I am using IB data, and although I know its not accurate for bid/ask volume, when I compared it with a better data feed for a month, the DOM seemed to update roughly the same) Put another way, what I might see as huge size sitting somewhere of 2000 contracts, and compare this with how much actually traded there, I think its much much higher of what actually trades at that level over several seconds (ie. it looks like 2000 is available, and yet over 5000 actually trades). Other levels that didn't even ever had a huge bid or offer sitting there can add up to also be big size over multiple touches, and this wouldn't have been anywhere in the order book visible in advance. Only once price gets there perhaps do these algos start buying or selling. Now don't get me wrong, I use a version of Bookmap with my platform and find it interesting to see where the "thick" levels are, but as with anything in trading, sometimes it works and sometimes it doesn't. So ya, DOM trading these days is hit and miss I believe. Edit: Opps.. since we aren't talking futures, which are obviously all on one exchange, then this gets very tricky with multiple exchanges. My observations are only for the ES.
What a stupid and arrogant comment. Based on your later description it seems clear they aren't showing an aggregated NBBO. It's not fake, just not aggregated. But moreover, if you're smart routing you're unlikely getting routed to a lit venue and no matter what size you are trying to route, some traders will be willing to take down your tiny order flow.
Keep it coming, and I'll have to up the clueless to 2% PS For someone who just got here 10 days ago , you're pretty 'intense'. What where your other nicks ?
Just got here. Was looking at some forums to talk trading and ask a few questions about a new HFT project of mine. Believe it or not, there are a few smart people around here. There's a few other forums around the web with smart people too, but my slice of the trading world is too small to hang there
So you're an hft guru , but you don't think showing a non aggregated size , ignoring size AT THE SAME PRICE, is an issue? Can I trade against you, please?
Matters to me. No reason to post fictitious size. Aggregate all size at the same price. Period. Do you think hft don't care about the posted size? What do you think they are looking at?