Attempting to read order flow off of time & sales on a product like the Emini is just going to end up with you wearing glasses, having a headache or both. See if you can get your hands on a recording of the NQ realtime T&S during last February's sell off, watch it and then let me know if you want to become a master of order flow. There are a lot of tools out there that amalgamate the information into something usable but they just have to fit your trading personality. Most of them allow you to filter trade size and change the segmented amounts but with the allowance of icebergs and the fact that certain markets have more hedging than others dilutes what one is actually seeing with the naked eye.
Yes, you are absolutly right. I did not want to mislead you. I thought IB had 'fixed' it all ready because this was the case years ago. I have posted before and after charts, you can indeed see a difference in the indicators that uses bid/ask volume trough IB. My appoligies.
No problem at all since I don't use it. The premise of why this would work just doesn't hold up. You think that buys on the ask mean aggressive buyers so price should go up, but often times, price does the exact opposite. Many profitable traders I believe are also only entering and exiting the market via limit orders. Well, a limit order is the exact opposite of an aggressive market order, and yet, it is still used to indicate that you're wanting to be long the market. Anyway, my point is that even though some of it is interesting, there just wasn't enough of an edge there for me. Sometimes the stars align and it would help you get in, other times it prevents you from taking a trade, which would work, or sucks you into a trade that doesn't work. To add another variable into the decision making process which is perhaps only 50/50 anyway isn't always a good idea.
I used it in a context with support and resistance levels. If I see it devolping before my eyes and it make sence I put on the trade. If it doesn't, I pass. I feel that order flow helps to see if it holds or goes trough the support or resistance. If you are looking to see how it works, I suggest too put up a chart and cummalative delta. Look at it when you are at a support or resistance point. Maybe you can see what I see. It can be a tool in your trading if you see it. Give it a day or two. If you do not see it, move on to something else and forget about order flow.
Hi Handle, you mentioned that you run automated systems using level 2 data. Is there anything commercial out there or the only solution is to write my own level 2 backtester. If writing one, what guides are there to get one started?