What software tool do you use to monitor the market depth of the e-minis? This is all very interesting...
IB's market depth feature seems good enough for me at least. I have been using it for a few days now and I think it has real potential to improve my trading.
Take that market depth, run all the levels you have through a filter that weighs each level and then come up with a moving average of the aggregate difference between ask weight and bid weight and compare it to future trend movement.
I have just been reading in one if the IB discussion forum that Market depth data were not accessible yet thru the TWS API. So, it looks like charting packages using the IB feed (like Sierra, quotetracker, etc) won't be in a position to provide realtime charts of such data... Aphexcoil just mentioned some interesting points and I would like to investigate such approaches more in details... But the main remaining issues are : how/where to collect Eminis market depth data for making the study ? how to get such data be charted in realtime ? All information on this will be very much welcomed Eddy