Can anyone help out with advice?

Discussion in 'Order Execution' started by vladiator, Jun 27, 2002.

  1. Hi guys. Can someone please tell me how I can import the Level 2 info (e.g. into a spreadsheet) for further analysis? I'd like to examine the market depths dynamically. There's got to be a way... (besides capturing the screens as image files :))
    Thanks a bunch.
  2. Not sure who you use, but Ive never heard of being easily able to capture that data.

    You'd have to have a hook into the data flow, or some way to save it to a file.

    What do you think you'll find by analyzing this data?
  3. Speculator1929

    Speculator1929 Guest

    Are you looking for just the bids and asks or specific MM information?

    What are you going to do with it when you get it? I mean it seems to be dynamic and any data you get is instantaneously old. What a market participant did yesterday, last week does not necessarily protend what he will do today.

    Maybe one of those "black box" guys tracks the info you are looking for. It would be one huge database. One stock or the entire OTC market?
  4. I use TradeStation, but that is not really relevant, if I can get it elsewhere, I don't mind paying the extra subscription. What in particular am I looking for? A bunch of things, like how the current imbalances in order flow predict future returns etc. All the stuff that has been done so far looks only at the best quotes' depth, to the best of my knowledge, which is definitely a second best approach. There's a myriad of other things that can potentially be done with that data that I'd rather not go into for predictable reasons :D
  5. I agree that is becomes old almost instantaneously, but whether the imbalances can be used to consistently predict short term returns afterwards is an open question. Ideally I'd like to have MM info as well, but that is not at the top of the wish list. bids and asks would be sufficient for most of what I plan to look at. I also agree that what someone did today has little to do with what they'll do in the future, but the results of their collective actions are a different story. I also wanna examine the clustering and herding of MMs.
    Who are the "black box" quys? Pardon the admittedly newbie question... One a several high liquidity stocks would be sufficient. All of OTC would definitely exceed my computing capacity. My machines are hardly keeping up with two years of NYSE TAQ data that I have already... :D
    If someone has any other ideas for stuff that you'd like examined - feel welcome to send me a suggestion. E.g. the "trade-through" thread I read elsewhere is something that I could probably tease some info about if I had the info on the Level 2 and the trades that took place.
  6. look into ensign windows. it is the most adaptable product. i think advanced GET and some other quite expensive products allow you to filter L2 in real time.

    you might want to wait until after supermontage is introduced. there will be some changes to the data format, i bet....
  7. It's not an open question. For liquid Nasdaq stocks, the answer is absolutely NO. You're attempting to use a bottom-up approach to predict price movement instead of a top-down approach. It's like trying to predict which way a dog owner is walking by focusing on the random movements of his dog. On volatile Nasdaq stocks, the dog's leash is pretty long so the movements of the stock are highly erratic. Plus, aggressive day traders using ECNs adds further randomness to the mix. I think candlesticks and standard technical analysis is the best method of predicting the best possibilities for future short-term price movements ONLY for high probability chart patterns (i.e., breakouts, breakdowns, gap ups/downs), not range bound securities.

    A prime example of how the Level 2 approach to price prediction does not work is the fact that Level 2 momentum traders are no longer successful. The technicians playing high probability patterns are doing much better. 1 or 2 years ago, you could use Level 2 to accurately predict price movement because stocks had good elasticity and follow-through. Nowadays, people sell into rallies far more frequently so this method doesn't work. Stocks turn on a dime regardless of how good the bids look. Trust me, I know because I was a momentum trader for 2 years and made good money. Now, I'm struggling with that method and had to switch to technical analysis. I'm doing much better now!
  8. Thanks for an eloquent analogy. It does make sense in the majority of cases probably. But there are cases of self-fulfilling prophecies, the fleeting panic/euphoria of the traders you are referring to might temporarily move the price in the direction they are (rightfully or erroneously) afraid it is headed. In other words, if the dog is big, strong and insistent enough, the owner might temporarily be pulled toward the tree, lamppost that was not on his original route plan. I don't even wanna mention what happens when a cat or a female dog in heat shows up nearby :D
  9. Well, I wish you good luck on your experiment. I guess you'll just have to learn the truth for yourself! But don't say I didn't warn you! :p
  10. See, in my particular case, given the circumstances I'd rather not go into, whatever I find will be great. If what I find is what you suggest - that A implies B in 100% of cases and never ever can I impute from that that B is implied by A - that's a great result in itself. I'm not out to make a $ off of this at the moment, I have another stategy that, thank God, has been working great for me so far. Thanks for constructive input though.
    #10     Jun 28, 2002