http://www.nyxdata.com/nysedata/Default.aspx?tabid=808 NYSE Amex OpenBook provides a real-time view updated every second of the Exchange's limit-order book for all NYSE Amex-traded securities. NYSE Amex OpenBook lets traders see aggregate limit-order volume at every bid and offer price, thus responding to customer demand for more depth-of-market data and raising the NYSE Amex market to an even greater level of transparency. NYSE Amex OpenBook is available directly from the NYSE Amex via a direct data feed and via most market data vendors. --- My question: what prevents adaptive algorithms from identifying price levels with large buy / sell support for a given security in order to set up a natural hedge against adverse price movements? EG: If I know there is lots of limit buy-side interest in a security @ 50 and it is currently selling at $50.50, shouldn't I buy NOW and be rewarded with limited downside risk?