DAX scalping and leaning on size

Discussion in 'Index Futures' started by qazwsxedc, Mar 8, 2007.

  1. The recent fun in equity markets made me look at index futures again, and I found what looks like a tradable edge in FTSE and FDAX.

    I'm keeping an eye on it during the day, and noticed that the market's behaviour relative to large limit orders seems different in FDAX and FTSE.

    The attachment is a snapshot of the Eurex book at about 12:15 CET today. Chart showed resistance just below 75. In the book there's a largeish offer at 75. So far so good.

    What seems to happen in FDAX is that the market stays away from such large limit orders by 1 tick. In the FTSE it tends to hit them exactly and then they go away, being spoofs. I've now observed this so many times that I'm wondering: Is it feasible to lean on size in FDAX? Any FDAX scalpers care to comment?
  2. What data feed gives 10 levels on each side ? IB gives only five.
  3. PATS, RTS, Easyscreen, X-Trader, etc.
  4. The FDAX will run right thru those large numbers in the book. Alot of times those are 'spoof' book orders and will be pulled at the last second, only to have the price run up another 5-10 points in the blink of an eye. Watch what happens when the ECB has it's press conference in an hour.
  5. Well, that's what the FTSE does all the time. I was asking about FDAX because it looked to me (over the last few days at least) that some of these large orders made the market shy away from them. I'll definitely watch carefully during the ECB press conference, Trichet's graduations of vigilance are always good for a few moves :p
  6. Try altering the number of rows to display in; configure/ booktrader-settings/number of rows to display.
  7. Isn't that just number of rows in the table ? Not visible price levels.

  8. Have a look at the ftse Liffe order book..
  9. Yes, but that's not the DAX. YM shows 10 levels each side. DAX, ER2, ES show 5 on each side.
  10. Yes, I see that now. My mistake.

    Perhaps a quick email to IB customer service will clear the matter up?
    #10     Mar 8, 2007