Hello everyone. I am new to the forum and generally to the English-speaking trading community, so sorry for my English and stupid questions. So, the first question is: does DOM/time and sales trading still work? I mean, there are a lot of opinions that it is not, because of HFT, fundamental market changes etc. If you look at the pictures of prop firms, where groups of traders sitting in front of monitors with only DOMs on them, it is easy to believe in DOM trading, but the truth is that most of that pictures were taken several years ago. Not so many prop trading firms still alive actually (may be i am mistaken). And a lot of those firms that still there, hires IT specialists/algorithmic traders. It will be great to acquire comments from the prop traders on that topic ( of course comments from other traders will be appreciated too). How do you trade now? Is discretionary DOM trading still actual? Is there DOM/time and sales training course for the trainees in prop firms? How do you see the future of such style of trading? And the main (final) question is: is it worth the time of learning DOM/time and sales now? Because it is looks like a day-by-day routine for a minimum half a year to me. Thank you.
In your post, you didn't say what you will be trading, particularly whether stocks or futures. There are two people I know of who teach trading based on market depth: John Grady and Jack Broz. Both trade futures, mostly bond futures. I know less about what the prop firms are teaching and doing these days. When you're working with market depth, you are working in very short time frames where latency becomes a potential problem. If you are sitting at home connected to a broker via the Internet, you are seeing action that has happened some time ago. It may seem quick, but it is an eternity to a computer. Some brokers and even some exchanges send conflated or sampled order and trade data, which means you are not seeing everything that happens. You should also be aware that most exchanges allow hidden/iceberg orders that you never see. One advantage of trading futures is that you have a single limit order book, so your DOM display is simpler, and order routing is simpler. With stocks, you have dozens of venues in the USA alone, plus more offshore. Some stock venues are dark, which means they don't show their order book. The various exchanges and ECNs for trading stocks each have their own order handling rules, and many order types are unavailable to a retail trader. I have been studying book data five levels deep and tape data for several futures issues traded on Globex. My software captures every update, several million per trading day during the pit session. I have pretty well concluded that the data is so noisy that any signal is too weak to meet my needs. I was mostly looking at size on the bid and ask, upticks and downticks, and pace of tape. I have contemplated using automation to identify some of the patterns Grady and Broz teach. Grady thought I would be wasting my time, but Broz was more encouraging. I don't know if people can still read the DOM and trade the way they used to. I know that is not how I want to trade. My computer can do that so much better than I can, and it doesn't feel fear, greed, or fatigue. With regard to trading stocks, IB founder Thomas Peterffy called it "a mess". I couldn't agree more, and I would only trade stock longer term. PS: Your English is excellent.
Thank you for your reply! I am trading futures, mostly bund/bobl and i was very encouraged by John's book. Actually, that is why i am interested in dom/time and sales. I have acquired several opinions similar to yours. It seems that dom trading is much harder nowadays, but i hope it is still possible. Yes, i am afraid the delays your talking about exist. That is the problem i did not take into account (but obviously, I need to do it because of my location). I hope my broker (mirus futures) and data feed (zen-fire) is ok. There are a lot of things to consider, so thank you for your opinion!