Question on emini depth--Does anyone use the depth to place stops? I notice there is an aggregation of orders at certain S/R resistance levels that has 2-3 times the volume as the other 4 nearest levels. Today I experimented and placed my stops just beyond the big volume instead of at it (where I wanted it), and found a few times small spikes into that level didn't exhaust the supply of that level and the ES in this case continued in my favor. Had I placed my stop on that level, it would've possibly triggered if native at Globex, or triggered at IB via pseudo market order in my case. This happened at 13:22 and 13:54 on the ES mini at a price of 1032, and later at 14:22 to 14:24 where it tested 1028.75. In the first case this was the high of the 30/60 min bars and was an obvious resistance point many people used to cover their shorts I assume. The 14:22 time was at the top of the first cycle in the downtrend after channeling. All three times placing my stop beyond these points I believe saved me from premature covering of my short position. Anybody use the depth in this way, or have other ideas for its use?
Interactive Brokers Was the reply to a level 2 like display for futures... IB, with all due respect, provides useless L2 type information. It is a static display that has a timer as an update event. It is not event driven beyond that... I would know. I write code to the IB API Understand that IB is not a data provider (thank god). Otherwise their rates would go up as they would be forced to expand their license agreements with their dat providers... Perhaps JTrader would share with us who his subscription provider is? Then those of us who work at a lower level in terms of code can bring this feature into our applications... As it is, I havn't found a raw data provider that ships this information... JTrader....Do you run your own dynamic algorithms and arrays via a normal Bid refresh Ask Refresh to provide this data? I myself have the core raw data to simulate a L2...but I have yet to be shown a core low level source of this data... Scott Owner Yahoo TWS API Discussion Forum http://groups.yahoo.com/group/twsapi/
I get a kick out of watching the tape, the bid will have, say 150 contracts showing @ 1045 (NQ) ask 1045.50 showing 25 contracts, it'll jump to 1046, 1046.50, then boom, back to 1045 but now there are only 15 contracts showing and down down down she goes! I think I read somewhere that there were level 2 games trying to be played...very interesting
There is an old CME web page with an applet that shows the top five bids and offers on ES and NQ. It changed servers a while back, but still appears to work. http://128.167.130.6/WebQuote/fortune50a.html -v