...my understanding is that the big boys can elect not to have their orders shown on GLOBEX. I do not know this from research, just what I was told. Perhaps some one in the know will be kind enough to correct me if this is wrong. Makes no difference to me, as I am functionally illiterate, tape-wise, so I never tried to verify it
QUOTE from CME "Maximum Show Quantity: The GLOBEX matching host offers users the capability to specify whether or not the entire quantity of an order is exposed to the market by optionally defining a "maximum show" quantity. By using this qualifier, a user can expose the order to the market gradually. For example, a user may place an order with a quantity of 1000. If a "maximum show" quantity of 100 is also specified, no more than 100 lots are exposed to the market at any time."
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...sorry, I didn't intend a digression. But we got Market Man's definitive opinion on how to relieve stress while trading. Continuing with your original post, have you been trading the approach you described? How about backtesting it? I thought once about that, but it doesn't appear to be possible to capture the B&A with E-Signal.
I'm just starting to put some code together on this idea. Since I have no historical bid/ask data I've been forward testing this basic idea starting today. I can already see that the ratio needs to be more like 5 to 1, and rule #3 regarding a significant absolute # of contracts may be unnecessary/unbeneficial. The exact idea I presented in post 1 in this thread does a pretty good job of getting into the trend moves early - problem is that it gets chopped up in congestion. Not really a surprise there. I think some of the "fake" bids/offers that trendy mentioned are messing the system up. May need a way to counteract that.
Does the fact that market participants may be buying or selling a larger quantity than is visible negate the validity of this strategy and render the whole idea of looking at the ES Bids and Ask sizes futile? I personally never pay any attention to anything but the best bid/offer/last and do so without regard to the sizes shown. Question for the female traders: Does size matter?
...sounds like a noble endeavor! I believe that TradeStation allows you to capture B&A if you get on to something. Be sure to tell us if you fail. If we hear nothing more from you, we'll assume that you and Market Man are on a warm beach somewhere dispensing $100 bills to the local talent.