Yes, TWS really isn't fast enough if you want to know the microstructure of what happened. Sometimes I think about getting an extra data feed that might lag but include all the information however folk like Bolter tell me that even with that data tools like Market Delta don't work well on HSI.
yeah tws dont work good on hsi, 'till recently u couldn't see the order grid on booktrader for the first half of the session...only after the break size begun populate the ladder. now looks it is kk, but i traded it only ystdy after a whole month without touchin' it. u noticed that?
not sure what you're talking about here but I have TWS and book trader up and running every day and it works perfectly fine on the HSI. (I also have an exchange provided click station and I can assure you that I can enter orders in and out faster via the TWS than via the exchange system). The fact is that if the book is thin - say 15 contracts deep for 5 ticks, if a 20 lot goes through, you'll have a very difficult time hitting the 5 lot balance ahead of all the API's running in this market. That's not a function of TWS speed. it's one of human interaction vs a computer that can react faster and take out that order faster than you by a magnitude of well over 250ms.
no maybe i wasnt clear, and am not even sure it was an ib thing: booktrader size on the outside quotes was not visible durin' the first half of the session. ystdy i traded it for the first time after more than a month and noticed the grid was full for the whole session. for what concerns orders i have zip complaints, when i referred to be able to see both orders line i meant i can enter a buy order 10ticks below the mkt and immediately close it at a profit, with no time for the lines to disappear, sorta compliment to the index.
ok, understood. the book trader should be populated with a depth of +/-5 quotes. Rarely will HSI not have that type of depth in the front month and I don't recall any data issues we had out here. However, if you're looking at the furhter out months, (ie. DEC instead of Nov right now), you may not have 5 orders populating the book. I can't speak for MHI as I rarely look at that book. (doesn't matter as anything out of line relative to HSI will trade).
Good on you, I seem to be not able to day trade the HSI Can't find anything with a profit factor above 2, or just very little trade... missed the resent up trend since the 31st, but last trade was 25/10 15:45 to 27/10 12:19, LOL
Fill in the HSI is bad... I am a bit long term, so I most of the time I know will there be a signal 2 to 3 min before hand, so tape reading helps a lot. Used to get 3 pts slippage, but found that you can make it up on the exit or have a better entry if you just look at the tape...