I'm talking about even 1/10th of a second into the future.. if you have full book depth, do *all* the bids really disappear at once, or is it more similiar to a very fast avalanche effect? I have a large tick/full depth quote database accurate to the millisecond.. I think I'll spend some time trying to identify statistical signals before gaps are fully realized..
You would be blown away at how quickly levels drop away when material information is released. You dont stand a chance and you cant see it happening until your stock has moved more than you can imagine... you dont want to be around when stops are going off....... The one bad thing about trading is the constant risk that you take on each and every time you hold a position. The other bad things are sneaky specialists...hidden orders..crossed markets....outside prints....organized buying....news breaking midday....system crashes.....stuck orders....crashed ECN's....broken trades... uhhhhhh
All very good points... I suppose it is useful to have a calendar of expected news releases and to stay out of the market during those times.