The exchange transmits only 5 levels. What some applications do is remember the last number on each of the levels before price moved on. But when price comes back this price will very different. TM Trader
a point of clarification. . . . . X-Trader will show as many levels of the market as the exchange in question will transmit. For Eurex and CBOT, X-Trader will show 10 levels on each side. For the CME, it goes five deep on each side. For the JGB, I have heard, it will show only three levels on each side.
The BOX model is problematic to adapt for futures markets. It's a question of trade inducement. Certainly buying the bid in an option is a "better" edge than buying the bid in ES. As a formerly active local, I've always felt the problem with the screen is the failure to replicate the "Ginzi" trade. A Ginzi is when you trade a "weak" edge, or give up the edge to a floor broker who is filling a customer order, and in return receive a "quality" edge. In other words Pabst buy's 17's in a weak 17bid market from a Goldman broker and the broker on then sells me some 16's after the 17's have traded out. Often a local will only make a tight market in a disadvantageous situation because he hopes to receive a better opportunity later on. The screen doesn't know who made a stupid trade though. Sometimes when I'm unable on an add I yell at the computer" Hey I'm the asshole who bought the 22's and now I'm the last guy in America who's gonna get more at 21!!"
Certainly. I'm mostly encouraged they're thinking out of the box. :eek: That's extremely interesting. Thanks for posting that. So you're basically arguing that if you've recently provided a significant portion of the bid, you should get a higher priority buying more. That seems a fair addition, rewarding folks for maintaining tight, thick quotes. I certainly prefer it over how LIFFE gets that effect (their's makes for virtually no liquidity past the inside market). It still doesn't address the order imbalances that cause 1-7% spikes. In those spikes, there are tens of thousands of cars hitting the market, so the priority reward is worthless. Besides, the problem isn't a lack of folks willing to bid into a free-fall, there are plenty that would. The problem is that the systems and rules aren't designed to allow those folks to step in to maintain/restore an orderly market. a) Even if you're the last american in line, you're still ok so long as you've got some europeans, asians, and australians behind you.. No worries! b) I know it's probably confusing, coming from the pits and all, but yelling doesn't help. Try waving your hands in the direction you want. It works better.
Hi, I just looked this up at CME's and found the above statement to be incorrect. They clearly say that stop-limit orders (like stop orders) don't show up. nononsense