I had a hard time understanding your posts before. Do you mean to say that the "market orders" we view (at bid, or at ask) are total fabrications of our software & feed? I am of the understanding that the CME runs the electronic exchange as a perfect queue. Every limit order & cancellation flows into the queue FIFO style. The true depth of market book should be able to rebuilt if you have full data of the sales, limit orders & cancellations. *IF* the data is 100% accurate... we should truly know if the sales went off at the bid or at the ask. If you are telling me that my data is NOT accurate... then I would agree with you. Thank you for the elaboration. Stone
I was under the impression that during a period of initiated buying/selling, majority of the trades being taken are market orders. For example, when you find price in an area where you've identified heavy support/ resistance, and all of a sudden you see the price rerversal you were waiting for, do you then place a limit order and wait for price to return, or join the initiated buy/sell activity by jumping in at market. Also, when you see traders on the exchange floor.... aren't they buying/selling to eachother at the bid/ask (Market Orders)?
It is self evident that every trade must involve one market order & one limit order. The problem is, with our commercial data feeds, are we truly able to distinguish the nature of a sale as at bid or at ask?
Are you talking about the DOM? Cumulative delta bars are not built from DOM data.. It's built from T&S, actual trades.
Exactly! Also the bid/ask spread is dubious IMO. Few observation. I see a trade made on the ask. A fraction of a second later the ask becomes the bid. There are no new trades. So is the trade under question on the bid or ask. Also. It seems that the bid ask spread of 1 tick is bogus. The actual spread that matters can be 4-6 or 10 ticks. Any calculations based on what was traded on the bid ask is bogus IMO.
It could have happened as the following: 10 Bids 99, 20 asks 100 Sale fires off at 100, 15 orders Sellers at 100 cancel their offers Buyers place limit order at 100 for 2 contracts Now your DOM will show 2 bid 100, 30 asks 101
Charts wont be made until EOD. You could say it was due to a bullish divergence, frontrunning 906 support. 906 has a positive delta level from the last few days, indicating a pocket of net long inventory I suppose.
nope! I'm as confused as you are. Delta Vol is very powerful but as with anything, the interpretation of what you're seeing is the key. Delta divergence by itself (the manner in which you are calculating short inventory) will not always hold up. Look @ the CD levels created on 4/30 compared to now. Now compare the price.. I know I've offered no solution but that's because I don't have one . Interpreting CD is a mental/art process for me so what I'm trying to figure out is how AMT makes a science out of this. I suspect this would be enchroaching on his edge, so I don't expect many details on this aspect