Need Some a scanner that will tell me where big size is on level 2

Discussion in 'Trading Software' started by Joe Momma, Oct 21, 2008.

  1. can anyone tell me where i would find something which would tell me stocks where large size is on level 2.

    Does such a thing exist?
  2. Tums


    most software that have t&s also have user set alarms.
  3. Bob111


  4. Let me clarify a little i am looking for something which will scan the entire market for me and tell me if a stock is approaching large size, not just the stocks i am currently watching i can only have so many level 2's up on my screen.

    I am looking for unusual size for the stock so im not looking for 100k on a level of GE
  5. Bob111


    tough you realize amount of data you going to receive? i tried once to get L2 for 100 stocks via MB trading(when it WAS avaliable long time ago) have no idea,how fast and how many times per second orders are placed,canceled,resubmitted will need a supercomputer along with super internet,super data provider,who can provide STREAMING data for that many stocks.snapshot probably not going to work here...and after all this-there is no guarantee, that this large order is not fake,and not going to be withdrawn,once reached. i've seen such thing many times-100000 shares shown,bunch of suckers immediately jump in 1-2 cents ahead then-boom-they all got filled,big guy disappear and stock is in free fall.
    the cheapest option -imo IQ feed(400 tickers at once(not sure,how many L2 at once,ask their live support ) plus some custom application
  6. Go to they will give you a free 1 week trial if you mention you were referred by TodayTrader.

    It will allow you to do exactly what you want to scan the universe of stockls for. I know people who use this particular alert to play low volume high spread stocks and it is their main tool.

    Good luck
  7. I 2nd what this guy says. Trade Ideas will let you do exactly what you're looking for.

    This is from their site, describing what this alert does. ............


    "These alerts report when a stock has an unusually high number of shares on the best bid or ask. These are very short term alerts aimed at very fast, experienced traders.

    We only generate these alerts for stocks with an average daily volume of less than 3,000,000 shares per day. If a stock typically trades less than 1,000,000 shares per day we require a bid or ask size of 6,000 shares or greater to generate an alert. Otherwise we require a bid or ask size of 10,000 shares or greater to generate an alert. We also have additional filters to prevent a stock from reporting this alert too often. For example, if the best bid for a stock is 20,000 shares at $10.00, then someone adds a bid of 100 shares at 10.01, the 20,000 shares still appear in the order book. When the 100 shares go away, and the best bid returns to the 20,000 shares at $10.00, we do not report another alert.

    If we report a large bid or offer size, then the size grows even larger, we typically report another alert. The message for that alert is labeled "(Size increasing)".


    Exact opposite description for offers.

    This will tell you about all their individual alters and what they do.

  8. Thanks for this suggestion. I have gone to the website and am reviewing it. Some of this data is beyond me at the moment but certainly not all of it.
  9. Absolutely agree - huge amounts of data. You'd (if done effectively) have to sit in the same data center as your data provider to minimize latency and gain access to such bandwidth at a reasonable cost. What you are describing isn't cheap. Bob111 is fairly accurate in his assessment of the server(s) you would need to do this. I am not saying hundreds of CPUs, but "a lot" of CPUs to do this (trade secrets :D). Oh, and because this is not off-the-shelf, you'll probably need some sort of FIX engine to execute your orders off that L2 data. (Not mentioning one of C/C++/Java to process the feed data).