Thanks. I find it hard to believe that high frequency trading shops are not all over the orderbook like a rash. I think it is too frequently dismissed because of alleged spoofing, flipping etc.
Thanks. I have looked at that site before but had forgotten about it. I did make a bit of an attempt to make a market delta "footprint" type chart, colouring each price level according to some sort of weighting algorithm on both the traded contract delta and that in the book. Possibly it could be improved, but I didn't really find it to be especially useful and just reverted then to charting them individually. Good idea to chart the total size of the book too. If you look at the chart I posted, where price takes off from VWAP at around 14:52 you can see gradual drift up in the OBD. This is not an infrequent pattern. One could interpret this in a number of ways. One way is that limit order traders place their orders where they think the market is likely to be in the short term future.
Hey, how hard would it be to build a raw non smoothed Order Book Delta indicator (the vertical bar style I have seen in some of your charts shown as a separate pane) for Investor RT? Is there a way to get a hold of code for one that is already built? TIA!
as long as I know they use Zen. Rithmic is something in development (for the marketing pitch sake I'd say)...
I don't know any these software products, so it's quite hard for me to say. As you know I have my own code with it's own frame work, so it's not really possible to separate out the stuff that deals directly with the book, because it is highly dependent upon the general event handling, time series and charting interfaces. It is not unlikely that these look very different to the commercial offerings as I started from from scratch and didn't use any product as a model. Some might describe some of it as 'quirky' and they might be right! It's also Java and runs on Linux, though Windows should not be a problem in principle. As to what I do, I take the raw DOM event events from the IB TWS API and use them to build a continuously updated DOM table in memory. It's not real hard to do. The events are: INSERT (a level) DELETE (a level) UPDATE (a Level) FLUSH (whole book) I turn this into a time series by using a price time series as a time base (eg tick, volume or price bars). When changes occur on the reference price time series (eg bar changes or bar appended), I sample the (in memory) book appropriately updating the order book time series. This is the part that you are likely going to have the most issues with if you are writing a DLL or such for a commercial package and it will be highly dependent on the product you are interfacing with. I can then apply smoothers on the orderbook series just as I can on any other time series via user's GUI in normal use. You could try some sort of direct smoothing or averaging in the in memory DOM table. It might be a bit better - and it may not! Complex often is not necessarily better. I have been having a look at the IQFeed API, and it works differently from TWS. I'd like to be able to create a single 'normalized' API and map any LII feed onto my internal LII API and so remove feed dependencies from higher level software. Not sure if it is possible. In aby case, I'm in for a bit of a code restructure.
I know that. I read from the others that Zen has a bit more problems with quality of bid/ask than Rithmic although its based on it... So that was the point.