Just a programmer here and a trader. My interest is in FX. My systems are in JAVA. Here's my thought...... In the past my systems included back-testers to optimize strategies, and execution engines with API capable brokers. I recently had a revelation on applying Level 2 quotes and I want feedback. I don't usually use L2 but my thinking is that the way it works you have a window with the buyers on one side and the sellers on the other side and you can see the counter parties and the position sizes move up and down the screen. If a position is agreed with both the buyer and the seller that position gets executed and is removed from the top. My thinking is this ..... Sometimes you can see large blocks move up the window, and you can apply moving averages to this rate of activity as you would on a price chart. This would be advantageous because when the position gets executed at the top the price will move only by an amount that's defined by the next order type. So you can estimate by using moving averages on a certain position, the price of where the next trade will take place. Its like saying, if this order at the top gets executed this is where the next price point should be based on the next position size. My other line of thinking is that sometimes in technical analysis you can have false signals when applied to price charts and therefore can have the same abnormalities to L2. In back-testing your only counting on the top level quotations but not L2. RUSSELL BROWN Markham Ontario, Canada
The DOM contains a lot of info. Combine it with T&S and you have more substantive content. Your post is very imcomplete. Try ranking the activities shown. Trades completed is, at best, the third most active process. Trading may not be something you are suited for.
This was done by a company many years ago (late 1990s) and after about 3 years the company went out of business. In fact, the software developers put their programs up for sale and there was no buyers. I don't know what happen to them and I can't remember the name of the company.