P1, you may find this enlightening... q25 How are E-mini market orders handled on GLOBEX? a25 The GLOBEX trading host will convert all orders it receives without a specific price to limit orders: buy orders will become limit orders at the best offered price, sell orders will become limit orders at the best bid price. The GLOBEX system does not currently handle true "market orders." However, depending on the front-end software and connection, a user's trading application may have functionality that increases the likelihood that an order will be filled quickly at the best available price(s). Market users need to be aware of the functionality of the system they are using and how "market" orders are handled by that system. http://www.cme.com/trading/prd/equity/eminifaq2566.html#q25 So, in Mak's example above, if there are 10 ASK @ 1449.00 and I MKT ORDER BUY 20 contracts, I am now LONG 10 contracts, plus I have 10 BUY LIMIT sitting as the new BEST BID @ 1449.00. Think about the issues this creates for larger players.
Thanks that makes sense, the new limit orders at best bid are the remainder that weren't filled at the best offer. This probably prevents cascades running out of control at the exchange - a sort of dampening of demand to create an orderly market. But if you place a market order you want to be filled, right? You take the price as deep as you need to go for your order size: 10@1449 and the remaining 10@1449.25 / .50 / .75 etc. This article appears to say you will be filled with a market order: http://www.trade2win.com/traderpedia/Depth_of_market Is it wrong?
The link I posted is specifically about the emini contracts traded on CME Globex. The page you linked to is referring to the YM, traded on ECBOT, which likely has different rules for filling orders.
Hey txuk... The following is interesting too. It fits with what I understand and observe... Market Orders Market Orders at CME are implemented using a "Market With Protection" approach. Unlike a conventional "Market" order, where customers are at risk of having their orders filled at extreme prices, "Market With Protection" allows the order to be filled within a pre-defined range of prices (Protected Range). The Protected Range is typically the current best bid or offer, plus/minus 50% of the "no bust range" for that instrument. If the entire order cannot be filled within the protected range, the unfilled quantity becomes a Limit Order at the limit of the Protected Range. Regards... MAK
Thanks, that's helped my understanding enormously. The exchanges explain all this on their sites and you prompted me to check them out.
Hey Mak, thanks for the additional info. It is interesting but actually confuses things a bit for me. It seems to contradict the link I posted, which was quite explicit about how globex handles emini mkt orders. I'll see if I can find further clarification.
MAK, Thank you for what I think is a very fine post. I am attaching a chart of a bit of today's ER2 session that illustrates (I hope) what you are saying. Please correct me if I have misinterpreted. Each bar is just 5 IB 'ticks' wide. Frequently there will be quite a few more than 5 actual trades per bar. As in a couple of other charts I have posted on this thread, the order book "delta" is plotted both as a candlestick OHLC series and a smoothed representation. A value above 0.5 shows LONG supply exceeding SHORT supply. Below 0.5 and SHORT supply exceeds LONG supply. Also shown is a bar plot labelled "Column Delta". This is the absolute difference of trades at ask and trades at bid. Large +ve means high LONG demand. Large -ve means high SHORT demand. Of course the demand may of of quite short duration. When price is moving up, one is interested in the LONG demand and LONG supply because they are whats driving price. As LONG demand drops off and LONG supply reaches some sort of max, price reverses. Same thing for SHORT demand and SHORT supply - these are what is interesting in a down move. I have marked up some points of interest. I would be interested in hearing any comments you may have. Because of the nature of the IB data feed, the trades at ask / trades at bid difference may be a bit inaccurate at times, but it seems to work surprisingly well though a true tick feed might be better.
On your chart, are you able to move the volume at the bottom up to just below the price? Can you coordinate the bar color with the volume? Can you leave a little white space on the right? If you put the T&S and the DOM near the right side of your chart and watch the result of volume change per bar (increasing and decreasing) and couple this to the T&S tape movement (flow speed) and then glance at one side of the DOM being "eaten up", then you will beging t coordinate two items: 1. continuation of Trends (moves) 2. how the end effects of ends of trends unfold. Once you have these in hand for a few days, then you canbegin to "SEE" more. The rules commentary is handled so rapidly in the low it cannot ordinarily be seen. Also there are four games being played that show on the DOM. Skip these details for now. On the DOM yu will begin to see the values of the turning points of price at the end of trends. Your marks are not near any of these. It is not important to know why but your indicators are not serving you as yet. Slowly consider ths post. If you get to be able to "SEE" then you will have a way to make a lot of money. The combination of the four games being played does give an answer for making money. It is more important to see the anwer than to know how the games interrelate. You can go back and get that stuff later. The DOW more easily allows you to see the "continuation" of a trend than it does allow you to see the "change" of the trend, meaning the end and the turn into the next trend. Currently we are using the term "wall" to describe what you are looking for. It is the residue of the four games where one set of players is immobile. The other three go away from the end of the trend (temporary sidelines from risk considerations). This will take you four days to read and fathom. But you will begin to see "walls" in time. I have an advantage over you because I display the DOM as stalactites. The large immovable object is the wall (a leage number or a long stalactite) The market eats its way to itt and the market is rebuffed because the wall cannot be eaten down. Your newly arranged chart will show all of this as you sweep the data locations to get each data set. What happens is that you get this feeling of "CONTINUITY OF THOUGHTS" It is like frae after frame of a view fades into the next view. It is the opposte of "reacting on a single element of data" which is the exit strategy of all edge traders. the market operates on a theorem that enjoins price and volume and this forcloses the possibilities of the market "jumpimg" around. It flows and migrates and this thread is not about that but scalping using DOM. Scaping is a sideline game oriented process. Coming off the sidelines, doing an entry and then exit to get a minor part of price change. Here we are reading about the whole nine yards and collecting it continually by using the flow of the market's price and volume in relationship. There is no gaming component. Gypsey women do not impart this nor does Jack Broz. It is market osmosis, a slow revealing process where gradually if you get to see one part of the market then you get to see other parts. All if you have a display to see it. The objective for making money is two fold: have a diplay and log your work. If people on ET attached their display and their logs, then others could easily tweak their situation on up to a money making one. Go back over your chart and make a log of the trades that it represents. Just put down the trades that make all the money offered. Keep this debriefing in mind and rune the DOM and T&S and log the market day after day. Debrief and repat loging all that could be made and compare the realtime chart and the optimum debriefing chart. You will get a convergence in money making towards the debriefing. The key is taking complete data sets.
I pretty sure he is referring to a "price ladder". See http://www.buttontrader.com/ yes See attached image of tradestation's Level-2 window. Contracts at each depth level are displayed graphically as stalactites. Notice the "wall" on the ask.
Thanks txuk! When you haven't seen a professional trading platform before, sometimes the ability to visualize the proper indicator is impaired. Thanks for the visuals. After seeing, it is now "obvious!" Regards, Moose