Technical analysis of the book

Discussion in 'Automated Trading' started by travis, May 22, 2005.

  1. travis


    I would like to know if anyone can give me advice on how to get data and test it from Interactive Brokers TWS Minidow book (with ten levels). I use tradestation 2000i, Tradebolt and I have a simple automated system, but I would like to find out if there's a way to run some tests on the book, specifically in easylanguage with Tradestation. I realize that the data for just one minute of Minidow book may be more than the data of one whole day of 5-min candlesticks, so this testing may be impossible, except by eye, trading with a discretionary approach. Does anyone have any information about this topic?
  2. In my opinion, only the bid and ask are relevant as the rest of the book can be manipulated.

    If you have an order at the bid or ask, you're willing to have it hit, so apart from that, the rest of the depth is just noise. You're better to measure the increase in large orders on the tape or the speed of tranactions etc.

    Unless you have plenty of time and money, I would look for other ideas.

  3. travis


    I see patterns in the tenth level of the book, so I will keep on using it. If I could spot patterns after looking at it for just a month, I think there are definitely patterns to be exploited.
  4. Hamlet


    I see dead people.