Times of Sales vs Level II

Discussion in 'Strategy Development' started by CodeX, Dec 15, 2012.

  1. CodeX


    Do you folks prefer the use of one over the other or do you use both in your trading?
  2. gmst


    When I started trading ES (2 years ago) I didn't use either. After around a year, I started looking intermittently. Didn't make any sense initially. Now, I follow both of them closely throughout the day.

    It just takes time - You have to watch both for more than few months everyday before they will start to make any sense.
  3. CodeX


    gmst, do you use both Nasdaq and NYSE Level II quotes?
    Depends on what stocks you trade i guess?
  4. gmst


    I trade futures. I don't trade stocks. So, I use Globex quotes
  5. Backtesting of automated strategies is more common with Time & Sales (i.e. "ticks") than with Level II ("full order book"); the historical data is easier to obtain and cheaper.
    However, in terms of being able to model fills realistically, full order book (all submits, executions, cancels, changes) has the edge.
  6. Both.

    Good question.

    The posts, so far in this thread, indicate that big money and smart money are NOT monitored with criteria, filters, functions, rules, and/or strategies.

    I do these work efforts.

    Both the DOM and T&S fit into this process of monitoring and analyzing.

    T and S is the third most active behavioral activity in the markets.

    By including the two more active behavioral activities of markets, a trader has greater advantages over the traders who omit doing this monitoring and processing the infomation using Technical Analysis techniques.

    So begin to consider monitoring the most prevelant behavioral activities in markets. By thinking, you can your mind's knowledge and skills.

    The market variables are watched on their basis of time rate of change. You are asking about variables that lead the price variable. PA people do NOT watch these variables or they do NOT know they are not doing PA.

    You are introducing volume to your monitoring and analysis.

    Your BIG consideration now is to decide if you will just be betting and hoping.

    Recently, here in ET, the concept of hypothesizing has been mentioned. In a trader's growth, this is a temporary ststus of knowledge and skills. That is, at some point, the hypothesizing is finished. And a more mature ststus has been achieved.

    It is possible to make a list of all the hypotheses which may occur.
  7. CodeX


    Is it true that Level 2 and total view are useless nowadays due to high frequency trading and other tricks?
    And that Time and Sales is the only thing we need to day trade?

    Reason i ask is i want to know so i dont keep paying for market data on level 2 and total view as it would be a waste of money and more importantly time and effort.