A couple of thoughts. Markets exist to facilitate trade. Size moves to size. Traders place orders (non-stops) at levels they think they'll get filled at. The market is moved by orders that were unable at better prices. ES trades 800k a day. That means quite a few 1400 lots go off. All that being said, those large scaled (2000+) bids and offers being filled is a random event. Often I'll be short and see huge bids underneath and think "great!, for sure we're going to attack those size bids down there" Lo and behold the market stops above the size and rotates higher and suddenly the size bids underneath are gone and I'm stuck short realizing that a few of those guys moved up and are now paying the offer. What I've found is when it's quiet, respect size as resistance and support. If the markets churning on size then expect size to trade out.
DOM can be very deceptive and at times is a tool of deception. I have still as yet not found any steadfast rules in which to utilize the data but that is most likely my lack of sophistication.
Thank you for all the replies here. There is a lot of food for thought here, and I am certainly getting value out of this. I am glad I asked!
So far this has been a good thread. I am hoping that Fader will continue to share more of his thoughts and that others chime in. Its funny how Depth threads are usually short. Lotus 7
What we talked about is happening right now on YM as they are stacking bids to keep it above 920 while retail is buying in front.
A few thoughts -- 1. Major traders will qoute for size, as they can double up on it and push the market. It also tells them which way the real players are trading. Simple. 2. If you dont believe in the bids/offers you see, fade them. I do that on Russell & Midcaps all the time. You'd be surprised how quickly those lots disappear.
Exactly. Just for kicks when the market is light but bids or asks stack, hit one and watch the flicker of lifted size.