What causes the price to jump +/- >1 point on the DOM when there are offers in btwn?

Discussion in 'Trading' started by IronFist, Oct 14, 2008.

  1. RedDuke


    #21     Oct 15, 2008
  2. #22     Oct 15, 2008
  3. Attached is a snap of calcs and feeds dynamically built from level II data for ES. ES is highly liquid so the benefits will not be as obvious as a less liquid instrument.

    For our trading purposes we use market orders based on scaling tradesets.

    If we are trading a 54 contract tradeset we would use the bid and ask for filling 54 contract orders. As a result we disregard current bid/ask tick data and trade off of our calculated 54 contract bid/ask.

    this impacts the timing to release orders and the overall price action automatically adjusts and trims to what can reasonably be executed. momentary spikes are filtered out and the resulting trends are specific to our position sizes. Less surprises with fills too.

    This works well for algo trading as the computer can make the calculations and trigger trades in 1/10 of a second. By the time you visually see it and point and click your a beat behind.

    Executable Market Feeds generate many more ticks because they are built from market depth. Using ES for example from the 14th to present there were 7790 changes in best bid/ask advertised as the "Market Price". For our trading purposes there were actually 64839 changes in bid/ask relative to our tradeset position sizing. It's all about execution / filtering bs / timing.
    #23     Oct 15, 2008
  4. So what would you expect to see here when the DOM is showing a total bid vol of like 68 and a total ask vol of like 1400?

    Also how come NQ DOM only shows 5 levels, but on this ES I can scroll up and down and see tons of orders all over the place?
    #24     Oct 15, 2008
  5. You trade from your iphone?
    #25     Oct 15, 2008
  6. I believe the first 5 levels are from the exchange and everything beyond is from OEC's order book.
    #26     Oct 15, 2008
  7. Hmm. Cuz that never happens on NQ so I thought maybe ES had different rules about DOM or something.
    #27     Oct 15, 2008
  8. No.. just a skin. Primarily algotrade from compiled Excel workbooks (EXE's not XLS). Discretionary via TT and OEC.
    #28     Oct 15, 2008
  9. What does it mean when it's trading below the bid?

    I just saw that for a sec. The bid was 892.25, the ask was 892.00, but the highlighted row was 891.75.
    #29     Oct 15, 2008
  10. here's an example:
    #30     Oct 15, 2008