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

IronFist,

Take a look at this thread: http://elitetrader.com/vb/showthread.php?s=&threadid=103293

I have started it a while back. I use both charts and DOM, and DOM helps me as a filter.

Regards,
redduke

 

look into market delta type stuff..... this market profile along with volume or trade footprint is better info than staring at DOM.

www.marketdelta.com
http://www.marketdelta.com/newsite/footprintprofile.aspx

Trade well.

 

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.

 

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?

 

You trade from your iphone?

 

I believe the first 5 levels are from the exchange and everything beyond is from OEC's order book.

 

Hmm. Cuz that never happens on NQ so I thought maybe ES had different rules about DOM or something.

 

No.. just a skin. Primarily algotrade from compiled Excel workbooks (EXE's not XLS). Discretionary via TT and OEC.

 

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.

 

here's an example: