What do Cumulative size and Avg Price Mean?

Discussion in 'Index Futures' started by goforwand, Oct 31, 2003.

  1. I have always just eliminated these from the IB market depth window due to sheer ignorance of their function.

    Are these size and volume numbers of any use?
  2. You are showing a "long".

    This means the right half is moving upward as the "ask" gets "eaten".

    As you will notice the stuff on the left goes away by falling off the bottom.

    What you need, of course, is a list going upwards from the top left line.

    If you had that then you could effectively compare the nearest "long" likely lines by reading down on the right and reading left on the up.

    As the long procedes (174 goes to zero and the nExt lower line on the right is raised up and its counter part on the left appears from thin air), you have another task to perform too. You see new values entering everywhere and other values leaving.

    The pace of the "long" is determined by what is added and what is subtracted to the top lines on either side. You easily see that the "long" trades usually on the right side and adds and deletes mostly passthrough theBid side.

    You are doing ES03Z. It lags three other indexes and cash by over 30 seconds. So market depth just trurns out to confirm what is coming up in the next 30 seconds.

    the ad vantage of "anticipating by trading a lagging index (ES03Z) is a heck of a lot more fun than doing the "prediction thing.

    I can hardly wait until someone "fixes" market depth so that one side stops coming from thin air.

    The reverse is true for "short" trends.

    By watching Market depth for a while, it directs you to the proper chart fractal for trading. You can also use market depth to figure out how far behind you are on reality.

    NB. If you use the leading indexes to time the ES; the "stretch" applies to "short" trdes and the compression applies to "long" trades. I think several people here are using it at this point.

    Put the cash over the indexes to see strech and compression as an arimetic contruct (like subtraction is second grade). Nowadays the market offsets are "short". When they are long turn what I siad upside down.

    Additional topical depth.

    Some of this stuff is hard to comprehend.

    As AMT4SWA said a while back it takes about 6 months to get to "automatic". I buy about 10 points a day on spreads/contract typically. So you can see this stuff does matter once you are grooving. I added this so nononsense can keep off my back. He thinks I need to include this for the benefit of readers because of his view of ET'ers.

    There are two Errors common the traders in association with this stuff. They corresponding to putting skills.

    E1 Anticipating things that do not happen. (3 to 4 tick type failure).

    E2 Waiting until the trading range is gone (2 to 3 tick problem unless person freeses, then it goes to 1 1/2 points.

    Some people vassilate between the two. Cure keep a column in long for E1, E2, E3, and E4. See helphelp, she has several E problems. and a noe day permenant cure available.

    Find out pronto if you vassilate. If not find out your E1 or E2 putting problem.

    If E1, you need to slow down. Use compression nd extention assessment it will slow you down and you will get back the three ticks and then have better actioning.

    IE2, well you need to corroborate more info. But do it BEFORe trigger time instead of after trigger time. All time is before trigger time. Sit down and find out what you need to DO. DOing is a minimalistic thing and not a single signal hair trigger thing. Punch line. The Market Depth is your "count down to trigger time --time keeper." Get the first signal and do not act, see how much time you have, get the facts straight. Then pull trigger WHEN IT COMES UP. i just moved your seat on the scul to get you ready to appliy power at the right rhythmic time. this saves ticks and sometimes points.

    As AMT4SWA says it takes time to get in the groove. Start getting in the groove with Market Depth and T&S and using leading indexes against their cash respective index.

    Smarter money trades other than ES so use their brains and ATS stuff for your trading.

    Skip the smart ass responses if you do not understand this long and verbose post. It is jambed full of a heck of a lot of stuff you never heard of before.
  3. This ws not addresses to the original poster:

    "Skip the smart ass responses if you do not understand this long and verbose post. It is jambed full of a heck of a lot of stuff you never heard of before."

    the original post is kewl.
  4. pspr


    goforwand - don't be concerned if you don't understand Grob's post. The rest of us never understand him either. Just don't try to make any sense of it or it will drive you nuts.