kblaine123
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I have a question regarding Level 2 screen.
I am big student of the market and have yet to find much valid information regarding level 2 and being able to profit from it.
Having said this, I am doing my own research and made an interesting observation.
I watch bid / ask size on level 2. I specifically watch the spread between the highest number showing on the BID side and compare that to the highest number showing on the ask side. This can only be done with very fast mental calculation. For example, lets say the highest number of contracts showing on the BID side for the ES is 900 contracts at 842.00 while the highest number of contracts showing on the ASK side is 1200 at 844. I am not interested in the number of contracts being offered, i am only interested in the spread between the highest number offered at the BID and ASK. Since the ES DOM shows 5 levels of BID and 5 on the OFFER, this is MAX of 2.25 spread if the max BID size and max ASK size were on the furthest out quote. With only limited observation of this, today I watched the ES showing max (volume) BID and ASK spread at 2.25 for a few minutes. Then, the market hot up like a rocket.
Does anyone else have observations on this ?
I am big student of the market and have yet to find much valid information regarding level 2 and being able to profit from it.
Having said this, I am doing my own research and made an interesting observation.
I watch bid / ask size on level 2. I specifically watch the spread between the highest number showing on the BID side and compare that to the highest number showing on the ask side. This can only be done with very fast mental calculation. For example, lets say the highest number of contracts showing on the BID side for the ES is 900 contracts at 842.00 while the highest number of contracts showing on the ASK side is 1200 at 844. I am not interested in the number of contracts being offered, i am only interested in the spread between the highest number offered at the BID and ASK. Since the ES DOM shows 5 levels of BID and 5 on the OFFER, this is MAX of 2.25 spread if the max BID size and max ASK size were on the furthest out quote. With only limited observation of this, today I watched the ES showing max (volume) BID and ASK spread at 2.25 for a few minutes. Then, the market hot up like a rocket.
Does anyone else have observations on this ?
