Feedback on new Level II prototype

[pjpaulin]

I'm looking to get feedback on a new prototype Level II viewer. The tool is meant to give a clearer view of Level II data, especially when it comes to showing changes in momentum.

You can view a short (~1 min) video of the prototype at:

Level II Viewer Prototype « Trading Tools Lab

Thanks,

--- Patrick

 

[A Dashing Blade]

That's pretty interesting imo, hows about putting the rest of the order flow in a lighter shade behind the bid and ask bars?

Do one that'll take an eSignal feed and I'd be very interested.

 

[pjpaulin]

I'm glad you found the prototype interesting. I'm planning on having a rough beta available in two weeks, and I'll update this thread when it's available.

As for displaying order flow, what exactly are you looking for? Would you like to see the cumulative volume for the trading session transacted at each price? Or are you just looking to see order volumes flashing in the background as they're executed?

I'll also look into adding eSignal support. The initial beta will support opentick.

Thanks for the feedback,

--- Patrick

That's pretty interesting imo, hows about putting the rest of the order flow in a lighter shade behind the bid and ask bars?

Do one that'll take an eSignal feed and I'd be very interested.

 

[A Dashing Blade]

. . . Or are you just looking to see order volumes flashing in the background as they're executed? . . .

I'm thinking in terms of sorta "ghost" images behind the bid/ask so you can see how much violume is there.

 

[indigowave]

Hi Patrick, this is v.interesting. The last n historical would be useful from a trending perspective, (as would some kind of volume indicator).

I am in the UK and so opentick isn't any use to me (since it doesn't look like it covers the LSE) but I could engineer a DDE feed if appropriate.

Good luck
//indigo

I'm looking to get feedback on a new prototype Level II viewer. The tool is meant to give a clearer view of Level II data, especially when it comes to showing changes in momentum.

You can view a short (~1 min) video of the prototype at:

Level II Viewer Prototype « Trading Tools Lab

Thanks,

--- Patrick

 

[pjpaulin]

Thanks for the requests. I've added last historical and a volume indicator to the feature list.

Is there a particular data provider you're using to get LSE data? I could look into supporting it.

--- Patrick

Hi Patrick, this is v.interesting. The last n historical would be useful from a trending perspective, (as would some kind of volume indicator).

I am in the UK and so opentick isn't any use to me (since it doesn't look like it covers the LSE) but I could engineer a DDE feed if appropriate.

Good luck
//indigo

 

[indigowave]

Thanks for the requests. I've added last historical and a volume indicator to the feature list.

Is there a particular data provider you're using to get LSE data? I could look into supporting it.

--- Patrick

Hmm, I am using L2 Dealer App (L2 Dealer - Homepage) that uses a locked in data-feed from IG Markets. My alternative is a DDE feed via ADVFN.

//indigo

 

[grantx]

Indigowave,

Time and Sales provides price and volume of previous trades.

I have reseached and analysed to death the DOM and I can't find anything which provides any advantage or edge. The only use I've found is size on the bid/ask - shows the rate of attrition, so to speak. If your short at the bid and with 5000 on the ask when the buyers come in, you know you have a little time before you may sweat.

ACV (accumulated volume ratio?) and walls are meaningles. 5000 on the bid? On the Stoxx there were over 2 million contracts traded today and yesterday.

At one point today there were 8000 on the bid and 1000 on the offer but the price still tanked.

There is no correlation between trade size and price movement.

Grant.

 

[Grey1]

Indigowave,

Time and Sales provides price and volume of previous trades.

I have reseached and analysed to death the DOM and I can't find anything which provides any advantage or edge. The only use I've found is size on the bid/ask - shows the rate of attrition, so to speak. If your short at the bid and with 5000 on the ask when the buyers come in, you know you have a little time before you may sweat.

ACV (accumulated volume ratio?) and walls are meaningles. 5000 on the bid? On the Stoxx there were over 2 million contracts traded today and yesterday.

At one point today there were 8000 on the bid and 1000 on the offer but the price still tanked.

There is no correlation between trade size and price movement.

Grant.

Good post

grey1

 

[grantx]

Thank you, Grey1.

Couple of observations (Stoxx future): offers over a thousand can be ignored (99% bogus); bids over a thousand, watch carefully (75% - 80% genuine). Big trades (c 5000+) that print but not through the book have no impact or influence on direction. Federal Reserve is unpredicatable.

Grant.

 

[pjpaulin]

Beta now available

I'm following up to announce that the first beta of the Level II viewer is now available. As I mentioned earlier in the thread, this initial version supports only opentick. My plan is to support other data providers (IB, eSignal) before making any other changes to the software. I'll announce here when that's done.

The software is available for free during the early development phase. I'm really looking to determine whether there's an audience for this tool and to get some good feedback.

To download the software or get more information (picture, new video), follow this link:

Level II Viewer Beta

Also, I'm thinking about calling the tool "Equalizer" because it reminds me of audio equalizer displays and has obvious secondary meanings. Anybody have an opinion or a better name? If someone suggests a name and I use it, I'll give them a free 1-year license when the product is released.

Regards,

--- Patrick

ttlab.wordpress.com

 

[maxima]

There is no correlation between trade size and price movement.

You nailed the point. After 3 days of loosing money using order book I have learnt the same... But not exactly... There is of course corelation otherwise markets will be just a big mess..

What lessons I've got is - the are 1/10 of data 'big guys' let out.

In first place IB is not an option to trade by book (I dont know why people recommended them so much - may be the others are worse). But with 5 levels of price and no IDs of bidder/sellers - it is not very far from trading CFDs with IG.

In second place there are (as the other people mentioned) MM voluntarily movements (when they can increase they poistion and get filled in microseconds that you wont be able to understand what have just happened - only prints will show. But your stop is already hit!

Also there are number of inconsiderate traders (thank you to online brokers and arcades) who uses techniques other than yours so they may trade suddenly at bid/ask for reason known to them only and again - price moves and you feel tricked as all your 'order book indicators' told you opposite direction.

So there is correlation. Unfortunately we dont have access to enough information (in quantity and quality) to make trades more than just chart woodoo and zen-buddihsm.

Everything is simple like E=mc2 but if you could get that pure E then 1kg of sh@tz can produce energy for whole Earth population for 1000 years!

We have billions tonns of sh@tz but energy resources are getting more and more in scarce (ask Oil traders ).


But I havent given up ! yet