Market Depth patterns

[rhay999]

I scalp the Dax mainly and try to use market depth to position my entries and exits. If possible, I position stops behind/within large volume and sometimes position limit entries in front of large volume.

I realise that this is an inexact and sometimes unreliable science because of the limit display only, pulling and spoofing etc.. However, I do feel that it has something to offer and think I profit from it in quite a lot of my trades.

I have also noticed some patterns in market depth that tend to prodvide support/resistance and to some degree direction.

Has anyone else noticed patterns that they use?

 

[TheBramble]

I have also noticed some patterns in market depth that tend to prodvide support/resistance and to some degree direction

I assume you're talking about LevelI? Interesting comments and as a LII tyro issued I'd be keen to see them developed further.

What precisely do you mean by 'tend to provide S/R and to some degree direction'?

Can you give an example? This is the first time I've seen this aspect of LII being discussed and is an interesting counterpoint (if indeed it is such) to the more commonly used/accepted aspects of S/R determination (through TA and price action).

 

[Mr. Charts]

rhay999,
I assume you mean DOME?
You do well to use it successfullly consistently as it can be very fast and unreliable for determining s/r.
Well done
Richard

 

[rhay999]

Yes, purely the DOME. To take things a little further I use the depth on either side of the market, applying ratios and presented in a non-DOME like manner. I use this in conjuction to what I determine as upcoming (as well as previous) support/resistance in my charts and along with other indicators trade accordingly.

It's probably pretty crude and very unmathmatical compared to some of the papers I have read - or attempted to read - and also compared to what you guys have come up with. However, it seems to work pretty well and I would love to know if there were ways to improve it.

Sorry not to spill the beans about exactly how it works but I'd like to keep something up my sleeve !

 

[Mr. Charts]

rhay999,
Yes, I understand exactly where you are coming from.
It's obviously very different from nasdaq level 2 and there are virtually no similarities. I used to trade emini nasdaq, S&P and ftse in a similar way to you so I have great respect for your skills. It's not easy!
I prefer Nasdaq stocks because there is a huge choice of trading vehicles so you can usually find trenders and bouncers and the info on level 2 and the tape make the reading of what is likely to happen next much more reliable and consistent in my opinion and experience.
I guess you also understand that this is not something that you can really write a paper on anyway - it's about knowing the methods then gaining the experience which then steadily makes you better and better.
The science gives birth to the art........you know what I mean, I think.
Best wishes,
Richard

 

[JumpOff]

Yes, purely the DOME. To take things a little further I use the depth on either side of the market, applying ratios and presented in a non-DOME like manner. I use this in conjuction to what I determine as upcoming (as well as previous) support/resistance in my charts and along with other indicators trade accordingly.

Hi rhay999,
Can you tell us a little bit about what platform you use? How much Depth of Market can you see on your screen? Couldya, wouldya, doyouwanna give us a little screen shot? I know you need to keep some secrets to yourself, but perhaps if you are using a common trading platform, - it really wouldn't give away any secrets?

Thanks if you can,
JO

 

[rhay999]

Hi rhay999,
Can you tell us a little bit about what platform you use? How much Depth of Market can you see on your screen? Couldya, wouldya, doyouwanna give us a little screen shot? I know you need to keep some secrets to yourself, but perhaps if you are using a common trading platform, - it really wouldn't give away any secrets?

Thanks if you can,
JO

JumpOff - It's a bit convoluted as it involved quite a bit of programming - DLL/API - hooking into market depth and presenting it in a more graphical format. Take's all the nastiness out of on-the-fly calculations when viewing the Dome normally. Any more than this would give the game away - such as it is.