Software to write strategies for Level 2

[Strategic Trader]

gggooo

trading companies do use automated programs using level 2 - albeit, it is just one input - and those programs represent the majority of electronic trading of nyse and nasdaq stocks

and of course understanding and knowing how that computerised trading is initiated is key to developing any third party automated programs that utilise level 2

a lot of small size amateur traders, feel they are using level2, but in reality, they are looking at data they really do not understand and that data is so delayed, that it is no value anyway, so even if they might understand it, the information is way out of date anyway

as you realise, this type of trading happens in milliseconds, and the opportunities are spread across stocks etc - hundreds and hundreds, again in milliseconds

a retail broker feed is not going to suffice for automated trading systems utilising level2, you will need direct exchange access via a profesional broker that offers that faciltiy

you really do need to learn C++, but that is a really big learning curve - and you would do best to get on top of visual basic and then at a later date - convert to C++ with the aid of an experienced C programmer

its not the exchange which is relevant due to the liquidity - but the derviative contract, stock etc which you are seeking to trade - but you would want to check on the way the exchange queues orders in order to make sure your program allows for that

 

[triplepack]

Hi ggggo,

Here is a link which might give you a little more insight to what you are looking at.
http://www.elitetrader.com/ch/transcripts/scalping_nasdaq.cfm
But I think As Mr Charts and Socrates have indicated the Processor between your ears is the cheaper and
more reliable option. But the programming can take quite a bit of time and is always needing updates.

Cheers
Triplepack

 

[SOCRATES]

Quite right triplepack, and when people are told the truth, that the best processor is between your ears they don't like it , and they get annoyed with you ! I think it is very funny, because I have now finally become used to the responses you get when you tell people this that they do not want to hear. This is now different to my sentiment in the beginning , as I now realise that using the processor between the ears is precisely what the great majority try to avoid, so take my advice and dont you persist either.

And another thing, top notch programming cannot just be entrusted to anyone.
In addition it has to be someone who understands the topic, and is going to deliver a programme to you that is not full of bugs and in addition does not need upgrades every five minutes. I can tell you because I am the owner of several of these programs that I have had programmed specially for me and we are talking telephone numbers for something truly bespoke of top notch quality.

 

[gggooo]

Mr. Charts:
I would agree the human mind and its experience and adaptability is the only way you
will succeed reading depth. That is what I do and it works for me.
1. Than you must describe a little bit what you doing?
2. It is much more easy what I mean. The human mind is the key to everything to the whole universum, yes.
But what do you do if you want to add up some numbers, yes you take a pocket calculator!

Do you understand my analogy?

I want "so to speak" a pocket calculator for level 2, that helps me a little bit by may daily routine.
Not more not less, this is the first step, and than I will look forward what my human mind, believe I will
discover the whole universum with it, is creating with its experience with the pocket calculator for level 2!

Yours gggooo

 

[gggooo]

triplepack, thanks for the link.

Question:
what happens if a big sized order on ask has traded, but on the first askrow, nothing is changing?

 

[Trader333]

gggooo,

Another issue that you are going to have is that many of the order sizes on Level II are fake. Also Level II cannot show market orders and in many cases market orders are what is the majority of trades going through are.


Paul

 

[Trader333]

Socrates,

As you are an owner of several "Top Notch" programs can I ask if you still use them and if so what you use them for ?


Paul

 

[TheBramble]

Another issue that you are going to have is that many of the order sizes on Level II are fake. Also Level II cannot show market orders and in many cases market orders are what is the majority of trades going through are.

But market orders do appear on T&S?

 

[gggooo]

many of the order sizes on Level II are fake. Also Level II cannot show market orders and in many
cases market orders are what is the majority of trades going through are.

But a market order must also subtract contracts in the row of the traded price? What happen if not?
What I was thinking is, could it possible, that a market buy-order and a market sell-order meet each other, it is a little bit theoretical, because they need to have the same size?
What do you mean?

But market orders do appear on T&S?

Yes, but not all trades are shown in your T&S from (Datavendors etc. they show you only snapshots of a few seconds) if you have not the "memberdatafeed" which is showing all trades of the exchange. So it is on the eurex.

 

[SOCRATES]

Socrates,

As you are an owner of several "Top Notch" programs can I ask if you still use them and if so what you use them for ?


Paul

I use them yes, mainly to confirm visually what I already calculate in my head, or in most
scenarios what I have already calculated in my head and would like confirmation of.
This is the opposite to what everyone else does.

 

[triplepack]

ggooo,

I have tradestation , primarily for the account but secondly for the software side of it.But I realised how out of control I would be leaving decisions to a computer.( Not to mention wasted time on programming and testing) So I have continued on the path of the human interface.
For multiday trading maybe it would be ok, but when you use level 2 I would imagine it would be for trade lengths of seconds to a couple of hours. If I understand what you are wanting to do is very short time duration maybe 'twalker' could enlighten you on the products or type of products he uses to trade his instruments (strips ). But that will be for a specific type of trading. What sort of trade do you intend to trade using level 2, it would be interesting to hear your ideas.


Tony (bramble),
I find T+S very informative,maybe mores so than the level 2 screen. One interesting observation I have, is that I use Qcharts and Tradestation and Qcharts appears to give more reports of trades and sooner than Tradestation. (fraction of a second) Have you or any of the other traders found a particular provider of t+s to be even better, cos i find that when trades start going off at prices outside the level 2 screen prices this gives a great indicator of a move starting or coming to an end and the better the T+s the more effective the judgement can be. You can see and feel how, at THAT moment the market sentiment is. In those short time durations referring to a programme and then making a decision will lead you to have missed the opportunity.

Cheers

Triplepack

 

[Trader333]

gggooo,

But a market order must also subtract contracts in the row of the traded price?

Not if the MM is constantly refreshing their quote with a size of only 1 which does happen.


Paul

 

[growltiger]

Level 2 thoughts

Just some thoughts:

(1) The biggest failing of the order book as a cue to trading is that most of the trades are market orders (already mentioned);
(2) When you look at the order book (Level 2) some of what you see is "spoofing", which is the putting of bids in the order book for the express purpose of misleading the market;
(3) There is already, as previously mentioned, a lot of programmed trading off movements in the order book. There was a very interesting "chat" on how to use the intra-ear processor to counteract this type of trading last week on elitetrader (see: http://www.elitetrader.com/ch/transcripts/scalping_nasdaq.cfm) . The description of the sort of order-book algorithms used by program traders is not very different from what ggooo appears to have in mind, which suggests that he would not have a competitive advantage in this type of trading (even after learning C++).

 

[gggooo]

Strategic Trader, "best to get on top of visual basic and then at a later date - convert to C++"
I bought books of delphi, hope I can also convert to C++!? Maybe I should take a look to visual basic.

growltiger, excuse me I have problems to translate your post into german.
(2)"(Level 2) spoofing", this is clear.
(1) I am not sure.
(3) Its possible to explain the meaning of (3) in other words?

triplepack, I want to do "scalping", I want to write a "scalping-program".
I wrote under http://www.trade2win.com/boards/showpost.php?p=108652&postcount=8
2. Simple example: on the first ASK-Price the number of contracts in the level 2 are getting smaller,
so if the number is smaller than 10 i want to buy. The same on BID (the other way round).
3. I want to write a rule to close the order for example, if the second ASK is not become the first ASK... and so on.
4. trying to close on the open price if I go the wrong way (by hand I can do this often), but a sofware would be faster than me with my hand on
the computer-mouse.
5. counting traded contracts and compare it with orderbook reactions.

I know this all is not easy to do if you want to involve a whole area of parameters are relevant.

Ordebook-fakes (cover up trading directions): If a "markermaker" buys on ASK and want not to show this, he is (for example) placing
the same size of orders he is buying, back in the first ASk-row, so the people watchinh the level 2 has problems to see the intention of buyingpower.
Has somebody for this example an other meaning? I want to try to get an agreement in this thread, of this point.

I made a video of level 2 from eurex BUND future 980 contracts are taded on ASk, nothing changed in the first ASK-row of level 2.
The frames of the GIF are between 1 and 2 seconds, I extended the time that you can have a better look.

 

[TheBramble]

excuse me I have problems to translate your post into german.?

I'll try my best (actually I'm cheating but I would appreciate your feedback on just how good this translation is)

The biggest failing of the order book as a cue to trading is that most of the trades are market orders

Das größte Scheitern des Bestellbuches als ein Stichwort zu Handel ist von den Gewerben so meisten, ist Marktbefehle


There is already, as previously mentioned, a lot of programmed trading off movements in the order book. There was a very interesting "chat" on how to use the intra-ear processor to counteract this type of trading last week on elitetrader (see: http://www.elitetrader.com/ch/trans...ping_nasdaq.cfm) . The description of the sort of order-book algorithms used by program traders is not very different from what ggooo appears to have in mind, which suggests that he would not have a competitive advantage in this type of trading (even after learning C++).

Es gibt schon, so vorher erwähnt, viel programmierter Handel von Bewegungen im Bestellbuch. Es gab eine sehr interessante "Unterhaltung", wie der Intraohr-Prozessor zu benutzen, um diese Art entgegenzuwirken, letzte Woche auf elitetrader zu tauschen ist, sehen Sie: http://www.elitetrader.com/ch/trans... ping_nasdaq.cfm. Die Beschreibung der Art von Bestellbuch-Algorithmen, die von Programmhändlern benutzt wird, ist nicht sehr anders als welcher ggooo, scheint sogar in Verstand, der vorschlägt, daß er keinen wettbewerbsfähigen Vorteil in dieser Art von Handel hätte, habend C++ gelernt zu haben.