jcash

tracking trades at the bid/ask is more or less a study of order types. who places limits and who places markets? when do they do so? and does a "smart investor" use both with any consistency in entry or exit scenarios?

UB, you have provided myself and others with food for thought re trade intensity, commercial traders, etc., but i have to admit your motive is suspect. you have posted, verbatim, some of the same stuff on multiple forum sites. for instance, ET, T2W, Nuclear Phynance, finance visor and TL. what are you looking for? you say you are not selling anything. are you trying to build an audience for your upcoming book? i enjoy your posts, but just trying to figure out your motive. it is a bit unusual for someone to "carpet bomb" all the trading forums with the same thing.

i was curious if anyone has applied their trade intensity measurements to an index future and a cash equivalent like an ETF or basket of stocks to identify spikes that aren't pure position speculation?

first i'd like to thank all on this tread for their contributions and ideas, especially UB for the catalyst and guidance. i created a timer for trades using DateTime.Now with totalmilliseconds and ticks also to find a lot of 0 values. it looks like the minimum trade time on my machine was around 15 ms. anything under was a zero. while reading online about DateTime properties i came across another way to measure time which is much more granular. the stopwatch class. now, instead of zeros i can theoretically measure trades down to 1 tick which is 100 nanoseconds. so, if zenfire is a raw feed like they claim to be, the only difference between my timestamps and the actual would be connection latency. the time difference between each trade should be the same as it was straight from the exchange.