jeffersondaarcy

Hey Guys, I messed around with this today, but couldn't figure out how to get market depth (I can get best bid and best offer) so I called DTN. The guy I talked to had no clue if DTN provides market depth or not as a DDE. He said as far as their DDE info goes, there is a one-page sample file and that is the extent of their information/support for users. Unfortunately, the one-pager is pretty bare bones. I looked through the DTN message boards and didnt come across anything of value either. So... I got nothing. Anyways, just wanted to let you guys know how this panned out.

1. If you place a 1000 buy market order and it prints 1000, by some people estimation, this would be bearish because someone was sitting on the offer with size (one large seller filled your order). I dont have an opinion on this (whether it is bullish or bearish, provides an edge, etc.) as I've never done in-depth research on this, but my guess would be that it totally depends on context. 2. As far as tracking size, think about how you could potentially filter for this considering what information is known (time, price, volume).

Whatever your 10 gets matched with is what CME prints. If there are 10 one-lots on offer, you will see 1 1 1 1 1 1 1 1 1. If there are a two 5 lots, then you will see 5 5.... If there is someone sitting on the offer with a 100 block, you will see a "10" print.

That's why I posted in the first place. Im trying to do my part and stop people from following, that is unless Urma actually wants to address the post and prove me wrong. I would be more than happy to admit that I was wrong and apologize. Plus, his answer would be a tremendous benefit to the community. On another note, if anyone has any questions about how the CME reports trades, I highly recommend calling and talking to them, I have done so on numerous occasions and they are incredibly helpful, usually providing even more information than you initially needed/wanted. If you're going to incorporate something into your trading system, better make sure your assumptions are correct (as opposed to taking the word of someone on the message boards).

Exactly. A 1300 block order will look very similar to a pulsed 1300 lot order (assuming there wasnt size sitting on the offer for the block order). Therefore, trying to distinguish between pulsed orders and block orders (if one indeed believes that pulsed orders are a better indication of order flow shifts than block orders) is somewhat futile because prints are based-off of the limit orders in the book, not the market orders (assuming two market orders are not crossed).If I place a 1200 block buy market order and there are 1200 one lots on the offer, the trade will look exactly like a pulsed order. You cant tell the difference (unless there was size sitting on the offer).

Urma, From my understanding, you've said that the large/important players submit very large orders (let's assume 1,000 contracts) by placing 1000 one lot orders (or some variation of this) that all fall within a single second (or less). From now on, I'll refer to this as a "pulsed order." Furthermore, the purpose of your trade intensity indicator is to detect this pulse. Please correct me if I am wrong. My question is this: Prints are not based on the size of the market order, they are based on the size with which the market order was matched. Meaning, if I place a market order to buy 10 contracts, the tape will print the quantities that were sitting on the offer when my market order was matched. So, if someone happens to be offering 10 contracts, the tape will reflect this by printing a 10. If 10 different people are sitting on the offer, all offering one lots, the tape will print 10 one lots. Therefore, I question how you can tell whether an order was pulsed in or whether someone placed a buy market block 1000 order (assuming the offer was made up of smaller size). Are you saying that a "pulsed" 1000 lot order prints faster than a 1000 block order that gets matched with 1000 one lots? Seems to me like they would have the same "intensity." In fact, seems to me that the block order might even print a tiny bit faster since it is a single order (as opposed to a pulsed order, which is a 1000 micro orders). Thanks

It looks like I'm not going to be able to get to this as soon as I was hoping. Had to bump it down the "priority" list a couple notches. I'll definitely throw it up though if I can get it working. I'll keep you guys posted no matter the outcome though.

I use DTN, so Im hoping to use Tams' as a template/something to work off of. Haven't had a chance to mess around with it yet though. If I can get something working, I'll post it.

Much appreciated TAMS.

Does anyone know of any software providers that allow its users to add custom columns to the DOM? For example, you'd still have your basic columns (ask size, Price, prints, bid size, Volume-at-price, position), but you could also add in your own coded columns. For example: -A user-enabled volume at price column (would allow user to "clear" the volume when he wishes so he has a blank slate for when price retests a level) -Number of trades at each price above (blank size) for those that still track trade size -Some sort of orderbook analyzer such as the difference between the ask size when first arrived at the level minus the current ask size, divided by buy vol@price Dont read anything into the examples, they were just what popped into my head first. I just wanted to give a visual. I'm just looking for something that actually gives the trader more control. My eyes get tired having to dart back-and-forth between a DOM and other market statistics/orderbook statistics in different windows. Somewhat related note that just popped into my head: Anyone ever give any thought to replacing the ask size quantity in the orderbook with a horizontal bar representation? For example, the horizontal bar of an ask with 1,000 contracts would be half the size of an ask of 2000 contracts. The column to the right of the ask size would be the standard horizontal bar of volume at price... or something like that. Doubt this would be up my ally, but might be for the more visually inclined.

Interesting stuff. Any chance those straw poll results might make there way onto TL? It's too bad this type of information isnt in the public realm more. Side note: Does anyone know where one can find recent figures pertaining to how much ES volume each type of market participant does (Commercials do "X%," Prop Firms do "Y%," etc.)? I would be curious to compare today's breakdowns to pre-2007 breakdowns. Thanks

Thanks Blowfish. I think their may be a bit of confusion. I was actually referring to Fulcrum's claim that commercials (JPM, GS, etc.) conduct 70% of their business via market orders (as opposed to limit). However, I spent some time reading through some of the information/reports you suggested and definitely found value in the readings, so thanks for the info. I would be curious to know how Goldman's SLP status has affected (if at all) their findings.

Hey Fulcrum, Thanks for video. Quick question: You said that 70% of commercial trade is instituted via market order, do you mind sharing where you came across this figure? Thanks, JD

This thread has morphed into a broader discussion of the markets; more specifically, transparency and integrity issues. These issues affect us every single day, whether we realize it or not. They not only affect us as traders, but also as common Americans as evidenced by what has taken place the last few years (think derivatives market issues, taxpayer bailouts, etc). So, let's take this one step further... Is buying 200 contracts via 200 individual 1 lot market orders placed in under a single second manipulation according to the SEC's definition of manipulation (underline my emphasis): Manipulation is intentional conduct designed to deceive investors by controlling or artificially affecting the market for a security. Manipulation can involve a number of techniques to affect the supply of, or demand for, a stock. They include: spreading false or misleading information about a company; improperly limiting the number of publicly-available shares; or rigging quotes, prices or trades to create a false or deceptive picture of the demand for a security. Those who engage in manipulation are subject to various civil and criminal sanctions. Manipulation Please dont construe this post as me taking shots at people, me trying to piss people off, etc. That is not my intention at all. I'm just trying to stimulate thought. Going fishing for the week, good luck trading.

Aug. 5 (Bloomberg) -- Goldman Sachs Group Inc. made more than $100 million in trading revenue on a record 46 separate days during the second quarter, breaking the previous high of 34 set in the prior three months.Trading losses occurred on two days during the months of April, May and June, compared with eight days in the first quarter, the New York-based bank said today in a filing with the U.S. Securities and Exchange Commission...Trading and principal investments accounted for 78 percent of the bank’s revenue in the second quarter of 2009. Goldman Sachs $100 Million Trading Days Reach Record (Update3) - Bloomberg.com