DOM -- Excel / IB

[Tams 20]

DOM -- Excel / IB

 

Author: mikeytrader

 

 

 

 

 

1. This DOM uses IB feed through standard IB DDE connection.

 

2. Data is replaced instantly in each cell.

-- The performance is good because there is no excessive calculations.

 

3. Left most section shows the DOM Ladder, 3 columns, price, size, accumulated size.

 

I colored the ask side with green and the bid side with red,

but only colored to the largest size in each level.

This allows you to see the wall easily.

The yellow color is used to show which side has the largest accumulated size.

 

4. Middle section, For each of the 5 levels of the DOM a Horizontal bar expands or contracts base on the corresponding size.

 

5. Right section, Similar to the DOM ladder on the left side, this only shows the biggest wall amongst the 5 levels of each side, plus the immediate inner pair.

 

 

Instructions:

 

1. Save xls to hardrive

2. Launch IB

3. Make sure IB under configure>>api>>enable dde and enable active-x are turned on

4. Open xls; when prompted to "update" just say no

5. type in your IB user id in cell B47 and make sure B48 is the current contract and hit enter

6. save the xls

7. click on the setup button

8. ib data should start to update.

 

The next time you open the xls you can chose "update".

 

 

p.s.

1. you will need a basic knowledge of Microsoft Excel to use this.

2. this worksheet is a few years old, you will need to update the symbol to the current contract. (see #5 above)

 

.

domib.xls

Edited May 4, 2009 by Tams

[aaa 10]

Excellent idea Tams to transpose the DOM in Xcel

 

I'm scared because I'm the first one to post...

 

My question is :

 

Why the column E (=E30+D29 accumulation) is important enough to put it on ?

 

Why not to add each row like =

 

5 =D28+D29+D30+D31+D32

4 =D29+D30+D31+D32

3 =D30+D31+D32

2 =D31+D32

1 =D32

 

to see how contracts untill reaching the price ?

[aaa 10]

What did the Sharing DDE become?

Apply to all editions of Windows Vista.

 

If you used the previous versions of Windows, you know maybe that the Sharing DDE is a tool permitting to manage the communication between the programs and to share some data on a network. The Sharing DDE is not available in this version of Windows, because it is replaced by other methods permitting to communicate and to share some data between several computers.

 

http://windowshelp.microsoft.com/Windows/en-US/default.mspx

 

May be that it is to secure the system against trojan which can take control of the DDE in a DOS mode.

 

Good news... if the new DDE will be faster for RT ticks (DDE jumps ticks in a fast market)

 

Bad news... if we have to wait a long time untill all softwares using DDE rewrites their codes (if they do it...)

Edited May 23, 2009 by aaa

[Karish 10]

5. Right section, Similar to the DOM ladder on the left side, this only shows the biggest wall amongst the 5 levels of each side, plus the immediate inner pair.

TAM, it is clear for me to look for the wall by looking for large amount, however it is not clear to me what behavior to look for at the inner pair, can you please elaborate.

Thx

[BlowFish 10]

TAM, it is clear for me to look for the wall by looking for large amount, however it is not clear to me what behavior to look for at the inner pair, can you please elaborate.

Thx

 

It seems to me that making sense of the order book is as much art as science. Personally I have not found much material that really explains things. There are a couple of old threads at ET sometimes things are mentioned here. There are a few books that deal with Nasdaq level II. None of it seems completely satisfactory to me.

 

AS I said before I think just looking for a wall is simplistic, they get pulled as price approaches as often as not. Even when they don't they can get chewed through in seconds .....or not. Common sense says to me that unless you are a patient trader wanting to advertise that you are a buyer/seller at that price you would use an iceberg order. If you think about it there are pretty few times you would want to 'show your hand' if you had a large amount of inventory to move.

[Karish 10]

It seems to me that making sense of the order book is as much art as science

I can't say it better actually, I am looking at trading as a mixture between science and art, where the indicator part is the science and the interpretation is the art, to be a good trader one must master both. Dalton calls it in it's book "Market in Profile" the usage of Left & Right brain.

The amount of DOM tricks can be played are not endless & I think it is possible to master this art.

By combining DOM and T&S it is possible to find tradeable patterns (using art) and to have higher level of market understanding.

Large traders cannot hide their foot print even with iceberg, so if you do not see them in DOM like the "WALL" you will find them in the T&S. If you see them in the DOM meaning they would like that everyone will see them ask yourself why and act accordingly.

[dangermouseb 10]

I suspect DOM games are the domain of ultrahigh frequency traders nowadays (with co-located computers etc) and there is no edge available to the smaller player.

 

-- DM

[Tams 20]

I suspect DOM games are the domain of ultrahigh frequency traders nowadays (with co-located computers etc) and there is no edge available to the smaller player.

 

-- DM

 

 

the market beams the same messages to all the participants...

there is always no edge to those who do not see it

there is always an edge to those who hallucinate it

 

this is a wonderful world...

[dangermouseb 10]

indeed... though the challenge of order book games is writing the software a) to reconstruct the whole order book, b) having it close enough to the exchange so that the information can be processed in a timely manner (typically measured in mS)...

 

non-professional data feeds aren't fast enough to see the information before someone else (an IB or hedgefund etc) has acted on it...

 

-- DM

[AndrewJackson 10]

the market beams the same messages to all the participants...

there is always no edge to those who do not see it

there is always an edge to those who hallucinate it

 

this is a wonderful world...

You got some good sayings !,are you a kung fu master too? Thanx for your kool excel indicator. Does Interactive brokers have a demo I could try this out on?