s*5
4 楼
ding. 学习一下,看看值不值得订
a*e
7 楼
Oh, It is said it's less and less useful as ppl are
better and better at hiding their intentions or even manipulate them.
1. iceberg, first just split volume, then evolved to split random size
, then random time submission, then now, even cross exchange/route to fill
one order.
【在 w******s 的大作中提到】
: 2020 mm was also interested on those. I think the most direct usage is to
: tack the size and compare.
better and better at hiding their intentions or even manipulate them.
1. iceberg, first just split volume, then evolved to split random size
, then random time submission, then now, even cross exchange/route to fill
one order.
【在 w******s 的大作中提到】
: 2020 mm was also interested on those. I think the most direct usage is to
: tack the size and compare.
w*s
8 楼
that is true. and that is one of the reason I can't play options dt well any
more..
【在 a*****e 的大作中提到】
: Oh, It is said it's less and less useful as ppl are
: better and better at hiding their intentions or even manipulate them.
: 1. iceberg, first just split volume, then evolved to split random size
: , then random time submission, then now, even cross exchange/route to fill
: one order.
more..
【在 a*****e 的大作中提到】
: Oh, It is said it's less and less useful as ppl are
: better and better at hiding their intentions or even manipulate them.
: 1. iceberg, first just split volume, then evolved to split random size
: , then random time submission, then now, even cross exchange/route to fill
: one order.
w*s
9 楼
the big size hanging there still mean something . if it is fake, then it is
useful information
useful information
a*g
10 楼
观察过几个股,大盘股,high beta
level 2变化太快了
估计只有hft才能好好利用
感觉做短/长线还是ta/fa,对散户而言
level 2变化太快了
估计只有hft才能好好利用
感觉做短/长线还是ta/fa,对散户而言
a*e
11 楼
regarding ES. let's discuss if level 2 is suggestive.
1. I don't think market maker will have edge here. Market maker
prefer bigger spread, but if it's designed to be so and it's highly
liquid and volatile, it's much much more risk to take than to get
1 tick profit. I am not 100% sure if CME disallow even market maker to quote
between one tick for futures like ES.
any
【在 w******s 的大作中提到】
: that is true. and that is one of the reason I can't play options dt well any
: more..
1. I don't think market maker will have edge here. Market maker
prefer bigger spread, but if it's designed to be so and it's highly
liquid and volatile, it's much much more risk to take than to get
1 tick profit. I am not 100% sure if CME disallow even market maker to quote
between one tick for futures like ES.
any
【在 w******s 的大作中提到】
: that is true. and that is one of the reason I can't play options dt well any
: more..
c*t
12 楼
NYSE or NASQ, Level II data today is useless. even for DT.
It use to carry large order info.(maybe 10 years ago)
But with the introduction of dark pool, island and algo trading.
It becomes almost random data now.
For example, MMID today is replaced by exchange ID and island ID,
so you can not tell who originally put the order, and most fund have
multiple island to route their order.
In additional, market testing computer continue issuing a lot of order and
cancel them within millisecond later to "discover" the price.
This is a good thing, market is more efficient in this regard.
As for future. Globex does not give MMID, only depth.
But with the introduction of "flipper" trading, it also random.
unless it is @ key level, which you can know from the chart anyway.
overall, I think people should focus on TA, do not try to find secret way in
the highly manipulated, second hand data.
It use to carry large order info.(maybe 10 years ago)
But with the introduction of dark pool, island and algo trading.
It becomes almost random data now.
For example, MMID today is replaced by exchange ID and island ID,
so you can not tell who originally put the order, and most fund have
multiple island to route their order.
In additional, market testing computer continue issuing a lot of order and
cancel them within millisecond later to "discover" the price.
This is a good thing, market is more efficient in this regard.
As for future. Globex does not give MMID, only depth.
But with the introduction of "flipper" trading, it also random.
unless it is @ key level, which you can know from the chart anyway.
overall, I think people should focus on TA, do not try to find secret way in
the highly manipulated, second hand data.
a*e
14 楼
IOC is used mainly by market market to do HFT.
I am not sure how long SEC will limit flipper.
flipper is beyond gray area in my opinion. Other tricks
like IOC, penny jumper, tow the iceberg, you can still
argue it's trade by gathered public market information, even
only a small loop would detect them.
Order books are becoming noisier and nosier that's for sure.
The only reason retailers shouldn't dig into it is because
it's a game far beyond their abilities.
【在 c**t 的大作中提到】
: NYSE or NASQ, Level II data today is useless. even for DT.
: It use to carry large order info.(maybe 10 years ago)
: But with the introduction of dark pool, island and algo trading.
: It becomes almost random data now.
: For example, MMID today is replaced by exchange ID and island ID,
: so you can not tell who originally put the order, and most fund have
: multiple island to route their order.
: In additional, market testing computer continue issuing a lot of order and
: cancel them within millisecond later to "discover" the price.
: This is a good thing, market is more efficient in this regard.
I am not sure how long SEC will limit flipper.
flipper is beyond gray area in my opinion. Other tricks
like IOC, penny jumper, tow the iceberg, you can still
argue it's trade by gathered public market information, even
only a small loop would detect them.
Order books are becoming noisier and nosier that's for sure.
The only reason retailers shouldn't dig into it is because
it's a game far beyond their abilities.
【在 c**t 的大作中提到】
: NYSE or NASQ, Level II data today is useless. even for DT.
: It use to carry large order info.(maybe 10 years ago)
: But with the introduction of dark pool, island and algo trading.
: It becomes almost random data now.
: For example, MMID today is replaced by exchange ID and island ID,
: so you can not tell who originally put the order, and most fund have
: multiple island to route their order.
: In additional, market testing computer continue issuing a lot of order and
: cancel them within millisecond later to "discover" the price.
: This is a good thing, market is more efficient in this regard.
w*s
16 楼
there are some sophisticated daytrading tools build upon level II info.
someone on the board ever post a set of tools with animated explain, but I
failed to find that link.
【在 c**t 的大作中提到】
: NYSE or NASQ, Level II data today is useless. even for DT.
: It use to carry large order info.(maybe 10 years ago)
: But with the introduction of dark pool, island and algo trading.
: It becomes almost random data now.
: For example, MMID today is replaced by exchange ID and island ID,
: so you can not tell who originally put the order, and most fund have
: multiple island to route their order.
: In additional, market testing computer continue issuing a lot of order and
: cancel them within millisecond later to "discover" the price.
: This is a good thing, market is more efficient in this regard.
someone on the board ever post a set of tools with animated explain, but I
failed to find that link.
【在 c**t 的大作中提到】
: NYSE or NASQ, Level II data today is useless. even for DT.
: It use to carry large order info.(maybe 10 years ago)
: But with the introduction of dark pool, island and algo trading.
: It becomes almost random data now.
: For example, MMID today is replaced by exchange ID and island ID,
: so you can not tell who originally put the order, and most fund have
: multiple island to route their order.
: In additional, market testing computer continue issuing a lot of order and
: cancel them within millisecond later to "discover" the price.
: This is a good thing, market is more efficient in this regard.
f*e
18 楼
I had this question long time ago ... Is there anyway that we can "export"
the level II data and import it into our own SHIT TONG for real-time
analysis? We can view it, say using ScottradeElitte, but how to "download"
or "streaming" it to your computer?
【在 w******s 的大作中提到】
: there are some sophisticated daytrading tools build upon level II info.
: someone on the board ever post a set of tools with animated explain, but I
: failed to find that link.
the level II data and import it into our own SHIT TONG for real-time
analysis? We can view it, say using ScottradeElitte, but how to "download"
or "streaming" it to your computer?
【在 w******s 的大作中提到】
: there are some sophisticated daytrading tools build upon level II info.
: someone on the board ever post a set of tools with animated explain, but I
: failed to find that link.
C*G
20 楼
我老文科男,野鸡经验,很久以前闲时用过htmlunit。
hiahia
【在 f****e 的大作中提到】
: I had this question long time ago ... Is there anyway that we can "export"
: the level II data and import it into our own SHIT TONG for real-time
: analysis? We can view it, say using ScottradeElitte, but how to "download"
: or "streaming" it to your computer?
hiahia
【在 f****e 的大作中提到】
: I had this question long time ago ... Is there anyway that we can "export"
: the level II data and import it into our own SHIT TONG for real-time
: analysis? We can view it, say using ScottradeElitte, but how to "download"
: or "streaming" it to your computer?
g*u
21 楼
To be able to do "real-time" analysis, you would need real-time data feed.
There are ways to continually ping your discount broker web interface to get
data snapshots. But, I doubt its usefulness would go much beyond a test of
ideas.
【在 f****e 的大作中提到】
: I had this question long time ago ... Is there anyway that we can "export"
: the level II data and import it into our own SHIT TONG for real-time
: analysis? We can view it, say using ScottradeElitte, but how to "download"
: or "streaming" it to your computer?
There are ways to continually ping your discount broker web interface to get
data snapshots. But, I doubt its usefulness would go much beyond a test of
ideas.
【在 f****e 的大作中提到】
: I had this question long time ago ... Is there anyway that we can "export"
: the level II data and import it into our own SHIT TONG for real-time
: analysis? We can view it, say using ScottradeElitte, but how to "download"
: or "streaming" it to your computer?
f*e
25 楼
Yes, where can I purchase real-time data feed? The brokerage one is no good
because it does not allow me to manipulate the data but just viewing them on
screen.
I am sure they mean something if, say all S&P 500, are monitored real-time,
or combined into an indicator.
get
of
【在 g*****u 的大作中提到】
: To be able to do "real-time" analysis, you would need real-time data feed.
: There are ways to continually ping your discount broker web interface to get
: data snapshots. But, I doubt its usefulness would go much beyond a test of
: ideas.
because it does not allow me to manipulate the data but just viewing them on
screen.
I am sure they mean something if, say all S&P 500, are monitored real-time,
or combined into an indicator.
get
of
【在 g*****u 的大作中提到】
: To be able to do "real-time" analysis, you would need real-time data feed.
: There are ways to continually ping your discount broker web interface to get
: data snapshots. But, I doubt its usefulness would go much beyond a test of
: ideas.
f*n
36 楼
http://www.reuters.com/article/2007/07/02/us-citigroup-automate
买了ATD后确实至少有12%。不能算是纯粹的HF,是做broker的同时捎带着做。最近听说
即使他们这么猛的平台,high frequency trading也不怎么挣钱了。
off
.
【在 a*****e 的大作中提到】
: of course, all major banks has prop dept, but most of them are spinning off
: due to regulation. and citi is never a big/good player in HF market making.
: 10%? I will be surprised if it's more than 2%.
买了ATD后确实至少有12%。不能算是纯粹的HF,是做broker的同时捎带着做。最近听说
即使他们这么猛的平台,high frequency trading也不怎么挣钱了。
off
.
【在 a*****e 的大作中提到】
: of course, all major banks has prop dept, but most of them are spinning off
: due to regulation. and citi is never a big/good player in HF market making.
: 10%? I will be surprised if it's more than 2%.
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