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Strategies & Market Trends : DAYTRADING Fundamentals -- Ignore unavailable to you. Want to Upgrade?

To: fut_trade who wrote (14239)	9/23/2001 10:53:37 AM
From: Dan Duchardt	Read Replies (2) \| Respond to of 18137

fut_trade, I have found the futures Market Depth function in IB TWS to be a bit slow in updating. I often see the montage updating seconds after a change in the inside quotes, so I assume all the information is a bit stale. If the information could be exploited by an automated scalping system, I think you would need the updates to come a bit faster. As you suggest, for longer time frames it's not particularly helpful. I do watch it though. If I see a substantial imbalance in the bid ask size, I'm not inclined to bet against it. Dan

To: fut_trade who wrote (14239)	9/23/2001 1:34:15 PM
From: John Powell	Respond to of 18137

1. Here is a link to free real-time depth for the eminis. There is little or no delay when compared to my esignal feed. 207.121.190.247 2. Although you can now see the last trade size and "real" volume I personally have not found the information very useful (yet) because of all the arbitrage on the contracts. Anyone that has hung around the CME will see tons of traders doing Arb. on the minis to the live pit. If there is even the slightest spread they will go long one and short the other. So when you see 25 contracts bought or sold on the eminis - was it a real trade or just someone capturing a tiny spread between the live pits and the electronic. And of course there is all the computerized trading between the underlying index and the contract (PREM). Of course you can watch the large S&P contract feed, underlying index, listen to a live Squawk box from the pits or watch the PREM to try and figure this out but so far I have troubles telling the difference between a large trader actually wanting to go long/short and a trader just capturing a very small spread. If you can't tell the difference than trade size doesn't help out much. If someone has a way of telling the difference I would be thrilled to hear.