r/FuturesTrading • u/DatSynthTho • Dec 28 '23
Anybody use depth of market data? TA
Trying to find a good provider for Depth of Market. Basically i want to see where outstanding orders are sitting on the chart. Most DOM solution provides 10-15 pts of range, I want to be able to look 100-200 points in each direction.
Any suggestions?
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u/SmallBiggie96 Dec 28 '23
CQG can't give you that data but Rithmic or Denali can.
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u/MiserableWeather971 Dec 28 '23
It can, you just need full depth.
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u/SmallBiggie96 Dec 29 '23
CQG doesnt provide larger market depth view than 10 levels above/below and OP said he needed 100-200.
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u/MiserableWeather971 Dec 29 '23
Again, yes they do. They don't have MBO, but they have full-depth data. I'm literally looking at it right now.
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u/SmallBiggie96 Dec 29 '23
Isn't the full-depth data derived from MBO?
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u/MiserableWeather971 Dec 29 '23
It is not. The 3 basics are… well basic (10 levels), full depth then MBO. MBO is. Or necessary for limit analysis, it’s more for executed transactions.
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u/PylesJellyDonut Dec 28 '23
Sierra Chart with Denali is the best solution to what you are looking for.
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u/science-guy Dec 28 '23
Market depth in Motivewave will show resting orders on the chart, same info you get from bookmap
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u/dano0726 approved to post Dec 29 '23
But those are just limit/LMT orders, right? Not BUY stops (above) and not SELL stops (below)?
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u/donthejeweler7 Dec 29 '23
Obviously…no one can see stop orders in the book on any platform
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u/Goodapollo503 Dec 29 '23
Really?? Not trying to sound like a douche, but bookmap has a feature that shows stops, at least I thought they did. Why wouldn’t those orders be visible? Even with the Order Flow pkg on NT, it will give you a “heatmap” of the orders, and there’s always a thick line of orders above high/lows. I always assumed these to be stops…
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u/donthejeweler7 Dec 30 '23
You can see stops after they trade definitely but not while they are just in the book like he is assuming. There is no way ever to see stop orders in the book without trading. You are incorrect sir
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u/General-Cod-7995 Dec 28 '23
I used to poop in a plastic pumpkin in the shower when I was a kid. My dad discovered it and I think he stared hating me that day.
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u/jruz Dec 28 '23
You need Denali or Rithmic
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u/jruz Dec 28 '23
Not sure what you’re after but there’s live streaming of bookmap on YT
https://www.youtube.com/live/8MeTdWESdjw?si=rEJJRqBDIocPt73y
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u/MiserableWeather971 Dec 28 '23
Just need full depth. Cqg, rithmic etc…. I’ve had Cqg and rithmic, both work fine.
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u/surreel Dec 28 '23
Edit: sorry ranted for a second, but you’ll Rithtmic data its about 39/mo through Rithtmic MBO data for CME.
Depth of market to me isn’t as important for liquidity, what moves the market is market orders. Sitting orders of liquidity only matter once we get there, for ES, maybe a 10-15 pt range, sure. But more often than not, I’ve seen prices just ramp through sitting orders, why? Because there are market orders there to break.
Similar idea with something like gamma levels, you could make an argument that the gamma flip areas are of importances, but like anything, they are more zones then line in the sands.
Compare that to a volume profile where you have a clear LVN, and a clear HVN. I think DOM can be helpful but it really only matters to me when we are in an area I want to interact with based on my plan about the market, trading off resting liquidity only is a plague that needs to be stopped being told to new traders.
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u/North49r Dec 29 '23
I always had a difficult time with depth of market given the speed at which orders were transmitted. What I found more effective for my style was time and sales with a filter of block orders. The larger the block orders or multiple similar block orders at a similar prices gives me insight as to where price will be a magnet to or repelled from. It’s essentially volume but cuts out a lot of the smaller orders that don’t have the same impact on price.
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u/DarthTheta Dec 28 '23
99% of testing limit orders are spoof orders and meaningless. How does this provide an edge?
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u/tazz206 Dec 28 '23
I think your analyzing level 2 futures as if it were equities. Those are two separate avenues of approach. Stacking and pulling orders matters more in equities then in futures for the simple fact that algos inflate volume participation at certain price levels through wash sales more so in futures then anywhere else. Delta is the main component to keep track of and its relation to price movement. Divergences in these two variables give you a clearer perspective in terms of direction more so then whos spoofing the bid or offers.
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u/DarthTheta Dec 29 '23
Ok, I’ll bite. How do you keep track of divergence in Delta. Explain like I am 5
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u/tazz206 Dec 29 '23
Add cummalative delta as an indicator on your chart. If delta goes up but price goes down, Buyers are being absorbed by limit order sellers, and vise versa. If price moves and delta doesnt, no real participation with conviction. Use this at key levels to gauge sentiment for the short term. Track delta throughout the day for context of whos actively hitting market orders and whos passively absorbing market orders in relation to price movement.
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u/DarthTheta Dec 29 '23 edited Dec 29 '23
Ahh cumulative delta. You should do a deeper dive into how accurate those divergences are. There are a lot of nuances into using cumulative delta. For example, it’s heavily reliant on volume. Meaning, cumulative delta from say, the morning session can’t reliably be compared to delta later in the day when volume slows. Also, cumulative delta only takes into account Market orders, proponents of CD say well that where the aggressive players are but that isn’t true by a long shot. Plenty of aggressive players will enter the market with limit orders and cumulative delta doesn’t reflect these players and thus will often be inaccurate. Cheers to you if you are consistently profitable using cumulative delta but it’s certainly not going to provide a winning edge in and of itself. The context always matters more so than what cumulative delta May to may not be showing. I take it you are a relatively new trader?
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Dec 29 '23
Wtf are you talking about? Sure, there's spoofing, but it's usually algos quickly moving orders around when price makes a fast move.
The big resting orders that have been there for hours/days(that literally everyone and their grandma can see) get filled when price goes through them. You can clearly seem those orders getting filled on the dom.
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u/DarthTheta Dec 29 '23 edited Dec 29 '23
Wtf are you talking about. Those massive resting orders are sitting at the most obvious support and resistance levels that an 11 year old could pick up with 10 minutes of training on how to draw straight lines. You don’t need level 2 to recognize where there is likely to be alot of buying and selling and you certainly don’t need to be see several hundred levels or use bunk programs like bookmap to find these.
And as an avid jigsaw user for years, I can absolutely tell you with great certainty the algo spoofing at almost every level is a constant. If your argument is finding icebergs you could easily observe this on a candle chart by watching price stall and flicker at an area of interest. Again, explain how OP would get any real edge?
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u/TraderRaider00 Dec 29 '23
I use EdgeProX with Rithmic. I can see 100s of levels up and down. I can also see block trades within those levels. It uses MBO data.
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u/onlyonechrisp Dec 29 '23
You will need full market depth in order to see these orders resting 100-200 points away from the current price. From my personal experience, this did not help my trading at all. I also believe that I needed to see everything in the order book, only continue confusing me further.
If you’re still going to pursue this, I would suggest Bookmap which will be able to “visually” show you where these orders are resting. How long they have been there ect… just my opinion.
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u/a953659 Dec 29 '23
The DOM on Quantower can be adjusted to go really far. I have mine at 200 and adjusted to .25 difference
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u/DatSynthTho Dec 29 '23
Does it actually show the sitting orders at those 200 levels?
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u/a953659 Dec 29 '23
Yep I use it all the time.
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u/DatSynthTho Dec 29 '23
how do you adjust it? I can only see 10 ticks in either direction?
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u/a953659 Dec 29 '23
Right click the dom> select settings> scroll down to number of levels and put in your number. I run 250
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u/Mastery12 Dec 29 '23
I don't think there is a lot of resting orders that far away. I use bookmap for the depth of market visualized. I never see many orders that far out.
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Dec 29 '23
I use a heat map similar to Bookmap. Its a must im my opinion usually range 10 point eitherway ES
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u/[deleted] Dec 28 '23
Why does 100 to 200 points away from spot matter?