Level II data

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alichambers
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Level II data

Postby alichambers » Mon Oct 15, 2007 8:25 am

Hi,

Does anyone use Level II data as an additional filter in their trading decisions? If so, is there a good guide on how to use it?

Many thanks,
Alex

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4x=0
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Postby 4x=0 » Mon Oct 15, 2007 4:24 pm

Hey there Mr. Suspended Animation.

Try contacting Danill, he has done research and written software that will likely answer your question. You guys will hit it off real nice like.

As for me, yah I use level II. I use it to see exactly when I have given away my position to those rat bastards with the fat bank roll. My 2 lots go on and you can almost hear peoples surrounding orders being pulled, a slight breeze actually blows my bangs from under my keyboard. They then know the n00b has entered the game and best not be like th newb.

So now instead of letting my limit order sit there for all to see, i slip it in real quick when the bid hits my price. Sell limit right there baby. Like 007.

Another way I use it, as an example, if i want to go short, and I see tons of bid on levelII I will take that into consideration.

Just keep it open when you trade and you should slowly figure it out.

I swear they're out to get my 2 lots.

Kurt Kobain wrote:Just because you're paranoid, don't mean they're not after you.

alichambers
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Postby alichambers » Mon Oct 15, 2007 6:44 pm

Thanks 4x=0.

I'm experimenting using PC side order management software - no results just yet, as I'm looking for software that works with EFX Group (I was with Interactive Brokers). Maybe this way the market makers don't get to see you play your hand?

I'll have a look for Danill - I assume he is on this site?

Alex


BTW- I gave up backtesting (got it out of my system - from an earlier thread), and have now just been focusing on learning to be profitable.

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daniil
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Postby daniil » Tue Oct 16, 2007 2:16 am

it seems forex levelII data at demo and real at MBT(EFX) does not match. so you can not test your strategies with demo account. i did not check for stocks because i do not have real account for stocks.
if you want to read more about using of level II in strategies - please google for "penn lehman automated trading project". the strategy which uses Level II data is called "SOBI" (for Static Order Book Imbalance")
BRGDS Dan

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