# Market Depth Auto Trading the SPI



## graemeal (31 March 2010)

I would just would like to get some opinions on the merits of having a system that automatically totals the about of shares on offer, 6 levels deep on the buy side as opposed to the same on the sell side. As in you can add up LIVE the totals of either 3, 4, 5 or 6 market depth levels of say BHP, CBA, WBC, NAB, ANZ combined presented as one total, and compare it with the same on the other side giving you a plus or minus figure.

I have been trialing the finished product for a week with promising results, but very early days. 

So a live figure counting the total buyers coming in as opposed to the sellers.

I know traders look at depth and try to estimate the bids compared to the sells across many stocks in their head, but that does my head in.

Any comments would be greatly appreciated


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## cutz (31 March 2010)

Hi graemeal,

I can't comment on your system but webiress plugged into excel can easily do those calculations.


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## Trembling Hand (31 March 2010)

Won't work. IMO as discussed many time here.

Especially those stocks considering the ticks needed to get over costs.

When you say "promising results" exactly what does that mean? High win loss? High R:R. Surprising indication of direction over different market conditions?


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## graemeal (31 March 2010)

Thanks. Can you extract the market depth totals from Webiress? At present I can bring into a spreadsheet up to 6 levels of the market depth. As in the grand total of the 6 levels of the Bids as opposed to the offer. 

So say 5 stocks bids over 6 levels as one total as opposed to the same on the ask side.

Thanks

Graeme


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## graemeal (31 March 2010)

Trembling hand. Not sure what you mean. Promising results such as I have been trading the SPI (was CMC now IG CFD on SPI) for 4 years. As tough as hell. Promising means that over the past week I am yet to have a loss over about 15 trades. Unheard of in my past years of trading. I am still not totally convinced because early days. I export the Market depth figures into a spreadsheet. As in the amount of shares on the buy side and the amount on the sell side. So after a run down say 20 pts on the SPI you wait for the buyers to start building on the bid side giving you an edge. May be old hat and others giving that data already. No idea


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## Trembling Hand (31 March 2010)

OK. Where are you getting the data? If you use something like IB you can do this in a dynamic format via an API. 

Would give it more than 15 trades before I would be convinced. Especially if the last weeks trades were all long. Perfect conditions for 1/2 range pull backs to jump on long. That market will change as soon as...........


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## graemeal (31 March 2010)

Then long and the short of it is that you can visually look at BHP. CBA, WBC, NAB & ANZ's market depth and try and get some idea of the buildup. To me totally impossible. You become cross eyed within a week. All those stocks, 6 levels of bids and offers amount to 30 levels. I am looking at 1 live figure. The total of 5 stocks by 6 bid levels minus the 5 stocks by 6 levels ask levels


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## cutz (31 March 2010)

graemeal said:


> Thanks. Can you extract the market depth totals from Webiress?




Webiress shows the whole order book, once it's plugged into excel and set up the spreadsheet receives dynamic updates ( or whatever you want to call it ). You can then calculate the results however way you like, totals at 10,20 then bid/ask or whatever tickles your fancy.

Might set it up tommorrow for fun on the top 20 ( If i'm getting bored cos the market isn't copping a beating).

Could be worth comparing ratios to the actual index, see if a pattern develops, thanks for the heads up.


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## graemeal (31 March 2010)

Yes I agree totally. I have been a full time trader for 4 years. That is my living so no pie in the sky stuff from me. The toughest business that I have ever encountered and I am over 50 years old with 4 under my bealt. I am working with a well known charting company and after many years convinced them to include the market depth levels in the DDE data. The reasoning behind it is that I also developed a spreadsheet that tracks the top 200 ASX stocks, applying their relative weighting multiplied by the gain/loss live during the day that gave me a too the second, exact read on how many points the XJO was putting on to the 1/10th of a point. Assuming it would give me an edge because the only thing that directs the SPI is the XJO, Or BHP (12.57%), CBA (7.56%). WBC (7.21), ANZ (5.56%) and NAB (5.07%). Nearly 40% of the market. To no avail. Useless, the SPI moved the same time if not before. So now the buildup of the buyers, sellers is the missing link that I have been looking for for years. AT THIS EARLY STAGE 

What is IB and API? As I said this stuff could be out there already.


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## Trembling Hand (31 March 2010)

http://www.interactivebrokers.com/mkt/mktban/index.php?src=asf1

API = Application Programming Interfaces


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## Trembling Hand (31 March 2010)

graemeal said:


> So now the *buildup of the buyers, sellers* is the missing link that I have been looking for for years. AT THIS EARLY STAGE




Its not whats sitting in the book that moves a market, it what you cannot see hitting @ market.


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## graemeal (31 March 2010)

Thanks for the input. At this stage that seems not to be the case but early days and not a simple,more buyers than sellers aproach. Market must be overbought or sold first. at least 20 pts away where it shouild be. Should be ? Where the SPI's guestimate is plus or minus what the DOW futures has done since 8.00am. Adding or subtracting the SPI's equivilent. Anyway happy days and I have been around far too long to get over enthusiasic over a whim and a prayer.

Thanks again. will check on webiress and interactive

Thanks


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## cutz (1 April 2010)

Cos i'm really bored I just set up the spreadsheet to calculate the cumulative 5 level dollar value/bid divided by ask on the top 20 and the ratio lookes awfully similar to Trin-asx.

Think i've just wasted 1/2 hour.

Perhaps I should just go to bed.


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## sails (1 April 2010)

cutz said:


> Webiress shows the whole order book, once it's plugged into excel and set up the spreadsheet receives dynamic updates ( or whatever you want to call it ). You can then calculate the results however way you like, totals at 10,20 then bid/ask or whatever tickles your fancy....




HI Cutz, there used to be an added cost per month for WI to plug into excel - is that still so?  Are you still using Commsec WI?


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## skyQuake (1 April 2010)

graemeal said:


> Thanks for the input. At this stage that seems not to be the case but early days and not a simple,more buyers than sellers aproach. Market must be overbought or sold first. at least 20 pts away where it shouild be. Should be ? Where the SPI's guestimate is plus or minus what the DOW futures has done since 8.00am. Adding or subtracting the SPI's equivilent. Anyway happy days and I have been around far too long to get over enthusiasic over a whim and a prayer.
> 
> Thanks again. will check on webiress and interactive
> 
> Thanks




It'll help to look at the ADRs too like BHP in the US etc... 
Also, if you look closely, the major stocks follow SPI unless theres someone doing size.


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## Broadway (1 April 2010)

Trembling Hand said:


> Its not whats sitting in the book that moves a market, it what you cannot see hitting @ market.




But the 'last' trade comes up on the dom, in some doms. This you can see and record, with programs like brackettrader, using its volume tracker.

And what about large stubborn limit orders that get taken out as price moves towards them, they can have predictive qualities.

Not arguing, just trying to pick ur brain a bit.


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## cutz (1 April 2010)

sails said:


> HI Cutz, there used to be an added cost per month for WI to plug into excel - is that still so?  Are you still using Commsec WI?




How's it going Sails, 

Yep, i'm still using commsec iress, no extra for the add in, part of the standard package.

EDIT>>Back to the drawing board guys, just found out that unlike quote data, full depth doesn't   update dynamically, you need to refresh manually.


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## Trembling Hand (1 April 2010)

Broadway said:


> But the 'last' trade comes up on the dom, in some doms. This you can see and record, with programs like brackettrader, using its volume tracker.




yeah, the same as it shows on a chart, T & S & quote screen. Having viewed the bids/asks sitting in the book will not tell you what the _next _trade will be.


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## charttwit (1 April 2010)

Hello this is a VOLUME TRANSACTION ONLY chart i have been working on for a couple of years, bars are created in volume so i can measure horizontal space accurately and i can measure raw speed. like anything you need a trading market and ranges to work, not good on pre NFP day. I will have another chart that will plot buyers and sellers


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## professor_frink (1 April 2010)

charttwit said:


> Hello this is a VOLUME TRANSACTION ONLY chart i have been working on for a couple of years, bars are created in volume so i can measure horizontal space accurately and i can measure raw speed. like anything you need a trading market and ranges to work, not good on pre NFP day. I will have another chart that will plot buyers and sellers




Holy crap, you can barely even see the price in that mess

How on earth do you trade with a chart like that


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## white_goodman (1 April 2010)

professor_frink said:


> Holy crap, you can barely even see the price in that mess
> 
> How on earth do you trade with a chart like that




he does it for the lulz


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## skyQuake (1 April 2010)

white_goodman said:


> he does it for the lulz




one of my primary sources of motivation


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## charttwit (1 April 2010)

Its Ok, no writing, wide screens, as my squaring and predictions are on the chart as it unfolds i can see where we are in comparison to where we have come from and where we are supposed to be. also i only have to have the last leg to work against to gauge accurate angles of achievement etc. i thought i would share this here because u were having A conversation about depth and price moving etc, i believe Raw speed is commitment. cheers


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## professor_frink (1 April 2010)

charttwit said:


> Its Ok, no writing, wide screens, as my squaring and predictions are on the chart as it unfolds i can see where we are in comparison to where we have come from and where we are supposed to be. also i only have to have the last leg to work against to gauge accurate angles of achievement etc. i thought i would share this here because u were having A conversation about depth and price moving etc, i believe Raw speed is commitment. cheers




smells like gann. 

I'll get my coat:run:


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