How to read the market depth?

[Modest]

When it comes to spoofing and whether or not the order was real do you guys track the transacted amount of orders in DOM?

For example Price is currently at 1953.00


Let say there is 1000 buy order on the DOM at 1950.00. 1950.00 has traded at some point during the day because at that level my DOM shows 500 contracts where exchanged during todays trading session.

Eventually price reaches the 1950. At this point I am expecting to see those 1000 buy orders added to the exiting 500 that have traded at that price level, if I don't see an increase of 1,000 (total being 1,500 traded at that level) would it be right to assume that the order was a spoof?

Are there other ways at looking at this, what clues give these kinds of tricks away?

 

[ThingyMajiggy]

When it comes to spoofing and whether or not the order was real do you guys track the transacted amount of orders in DOM?

For example Price is currently at 1953.00


Let say there is 1000 buy order on the DOM at 1950.00. 1950.00 has traded at some point during the day because at that level my DOM shows 500 contracts where exchanged during todays trading session.

Eventually price reaches the 1950. At this point I am expecting to see those 1000 buy orders added to the exiting 500 that have traded at that price level, if I don't see an increase of 1,000 (total being 1,500 traded at that level) would it be right to assume that the order was a spoof?

Are there other ways at looking at this, what clues give these kinds of tricks away?

Usually a spoof won't trade at all(hence the term spoof, if half of it trades then the rest was likely just pulled), it's usually spoofed because they are actually wanting to get filled on the other side, so using your example, they would put up 1000 on the bid, but they would actually have offers that they want filled, because the market will often hover or push up away for a few ticks(front runners) from huge lots sitting in the book, then once they have their required amount filled, they pull the big bid and TADAAAA the market wasn't as "strong" as the newbies thought it was because the 1000 lot is gone and that price has now gone offer and away we go to the downside....in theory.

If the 1000 lot actually trades, doesn't pull once it's like one tick away and actually gets hit into and still stays there, then it's real, depending on the market, I haven't really seen any hugely obvious patterns, like a big lot in the dax(100+) if its real will usually be churned through then pop, but on thicker markets, meh....might be a bit of a small bounce then it can just continue on past where the big lot was and re-test.

This stuff is all hugely based on context, what's happened, where we've been, high volume day, low volume day etc, if that 1000 lot trader has been trying to do business all morning and he's now desperate vs if he's not so fussed and can just rest it there waiting for a fill, can sometimes see guys desperate wanting a fill and it pushes the market one way, the DAX is great for that, particularly pre-cash, you'll see someone with around 40-50 pushing the bid or offer hard and the market just goes in that direction until it's taken out and then it usually goes right back to where it started happening. It just doesn't happen all that often.

 

[Modest]

Very interesting I will look out for these behaviours thanks for the reply

 

[ThingyMajiggy]

Very interesting I will look out for these behaviours thanks for the reply

No worries, take it or leave it, hopefully it's of some use to you