Today, almost 3 months after the rest of the market, IB finally rolled out 10 deep market depth for Globex futures. Seeing that JBT has only been seeing half of the market depth info that other players are seeing, I would be very interested to hear from anybody that has been running/testing over the past 3 months to see if there has been any obvious changes in system performance.
If the performance has not changed over the period, then it would strongly suggest that there is zero predictive info in the market depth stream. For what its worth, I have noticed that the balance of the top 5 levels is VERY OFTEN (far more than would be expected) the opposite direction compared to the balance of the top 10 levels. Perhaps coincidently, this list seemed to die at around the same time as the 10 deep market depth was rolled out... --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [email protected] For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en -~----------~----~----~----~------~----~------~--~---
