skunktrader wrote: > 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. > Balancer works well on many days if you can play the optimization cat-mouse game.
> 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. > As Eugene once said, maybe that occurs when a burst of market orders come in. Somebody on the "tws api" yahoo mailing list was writing about a way to detect that. > Perhaps coincidently, this list seemed to die at around the same time > as the 10 deep market depth was rolled out... > Or perhaps they are too busy making money with JBookTrader ;) > > > > --~--~---------~--~----~------------~-------~--~----~ 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 -~----------~----~----~----~------~----~------~--~---
