I'm curious as to what you guys think the usefulness of this data is. In nasdaq level-2 data (which I believe is 20 deep), I often see a mess of depth that deosn't look terribly useful to me. I feel that a good algo would need to look for multiple strong holds, possibly keeping track of the "deeper" concentrations until the price changes and you finally "dig" into them.
Anyways, I'm rambling. To me, the deeper the book, the less sense it makes. On Wed, Jun 24, 2009 at 10:32 AM, nonlinear5 <[email protected]>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. > > > > One immediate effect that I see today is that my system (which was > optimized on the 5-deep data) is not triggering any trades. The 10- > deep data seems to smooth out the fluctuations in the depth balance. > Today is the first day I've been testing the 10-deep data, so full > implications are to be analyzed. > > > --~--~---------~--~----~------------~-------~--~----~ 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 -~----------~----~----~----~------~----~------~--~---
