This is a very interesting discussion, I read the whole 2004 ET
thread, which ended with the below query:
ABogdan
Quote from Roxyman:
RE : By grouping different market participants by their reaction
time to any price change I have constructed the Market Sentiment
Spectrums. What are they? They are correlation functions of New sizes
on either Bid Side or the Ask Side of the book followed by the price
moves.
How is it possible to tell the difference between Liquidity
traders, day traders, long term investors, and Institutional
investors.
And if you can is one group more important than the other that
will give you an edge on the price movement.
When I observe the Level II, the times I get killed is when I see
the bids piling up and the ratio of bids to ask are way in the long
favor. I enter the trade long and the bids get pulled or there are a
ton of offers that are hidden.
Is there a secret to unlocking that mystery.
Any comments on the Market Sentiment Spectrum?
What about bids or asks getting pulled at the last second, does it
affect the entry and exit signals adversely?
Cheers,
Keith
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