looking at Market depth on level II , is there any scanners available that calculate the ratio at the next 4-5 price levels below and above the bid /ask ? then calculate it to an indicator like buy/sell ? Schwab software shows a ratio level , but is allways bogus. IB shows on booktrader the total big and ask , but it is the total bid,ask . sure there is allways alot of BS and crap shown , as well as huge fake orders flashed way above the bid/ask . if you could filter out some of this and it should show some stock picks with alot of strong support or resistance levels . Has anyone seen it programmed into Tradestation or Trade ideas software ?
As high the high frequency data goes getting reliable data gets harder. The speed of trading is increased , the quantity of data increased. Currently it makes sense to get the data directly from your brokerage you actually trade - there is not a reliable national bid/ask source of information or quote information valid for all markets. Very few brokerages have an API in order to get this information. I doubt Level II makes sense anymore.
Recently I made a research and posted my findings FYI at this link: http://www.elitetrader.com/vb/showthread.php?s=&threadid=192164
Thanks for article link; interesting, to say the least. I have seen more than several limit ask offers well above the previous several months' trading range, coupled with several limit bids in 1-2 cent increments below the current price, on more than several stocks, so I can at least get a semblance of congruence from the article on how the HFTs might game a fake-out with more-easily manipulated stocks. First off, have you noticed any rough generalizations/rules-of-thumb on the exchange sectors where this activity is more prevalent? Would they even bother with a low-float micro-cap trading 150,000 avg daily shares at, say, $1.25? Perhaps they prefer to lure unsophisticated traders into certain pools of liquidity so they can have a "home-court" size advantage? Would they dabble more/less/same in OTCBB than in the NASDAQ or NYSE (AMEX excluded here given lack of Level II data). Second & lastly, what would the retail investor's strategy be, offensive and/or defensive, to counter these charades? A little guy with mediocre tools will never be as quick-draw as the HFT algos, that's granted, but if they're gaming their moves with mathematics, surely we can at least start to conceive of a way to reverse-engineer these algos and play accordingly.
Probably it is better if you post under the topic I started (the link above). Anyway, I believe more people know about this - the better. This would be interesting to know, but no, I don't wasted much time on a matter where I cannot have an influence. Several years ago I spend a lot of time trying to understand how markets work and at the end what seems to work and where I can have any reasonable way to make conclusions is to stick to the most liquid stocks which are not easy to manipulate. For example Dow Jones' 30 stocks give enough opportunities. We have a screener - you can drop me a PM if you want to know more. 1 minute interval observation is optimal if you are not located on the exchange. Otherwise the latency makes tick by tick useless - you cannot react fast enough and 100% automated algo is not we are made to believe it is. I would not waste a valuable time with LevelII and also the CPU resources can be spend better at other more valuable activities. 100% automated algo can work if you have the advantages of a big player, besides bid/ask games one other is to cancel the orders up to 1 sec - it is not recorded anywhere. That is what algos are doing actually - testing the market and cancelling orders at high speed until catch a big order, front run it, getting all available orders up to 1 sec and selling it to the big buyer. Basically pretty simple strategy but not everybody is allowed in club. There is always a place for innovation, I believe we are doing something interesting - drop me a PM if you are interested.
You can get level 2 quotes from NASDAQ and maybe directly from the exchanges but I doubt that individual trading platforms could re-sell that data in a raw form. Like mentioned before, if you could get it, you would need some serious database storage and processing power, even for just a few symbols.
the ratios mean nothing(reasons are very well described in posts above) from my own experience-if you need something unique,some advantage or edge (if you will)-you have to do it\create your self. and in this world it have to be much more complicated\sophisticated than few third grade level math calculations. nothing that freely available to general public ever worked for me. same for books about trading.
Hey Bill, care to drop a few names of book titles that worked better for you than the more common fare?
the ratios mean nothing(reasons are very well described in posts above) from my own experience-if you need something unique,some advantage or edge (if you will)-you have to do it\create your self. and in this world it have to be much more complicated\sophisticated than few third grade level math calculations. nothing that freely available to general public ever worked for me. same for books about trading. my sentiments also........you want good advice, price and volume. and alot of time behind the screen.