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Direct MessagesDate/Time: Sat, 27 Apr 2024 00:29:25 +0000
Post From: Denali Data Feed to Offer Market by Order Support in December!
| [2020-12-04 14:29:25] |
| binaryduke - Posts: 360 |
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To post #4: ...minimum quantity is VERY contract-dependent. 10 will be too high a filter for some instruments and too low a filter for others. Your logic of minimum 2 is very smart. I think you need to allow users (and there will be work to educate non-informed users of the impact of poorly-selected settings) to set a filter from 2 upwards, otherwise the opportunity will not be realisable on some thinner contracts. Control panel to set filtering per symbol is an excellent idea. To post #5 and your example screenshot: ...the key here is seeing the progression/development of the order queue at each price level and seeing the large orders progress towards the front of the queue/get consumed/get partially consumed as the smaller orders are traded through. It is also important for DOM traders to see the queue on each side of the book, i.e. a bid column and an ask column, not just a combined bid/ask column. The question in post #5 is looking to clarify if this will be realisable as a result of the filtering is a very sound question. Sure, MBO enables us to understand the size and queue position of each order. An MBO DOM that allows the movement/progression of the large orders to be seen is (one of) the value(s) of implementing MBO support. Just throwing e.g. a '50' in a new column without it moving (until it disappears) is ok, but suboptimal. There are other very useful and powerful analytics one can perform programatically once one has access to the full queue data so I would hope that within ACSIL a data structure and associated functions are provided that allow us to programatically see the full queue at each price level, e.g. a vector of each order at price (similar conceptually to the VAP data structures) that exposes the orders' sizes, IDs and queue positions. Happy to engage in an offline detailed conversation around this stuff. Date Time Of Last Edit: 2020-12-04 14:51:46
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