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Direct MessagesDate/Time: Sat, 20 Apr 2024 14:31:47 +0000
[User Discussion] - MBO's Significance - Understanding Behavior
View Count: 591
| [2023-06-02 01:23:39] |
| Steve Leon - Posts: 290 |
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I am just trying to understand the significance of the MBO orders for the evening session on ES. Without any filtering there are many MBO orders present. The number of these orders at any given line does not equal the numberof orders displayed in the DOM. Also when they trade through a price on the DOM most of the orders are not traded and then the line of MBO orders goes blank and repopulates with another line of MBO's depending whether it oges bid or offer. Are these orders real ? If so why are they not getting filled ? Can you help explain what I am seeing If there are any references you can give me that would also be helpful. Thank you SPL |
| [2023-06-02 14:09:33] |
| John - SC Support - Posts: 30976 |
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Refer to the following: Market By Order Data: Adjusting Minimum Quantity to Display for Market by Order Data The significance of the above section is that the minimum order size you will see is 3. Therefore, there are a lot of orders of size 1 and 2 that are not displayed. It is these that are getting filled that you are not seeing. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2023-06-02 18:53:02] |
| Steve Leon - Posts: 290 |
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Follow up questions 1) Why are the MBO's that are seen not accounted for in the DOM/Market Depth resting order ? If you add up all the MBO's at times they are far greater than the Depth of Market (Bids or ask) 2) Why dont all the MBO orders get filled. Do they get suddenly pulled ? 3) Is there a way to somehow highlight/filter orders while still being able to see all the orders ? For example leave setting at 3 and then highlight (different color or font orders larger than 100) ? Thank you SPL |
| [2023-06-02 21:31:04] |
| gcUserStudies - Posts: 89 |
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3) Is there a way to somehow highlight/filter orders while still being able to see all the orders ? For example leave setting at 3 and then highlight (different color or font orders larger than 100) ? I have a free study that can do this. It's not 100% perfect, but may help: https://gcuserstudies.github.io/#download See attached image for example. 2) Why dont all the MBO orders get filled. Do they get suddenly pulled ? Most likely. Many orders are sitting there and can be viewed as 'intent'. However, it's like anyone else trading. You can put a limit order on the books and then pull it if you don't like what you see. When I wrote the MBO study and watched filtered orders it was easier to see orders being pulled right when price got to them, then hop back in place. The best example I can think of is during rollovers. There are several orders of specific lot sizes on the bid and ask that always stay so many points away from the current price. Example: Say ES is at 4000. At 4005 there is a 50 lot order. at 3995 there is a 50 lot order. Price goes to 4001, now the 50 lot orders moves up a point to 4006 and 3996. Price goes down to 3999, the 50 lot orders move down also. Price never filled them as they always moved along with it. Anyway, I gave up trying to wonder about what is going on other than algos and such just doing whatever they need to do. I don't use the MBO data anymore personally. I just watched it for a while as it was interesting to see and write a study for. I imagine people put on there what they want people to see, which then makes you wonder about the intent of that also :) |
 MBO Filter.png / V - Attached On 2023-06-02 21:20:48 UTC - Size: 122.09 KB - 132 views |
| [2023-06-02 21:33:36] |
| John - SC Support - Posts: 30976 |
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1. They should add up. You would really need to either disconnect from the data feed before you add up the numbers, or move relatively far away from the current price in order to not have a lot of activity constantly changing the numbers. 2. See answer above 3. See answer above (we do not have a built-in tool). For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
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