Hello Joe,
We're presently contemplating a prioritization adjustment for this item, and your input would be invaluable. We're particularly keen on understanding your thoughts about how this filter should function.
If you're available and willing to assist us with this, let's set up a time to discuss further. Please use the following link to schedule a call with me at a time that suits you best: https://calendly.com/vadim-0eq/introduction-call
Looking forward to your insights!
Best, Vadim
CME futures - show volume of canceled orders per price level
Re: CME futures - show volume of canceled orders per price level
Hey, your link didn't work. Could you PM me?
Let me give a little further into. I'm a very short term futures trader. I trade on 5 and 30 sec charts, very short hold times. A lot of times algos are trying to push you around during these time frames, especially now with low volumes. I believe you should see much higher cancelation rates during these times of "head fake"/ mean reversions at critical price levels. If the moves are real/ breakout is occurring, cancels should be much lower.
Ideally if you could see this on a "market profile" illustration I think that would be a good place to start.
Focusing on purely "Fill" data is misleading because you don't know if the algo is offlaying risk in another market (ES vs SPY for example).
Let me give a little further into. I'm a very short term futures trader. I trade on 5 and 30 sec charts, very short hold times. A lot of times algos are trying to push you around during these time frames, especially now with low volumes. I believe you should see much higher cancelation rates during these times of "head fake"/ mean reversions at critical price levels. If the moves are real/ breakout is occurring, cancels should be much lower.
Ideally if you could see this on a "market profile" illustration I think that would be a good place to start.
Focusing on purely "Fill" data is misleading because you don't know if the algo is offlaying risk in another market (ES vs SPY for example).