Hi,
I have seen an interesting case where size is added and presumably pulled immediately BUT
ONLY the adding is reflected in the QuotesDelta column the removing seems to have not been picked up.
17 contracts traded on the bid 12395.5 , immediately 17 more were added on the bid 12395.5, these did not trade
EITHER could have happened
1. they were pulled, this is shown as -17 in the Quotes column BUT this is not reflected in the Quotes Delta Sum
2. Bid moved down a tick, without it being filled(I guess impossible), could be a small time lag with the display update). I did zoom in the max and scrolled slowly. Could it be that the QuotesDelta did not pick it up as the level in question is now between bid and ask, so less than level 0???
All times are in CEST. I have uploaded a screenshot of the DataRecorder output(as I am unable to upload a text file here)
WHY?
It is interesting OrderFlow, any way this can be highlighted with a marker for possible trade opportunities? In any case any thoughts appreciated.
Quote adding and pulling
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Quote adding and pulling
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- DataRecorderOutput.jpg (319.91 KiB) Viewed 4031 times
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- Pulled.jpg (300.71 KiB) Viewed 4042 times
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- TradednAdded.jpg (317.57 KiB) Viewed 4042 times