I am looking to differentiate retail/algo trades vs. darkpool trades. I'm currently only looking at the ES, but hoped to apply the logic to other instruments. I've tracked all the trades coming thru on the onTrade() call, and thus far, I have not seen any trades where the isOTC flag is set to true. I thought that this may be where the darkpool trades were being flagged.
Can you tell me a) why isOTC is always false, and b) if there is a different way, if possible to detect darkpool trades using Bookmap with Rithmic data feed?
Thanks
DarkPool / isOTC
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Andry API support
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Re: DarkPool / isOTC
Currently isOtc may be always false for external modules. I have added a feature request. Encourage other traders to leave their feedback in the request topic. Currently, it is the only way to increase the feature request priority.
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rickbarlow
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Re: DarkPool / isOTC
Thanks Andrey.
However, whether this is important or not depends on whether its meaning represents something of value, and I cannot confirm that without more information. Would the isOTC flag represent a trade coming from the darkpool, such that you can differentiate darkpool trades vs. other algo/retail trades? That information would be helpful to know the priority of such a feature request.
However, whether this is important or not depends on whether its meaning represents something of value, and I cannot confirm that without more information. Would the isOTC flag represent a trade coming from the darkpool, such that you can differentiate darkpool trades vs. other algo/retail trades? That information would be helpful to know the priority of such a feature request.
Re: DarkPool / isOTC
@rickbarlow, The isOtc field was added in the earliest Bookmap, but as far as I know none of the data sources provided information on OTC or dark pool trades.
It would certainly be useful to get dark pools trades, though it's essential them to be easily distinguishable from regular trades for at least two reasons: they are reported with a delay; and they do not have the aggressor side. We do have a suitable design to visualize such trades, but not the data.
Correction: it seems that dxFeed does provide dark pool trades. But it's not connected right now. We will evaluate it and understand how to identify the actual execution time range before connecting it. It's added to the features request
It would certainly be useful to get dark pools trades, though it's essential them to be easily distinguishable from regular trades for at least two reasons: they are reported with a delay; and they do not have the aggressor side. We do have a suitable design to visualize such trades, but not the data.
Correction: it seems that dxFeed does provide dark pool trades. But it's not connected right now. We will evaluate it and understand how to identify the actual execution time range before connecting it. It's added to the features request