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Date/Time: Thu, 28 Nov 2024 05:31:49 +0000
Post From: MBO's Significance - Understanding Behavior
| [2023-06-02 21:31:04] |
| gcUserStudies - Posts: 106 |
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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 - 275 views |