Sum of Bids and Asks on Level 2 Tick Stream

@tikidave, Hi Dave, I hope you’re doing well. Is there an indicator or a quick solution to sum up the volumes on the bid and the ask on the Level 2?

Not that I know if. But the Deta Box, if you select Delta Histogram will show you real time Total volume for each minute and net Delta. It is great. I put it on the lower right corner of my 1 minute chart and it is really good. Try it. I do not know if this image will show up, but hopefully it will, see below


Thank you @Fred_Naef . What you suggested shows the Delta per bar and the Cumulative Delta on EXECUTED orders. What I’m looking for is the Sum of the Bids and Sum of Asks on PENDING orders that you only can get if you have Level 2. It can show the imbalance of the pending orders. This options apparently exist in Jigsaw.

You can get it on Bookmap but I warn you that so much spoofing goes on I consider it to have limited utility: it’s like shooters faking you and then passing or driving past you on the basketball court. I looked at Bookmap for months on TOS, ThinkorSwim has a free version if you have an account for the /ES… in my humble opinion, it’s useless and only for High Frequency trading I am talking 100’s of contracts per day. Best to U!

1 Like

Thank you very much! I dropped Bookmap because all it does is to provide Level 2 and history of the DOM but no real Edge, and as you mentioned spoofing is so “common” today that the support/resistance you see disappears all the sudden.

I see on your other post that you use ADX. Do you use for confirmation or for entry?

Both, I use DMI plus and Minus with Oscillator. the ADX is lagging . The mathematics are very good. Wilder was ingenius in his understanding of fractal energy without even knowing about it{ Benoit Mendelsohn’s work is superb. Look at Polarized Fractal Energy as well. There is no such thing as a predictiive mathematical model . there are several coincidental ones that I focus on. Mr. Jim Simons really understood that any mathematical algorthym essentially is recursive but in the short term self cancelling. The DMI plus and Dmi mathematics are precise and excellent

The Formulas for the Directional Movement Index (DMI) Are

+DI=(Smoothed +DMATR )×100-DI=(Smoothed -DMATR )×100DX=(∣+DI−-DI∣∣+DI±DI∣)×100where:+DM (Directional Movement)=Current High−PHPH=Previous high-DM=Previous Low−Current LowSmoothed +/-DM=∑t=114DM−(∑t=114DM14)+CDMCDM=Current DMATR=Average True Range​+DI=(ATR

Smoothed +DM​)×100-DI=(ATR Smoothed -DM​)×100DX=(∣+DI±DI∣∣+DI−-DI∣​)×100where:+DM (Directional Movement)=Current High−PHPH=Previous high-DM=Previous Low−Current LowSmoothed +/-DM=∑t=114​DM−(14

∑t=114​DM​)+CDMCDM=Current DMATR=Average True Range​

Calculating the Directional Movement Index

  1. Calculate +DM, -DM, and the true range (TR) for each period. Typically 14 periods are used.
  2. +DM is the current high - previous high.
  3. -DM is the previous low - current low.
  4. Use +DM when the current high - previous high is greater than the previous low - current low. Use -DM when the previous low - current low is greater than the current high - previous high.
  5. The TR is the greater of the current high - current low, the current high - previous close, or the current low - previous close.
  6. Smooth the 14-period averages of +DM, -DM, and the TR. Below is the formula for TR. Insert the -DM and +DM values to calculate the smoothed averages of those as well.
  7. First 14TR = Sum of first 14 TR readings.
  8. Next 14TR value = First 14TR - (Prior 14TR/14) + Current TR
  9. Next, divide the smoothed +DM value by the smoothed average true range (ATR) value to get +DI. Multiply by 100.
  10. Divide the smoothed -DM value by the smoothed TR value to get -DI. Multiply by 100.
  11. The optional directional index (DX) is +DI minus -DI, divided by the sum of +DI and -DI (all absolute values). Multiply by 100.
    Best to U!
1 Like

Thank you for sharing the maths behind. I also find DIp vd DIm reliable, but lagging. I dropped all indicators and I’m focussing on Supply/Demand on one side and current price VS 1h Opening Range Asian session VS 1h Opening Range European session VS US previous daily OHLC and Monthly POC and Weekly POC. A lot of lines on the chart, but you can see all these levels act like magnet, like if (not sure if it’ true) big orders are sitting there for weeks. I’m also anti-conspiracy theories of Retail traders’ stop hunting. In the absence of major news (FOMC, CPI, war, etc.), Big hands are chasing liquidity in large volumes and by no means the retail traders can supply enough volume for Big players to execute their orders. What do you think?

I have not directly observed these levels, nor am I familiar with any magnetism energy effectively influencing the auction process; Good luck with your edge
Best wishes,

1 Like