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Market with order books available?

  • #1
  • First Post: Oct 10, 2012 2:09pm Oct 10, 2012 2:09pm
Hello everyone, I don't know if this is a somewhat naive question, but are there any markets out there for which there are "major" order books available? I would like to compare an order book with what happens on a chart. Is there any reliable market/order book presentation (via an ECN or something like that) for us retail traders?

Thanks for your help
Hans
Thanks J16, Sam Seiden, Udine and Jacko
  • #2
  • Oct 11, 2012 1:05am Oct 11, 2012 1:05am
Quoting HanSolo
Hello everyone, I don't know if this is a somewhat naive question, but are there any markets out there for which there are "major" order books available? I would like to compare an order book with what happens on a chart. Is there any reliable market/order book presentation (via an ECN or something like that) for us retail traders?

Thanks for your help
Hans
Hey HanSolo (love that username)
You talking about for forex right? Then no there is no order book. There's no central exchange where all the trades/ordersp go through.
Happy trading!
  • #3
  • Oct 11, 2012 1:28am Oct 11, 2012 1:28am
Quoting Anewr
Hey HanSolo (love that username)
You talking about for forex right? Then no there is no order book. There's no central exchange where all the trades/ordersp go through.
Happy trading!
Hi Anewr, no, I'm talking about markets in general. I know that there are no order books for forex. But are there for other markets any order books that cover most of the trading that's going on there?
Thanks J16, Sam Seiden, Udine and Jacko
  • #4
  • Oct 11, 2012 1:53am Oct 11, 2012 1:53am
Quoting HanSolo
Hi Anewr, no, I'm talking about markets in general. I know that there are no order books for forex. But are there for other markets any order books that cover most of the trading that's going on there?
Yeah there should be. There is such a thing as Level 2 data which is included in some brokers but as far as I know you need to have a good amount of capital in order to have access to those books. I know too that IB has order books for certain stocks and other financial instruments. I have used IB on demo before and they provide you with a screen of certain stocks where it has the bid and ask price on a chart on either side of the current price of the same chart.
Hope this helps!
  • #5
  • Oct 11, 2012 8:36am Oct 11, 2012 8:36am
Quoting Anewr
Yeah there should be. There is such a thing as Level 2 data which is included in some brokers but as far as I know you need to have a good amount of capital in order to have access to those books. I know too that IB has order books for certain stocks and other financial instruments. I have used IB on demo before and they provide you with a screen of certain stocks where it has the bid and ask price on a chart on either side of the current price of the same chart.
Hope this helps!
Thanks Anwer, I fear the order books of these brokers wouldn't help. As they only represent a small part of the (their) market. Thanks anyway.
Thanks J16, Sam Seiden, Udine and Jacko
  • #6
  • Oct 11, 2012 3:33pm Oct 11, 2012 3:33pm
Hey Han solo , listen to some webinars from sam seiden, that might help.
  • #7
  • Oct 11, 2012 4:36pm Oct 11, 2012 4:36pm
Open a futures account, the order books (or technically the time and sales) are real for all futures instruments. It's the executions that matter, not what is in the orderbook. For the most part big orders are not placed in the orderbook, they are hidden through market orders and icebergs.

Any big order in the book is more often than not a spoof or the the last of a bigger order so will not usually stop the market.
  • #8
  • Oct 11, 2012 8:09pm Oct 11, 2012 8:09pm
Quoting cisco92111
Hey Han solo , listen to some webinars from sam seiden, that might help.

He has, lol!

I have heard the Level 2 really isn't something you want because the levels that are shown on there are levels the brokers want you to see. It would be better to actually work at a trading firm or an Exchange. Something I wish I could do for a while.
Play the players, not the cards.
  • #9
  • Oct 11, 2012 10:44pm Oct 11, 2012 10:44pm
this thread is so full of misinformation and misguided guessing that it deserves to be in the rookie section.

the op's question is silly imo. any centralized market will have an order book.... i.e. any market that isn't forex... i.e. virtually every other market that exists.

as for manipulated order books by brokers, i'll just have to remember that the next time i'm buying / selling some more shares. someone should really get on the phone to the asx and let them know. or not.

/thread.
Congratulations ScalaFX for coming out of the closet!
  • #10
  • Oct 12, 2012 1:10am Oct 12, 2012 1:10am
Quoting cisco92111
Hey Han solo , listen to some webinars from sam seiden, that might help.
Hi Cisco, thanks for the advice. I already did and read his articles. The view on supply and demand has greatly improved my trading. But still I feel there's something missing. As Seiden points out he won't tell us all the odds enhancer he knows and he teaches in this XLT. I'm digging into this topic, that's why I asked.

Quoting havaiana
Any big order in the book is more often than not a spoof or the the last of a bigger order so will not usually stop the market.
Yes, I should have guessed that. I wondered if there were any chart archives
with old charts and order books without any undisclosed orders. Are those kind of things made available to the public somewhere?

Quoting nubcake
this thread is so full of misinformation and misguided guessing that it deserves to be in the rookie section.

the op's question is silly imo. any centralized market will have an order book.... i.e. any market that isn't forex... i.e. virtually every other market that exists.

as for manipulated order books by brokers, i'll just have to remember that the next time i'm buying / selling some more shares. someone should really get on the phone to the asx and let them know. or not.

/thread.
Hi nubcake, yeah I know my question was rather silly. That is because of my lack of experience and knowledge in the markets. I just started reading Harris' Trading And Exchanges. It will hopefully clear some of the things up for me. So as long as this has not happened yet I'm totally dependent on your guy's wisdom. Maybe some of you can help me with that.

Yes, centralized markets have an order book. The question was, is there any market that grants us retail traders access to these books (and I should add: does not allow undiclosed orders).
Thanks J16, Sam Seiden, Udine and Jacko
  • #11
  • Oct 12, 2012 1:16am Oct 12, 2012 1:16am
Quoting HanSolo
Hi Cisco, thanks for the advice. I already did and read his articles. The view on supply and demand has greatly improved my trading. But still I feel there's something missing. As Seiden points out he won't tell us all the odds enhancer he knows and he teaches in this XLT. I'm digging into this topic, that's why I asked.


Yes, I should have guessed that. I wondered if there were any chart archives
with old charts and order books without any undisclosed orders. Are those kind of things made available to the public somewhere?


Hi nubcake, yeah...
if you really want to learn then step as far away from forex as you possibly can. learn about whichever well-known stock exchange gets your interest (being australian the asx is the only interest of mine) and get digging into their information, and google everything else. then come back to forex to compare and contrast. trying to learn about trading-related stuff and starting with forex is the absolute worst way to go as forex is ass-backwards with how it all operates, and is full of noobs with misinformation to spread.

that book will either send you to sleep or give you some better bearings and direction. i found it to be boring and put it away forever, but only because it probably isn't intended for someone like myself who got it years after already started the learning journey. your mileage will vary to mine.
Congratulations ScalaFX for coming out of the closet!
  • #12
  • Oct 12, 2012 1:44am Oct 12, 2012 1:44am
Quoting nubcake
if you really want to learn then step as far away from forex as you possibly can. learn about whichever well-known stock exchange gets your interest (being australian the asx is the only interest of mine) and get digging into their information, and google everything else. then come back to forex to compare and contrast. trying to learn about trading-related stuff and starting with forex is the absolute worst way to go as forex is ass-backwards with how it all operates, and is full of noobs with misinformation to spread.

that book will either...
That is a very good advice, nubcake. Thank you very much.
Thanks J16, Sam Seiden, Udine and Jacko
  • #13
  • Oct 15, 2012 1:36am Oct 15, 2012 1:36am
This is one thing I found via Larry Harris' Trading and Exchanges:
http://www.nyxdata.com/Data-Products/NYSE-Arca

Definitely too expensive for me. But maybe some of you guys want to look into it. It seems like the really show their full limit order books to members. Since "NYSE Arca is the second largest electronic communication network in terms of shares traded" (Wikipedia) it probably has some relevance.
Thanks J16, Sam Seiden, Udine and Jacko
  • #14
  • Oct 15, 2012 1:46am Oct 15, 2012 1:46am
Futures have a level 2 and a wide span of underlying markets covered. Currency futures are available too which follow the spot price movements pretty well.

Most futures brokers provide live data to demo. Amp Clearing / AMP Futures gives out free demos of most CME traded futures and uses CQG as the data feed provider (very good quality tick data stream.)

EDIT: pick a ninjatrader demo for good level 2 access off AMP's site if you go this route. There's a bit of a learning curve on the platform side to get used to.. but they'll guide you through.

Most stock brokers also provide a depth, but mostly they are delayed feeds for demos... thinkorswim provides a 20 minute delayed feed with depth of market for US stocks.

Hope that helps.
FXGears.com
  • #15
  • Oct 15, 2012 2:53am Oct 15, 2012 2:53am
Hello Jack,

thank you very much for your help. Do you know anything about the amount of undisclosed trades via those providers and the breadth of the market their order books cover?

Best regards,
Hans
Thanks J16, Sam Seiden, Udine and Jacko
  • #16
  • Oct 15, 2012 9:42pm Oct 15, 2012 9:42pm
Quoting HanSolo
Hello Jack,

thank you very much for your help. Do you know anything about the amount of undisclosed trades via those providers and the breadth of the market their order books cover?

Best regards,
Hans
Undisclosed? Like un-reported volume?

In US equities, the stock's transaction volume is reported by the exchange, even if the transaction happens outside the main exchange where it trades (like on an ECN or darkpool, they all have to report back to the exchange that the volume was transacted.)

Block trades are also reported, so are off quote trades.

In futures, the same kinda thing happens, the CME reports all volumes as they happen.

Some direct access brokers show a time and sales (futures and equities), so you can see the volume hitting the book and how the book reacts (either depleting or replenishing.)

The only thing that might catch you off guard is if your broker doesn't get a data feed from an alternative exchange (ECN, darkpool, etc... there are many.) So even though the volume is reported, you might not see the shares being traded reflected on the book, or where off the book they came.

Like, if your broker has NYSE access, but not EDGE or ARCA ECNS, you'll see NYSE's book but not the others... yet time and sales will report transactions from EDGE and ARCA since they were reported back to the NYSE for broadcast. If that makes sense.

And of couse, in equities, dark liquidity (dark pools) don't show a book at all, hence the name. They may or may not have shares... you don't know, but in the great game of poker that equities trading is, not showing your cards can be a good thing at times.

(sadly most discount brokers in the US don't offer viewing the book by market center, and often don't show a time and sales... heck, some don't even show a book, just the inside quote off their website.. these kinda features are more geared toward active traders, and can cost extra in most cases.)
FXGears.com
  • #17
  • Oct 15, 2012 10:04pm Oct 15, 2012 10:04pm
In stock market you can see all order book since its centralized market and you can really see how market works there.

Attached Image


Unlike in forex where we want to buy something we must take the offer price with stock trading we can wait on the bid to buy something, same with the opposite direction
  • #18
  • Oct 16, 2012 1:06am Oct 16, 2012 1:06am
Quoting Jack_Larkin
Undisclosed? Like un-reported volume?

In US equities, the stock's transaction volume is reported by the exchange, even if the transaction happens outside the main exchange where it trades (like on an ECN or darkpool, they all have to report back to the exchange that the volume was transacted.)

Block trades are also reported, so are off quote trades.

In futures, the same kinda thing happens, the CME reports all volumes as they happen.

Some direct access brokers show a time and sales (futures and equities), so you can see the volume hitting...
Thank you very much, guys. Jack, your post is very dense, I think I have to read it more than once. LOL. But it offers me great help. Thank you!
Thanks J16, Sam Seiden, Udine and Jacko
  • #19
  • May 19, 2014 9:44am May 19, 2014 9:44am
useless order books of lmax and boston prime

https://s3-eu-west-1.amazonaws.com/l...dget-vwap.html

http://www.mt4i.com/connect/connect.aspx
  • #20
  • Jun 8, 2018 12:45am Jun 8, 2018 12:45am
Seeing MT4 is the most popular trading platform for retail traders, this could get you all you like, across all MT4 Servers https://www.fxbluelabs.com/order-book-mt4

Quote

  1. Can display either open positions or pending orders (including the s/l and t/p on open positions)
  2. Can display cumulative or non-cumulative figures
  3. Can display volume, or the number of accounts or tickets at each price band
  4. All figures are calculated as percentages of the total (to hide the commercially sensitive information of your total volume and total number of active clients)
  5. Can include any instruments in MT4, combining different variants such as EURUSD+ and EURUSD-, and adjusting the volume for "mini" or "micro" instruments

...

Regardless of what the critics say, to be able to access this information places an unfair advantage against those who cannot access it.
My comments are not to be taken as trading advice, not a financial advisor
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