Well, I don’t use CTrader, but you may know MT5 is offering “market depth”. In both of
these cases, I suspect, those Market Depths are either 1) bogus, or 2) useless. They are
almost certainly NOT representing true liquidity… But setting that aside, let’s talk about the
"sparseness" of Market Depth. This is a challenge I’ve beaten with special analysis
techniques. Sparseness involves “missing” size at various prices, at various times.
Now, the usefulness of the Dukascopy feed is that it ALWAYS gives 10 Levels of Depth
on either side of the market. That doesn’t sound like much but, it is ALWAYS 10 levels.
What I’ve seen from MT5 “anemic” displays of depth (I haven’t looked at CTrader)
is that often you’ll see only a few sizes, due to the fundamental sparseness of
these things. So the 10 Levels from Dukas on both sides of the market, are MUCH
more useful then that would suggest initially. 10 levels above the market could
represent ONE PIP. Or, due to Sparseness, it would “span” several PIPs in total
Price “distance”.
Personally I’d love to get a useful Depth; but, for me, over the years, the Dukascopy
depth is the best “free” Depth feed on which I’ve build algorithms for Trend, as well
as Trade/Order Flow through Time and Sales virtualization…
We know Forex is a “decentralized” market, but what is also true is that they all
tend to “synch” together, which enhances the value of any specific ECN’s Depth
information, provided it has some quality to it… It’s an odd thing; how much information
can be gleaned from only 10 Levels, especially if they “spike outwards” to cover
several PIPs of actual price distance from the inside market… TMI, sure, but just
to get an idea of how I approach Depth, etc… which is THE most useful short
term trend indicator possible… Valuable if Forex traders can get a handle on it !!
[EDIT] to simplify the basic Rule, it is that “Price moves to Size” or, rather, Market
Makers or Liquidity Providers move size against the Inside Market when they
wish to “transact” with the Retail population more strongly; and they simply
"pull" the inside Bid or Offer and “magically” the Price bumps right into their
advertized size, and the transaction takes place…
hyperscalper