Here is an image suggesting that short term price movements are planned in advance, and there may be E.T. involvement in the markets? You decide !!! 
Just some R&D work on indicators, where DOM Analysis in EUR/USD suggests we can predict near term movements. I’ve always felt that moves were planned in advance, and that Quote patterns on the DOM should be where we can extract some clues on the micro scalping level. I just don’t accept that these small scalping movements are “random”.
I don’t know about planned in advanced but all the top scalpers I’ve seen trade with the DOM on the screen.
Funny how most retail platforms don’t have it.
I’m planning to spend time researching DOM analysis to create an automated system for stocks - seems logical as I refuse to analyse the fundamentals of over a 1000 companies before entering a trade. I also refuse to buy and hold stocks for more than a few hours.
Hi Modernmystery,
There are in fact two trading platforms offered to retail clients that have DOM trading. Both of the brokers are also ECN brokers. The two brokers that I have identified with DOM trading capabilities are MBT and IC Markets, I am not endorsing either of these brokers, I am merely naming them for information purposes as they both have DOM trading capabilities.
First of all, personally, I’ve never tried DOM analysis on stocks. And it is true that just “eyeballing” a DOM might give clues as to whether/when/where the market was going to move. But doing an analysis by computer seems to me the only practical way to somehow summarize the data in a form useful for traders, which is what the chart shows.
One thing I’ve learned through years of trying to do DOM analysis is that we are really looking for the largest “events”, which are associated with “market maker” activity (according to my theory). So what we see in the chart I posted is filtered so that smaller events are suppressed. Also, the system is able to detect the “more persistent” sizes, and that’s part of an anti-spoofing approach.
Also, the question is “just WHAT in the DOM activity” should you be looking for? Using MB Trading’s API and getting the live DOM data stream, I am looking for extreme INSIDE sizes to “push” the market away, and OPPOSITE size OUTSIDE (more distant, or further away from the inside market) to exert a “pull” prediction for market price. So there’s this Push/Pull which needs to be combined in a “composite force” and the balance (or imbalance) of these forces is what I use for short term prediction.
If anybody wants to implement something like this, I’m happy to work with them on possible algorithms they might use for useful DOM analysis. Many of you may be advanced programmers and wish to do something like this yourselves from your brokerage API data source, if available.
Thanks for pointing this out. It’s true that MB Trading has introduced a “linear DOM” style of order placement. In EUR/USD (which is the only thing I trade), it’s 5-digit pricing, so you don’t see very much. Fortunately, they have a ZOOM OUT feature. You’re seeing pricing in 0.00001 increments. Zooming OUT gives you 0.00002, then 0.00003, and continues to Zoom OUT until you have maybe 0.0001 increments. This allows you to see a wider range of pricing. That’s a good idea, since 5-digit pricing is so precise.
So there is this “single click” style of order placement, and it’s possible to do this pretty well with their Desktop Pro platform.
However, the major issue I have is that it’s so hard to determine visually, through just watching a Numeric representation of a DOM on a “ladder” just where the market is moving, or knowing what to watch for. Very fatiguing. So I enter all my orders through an API, and it does analysis as well, although that’s a huge amount of proprietary programming effort. Mainly that’s because my style is very close scalping, and I just can’t react fast enough manually.
MTB’s DOM is great however i have found IC Markets DOM more flexible especially given it is possible to connect to the DOM via FIX and use your own order execution software. This does however require two FIX compID’s.
Good info guys.
At this stage im not yet ready to dabble in stocks but I’m clear that in order to hash out an initial system I’ll be marrying some of my forex analysis technique with DOM snooping which I’m convince will yield dividends when tackling the stocks in the short term.
The edge will definitely be found in answering the question “what to look for in the DOM?”.
I’ll be researching using CQG DOMTrader running on futures exchanges not OTC
stock CFDs or anything quoted within a proprietary ECN.
CQG screen clip:
CQG info:
http://www.cqg.com/Electronic-Trading/Order-Entry-Interfaces/DOMTrader.aspx
FYI, at MB Trading I use their proprietary API which hides the underlying FIX communications. However, they do require allocation of additional Login ID’s so that their Desktop can log in, AND my API can log in. They also offer raw FIX, but that’s a bit too daunting for me right now. I handle their API using C# in a heavily multi-threaded Analysis and Order Entry process. But they use underlying FIX communications, to their credit 
HyperScalper.
I’d say that nobody has addressed the issue of DOM analysis for the retail trader, which is why I’ve devoted years of R&D into the topic. If I can help you with some concepts or approaches, let me know Once you know what to look for, then the coding effort can be a lot more efficient. HyperScalper.
FIX is pretty easy to work out, I have integrated FIX connections from CITI, IC Markets and Integral into MarketCetera which is open source. You can download all the FIX user guides online, they are pretty easy to find.
Well, with MB Trading’s API, there are no certification requirements for SDK/API usage. If I used FIX, I’d constantly be having to recertify my code, which is one of the main reasons I didn’t use raw FIX. Sounds like you are familiar with all of those various issues. In my case, I can focus more on the Analytic issues involved and a bit less on the technology of the connections, etc. The penalty I pay is that I don’t have anything which is portable 
HyperScalper.
OK, so you’ve got me thinking. If I wanted a realtime DOM feed from another brokerage, should I use MarketCetera as the means of getting the realtime feed? The odd thing about MB Trading’s DOM feed is that it doesn’t have the concept of DOM tier associated with it. All it gives me is MMID (anonymized), price, quotedSize (if zero, quoted size is removed). I have to track all MMID’s and aggregate those which happen to be at the same price to get aggregate size. How would a DOM feed for EUR/USD typically appear through MarketCetera?? In a nutshell, not a dissertation Or refer me to some external documentation. Thanks !