Really Rey if you'd get on board with these things a bit quicker and not invest in such duffers as RTD, KMR, PANR and SOLA there'd be some hope....
Anyhow, in the original "spirit" of the thread I have been doing some "Algorithm-ing", - coding an automatic L2 watcher (in VB.NET if anyone is into such things) - the basics of which I have finally got working today! (e.g. it sat and watched LEAD all day and popped up a little alert to tell me how and where L2 had changed at each MM movement)
Principal things I want to look at are....
1) movements in MM bid/offers, even those away from the current highest bid / lowest offer (i.e. the quoted spread) - to see when the "centre of gravity" of a position is changing even when the mid-price isn't (yet)
2) switches in the "no on the bid vs. no on the offer"
3) narrowing/widening spreads
....and to backtest any strategies for trading based on the above alerts, e.g. number of successive MM upwards/downwards movements vs. likelihood of the run continuing. I also want to come up with a visual representation of what's going on in these three categories.
Dunno if it will give me an edge but it will be an interesting experiment nontheless.
This will largely be of relevance to small caps as L2 shifts too quickly on the larger caps for it to be relevant - and I'll stick to my own peculiar brand of TA there. I've got plans for another bit of software to do that - but its fairly distinct (it will look at historical data and try and establish trend lines), so I'll concentrate on this one for now.
Guess some of you may use trading software and have other things to watch here, any suggestions?
