Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
Trading on Market Depths and Tickers
Nathaniel Tsang
posted Dec 29, 2016
Using Data Feature Request

Couple of years ago I used to work for a small prop firm, intraday point and click, old fashioned trading, tight stops, limited funds and ridiculously small risk appetite. We were battling tanks with waterguns, but still managed to make a living. After a few months in the pit you figuratively tossed all your knowledge on finance in a giant bonfire cursing god for the years you wasted at university. Bullish news initiated sell offs and bearish news sent the securities to new highs, post 2009 fundamentals were warped.

To survive I traded on a strategy based on Market Depths and Ticker information, a followed the general rule:

  1. Price action was more truthful than fundamentals, follow the money not bloomberg.
  2. Asymmetry of information is a fact, there is always someone with better "insight", fundamental is not your game, stay out.
  3. Limit, Market or Iceberg, every orders has its reason, not everyone can afford to hit the market to get in or out, navigate through the whales and the sharks.

Ask
45XXXXXXX
44XXXX
43XXXXXXXXX
42XXXXXXX
41XX
40X
Bid
39XXXXXXXX
38XX
37X
36X
35XXXX
34XXXXXXXXX

For example, in the above scenario, if I hit a buy @market on 40, I would place a [email protected] 41, or if I saw the orders on 39 getting filled up fast, you would sell [email protected] and book at 35-34 @Limit, a low volume region between 38 and 36 would be covered really fast with sufficient momantum.

@Quantopian would data on market depth and ticker information be available in the future?

1 response
Dan Dunn
Dec 29, 2016

We don't have any plans at this time to bring in order book market data. It may be something we do someday, but it's not currently on any priority lists.

The challenge, as always, is limited resources. Order book data would be further focus on US equities. We're working to expand into other markets - US futures first, then probably equities in other countries. Our current assessment is that we can find more fundable capacity by adding those markets. At some point we may conclude that order book data is the next-best target, and that is when you'd see it move to the top of our list.

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

About Quantopian
Careers
Community
Events
Documentation
Academia
Lectures
Status
Facebook
Twitter
LinkedIn
YouTube
Terms of Use
Privacy Policy

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.