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Looking deeper in todays FDAX activities, I found 6 occurrences today, each of them 10-20 secs long and in total they traded approx. 1500 contracts. Clearly the liquidity provider takes the gain - all 1 tick gains. It seems its more likely two parties are battling rather than having one algo doing this.
Of course a lot of follow up questions/ideas come to my mind and maybe one day i can decipher this.
Keep watching this "event"
Some questions please:
1- Is bookmap API V5 a plugin to other plateformes or it's a plateforme by it self ?
2- If Bookmap API V5 is an independant plateforme, so what about the rate of the commisson ?
3- I have a request about the Imbalance Indicators : the Order Book imbalance It's to small especially if i monitor 3,4,5 ... markets at the same time. So, is it any way the Order Book imbalance can be more clear and big ?
I have a feeling that by Bookmap API V5 you mean just Bookmap version 5.0. Please correct me if I'm wrong, and I will change my answer. The API is a feature of Bookmap that is in development starting from version 5.0. The API will be released in Q1 of 2017, and you will be able to create an indicator of your choice and display it as you prefer. Answers to your questions are below:
1. Bookmap is a standalone trading platform, but it's not a broker, so we don't charge trading commissions. Bookmap supports number of market data / orders routing services including Rithmic, CQG, Stage 5, and others. See the full list on Bookmap website in the CONNECTIVITY section. In order to get market data and trade with Bookmap you need to have an account (or a demo account) with a broker that supports any of the above. If you need help with this, please write us an email to [email protected]. You can mention this conversation in the email.
2. see #1
3. Starting from version 5.0 Bookmap adjusts the size of its components according to your Windows settings (size of text, icons, etc.). But I don't know which version you are using. Can you send us an email about it? We do plan to move the imbalance indicators into the indicators panel at the bottom of the chart where they will be bigger.
When more than one trades occur at exactly the same time (same pixel width of the monitor), Bookmap displays an aggregated trade where the price is calculated as VWAP of the constituting trades. The color of such aggregated trades also represent the proportion of Buy/Sell trades that were aggregated (see the volume dots configuration panel).
Note that you can still see the individual trades to compare them with Time&Sales. Just press the "move" button and zoom-in deep enough.
There is no functional difference between S5 Bookmap and Bookmap. The S5 Bookmap is a white label for Stage Five Trading brokerage.
However, now due to Bookmap's new API, it is now possible for anyone to write proprietary Trading Strategies and Indicators within Bookmap. S5 has developed their own features and offer it for their S5 Bookmap clients. It is a beta offering. The Bookmap API will be available to all shortly, in Q1 of 2017.
As a followup to this I have now gone through replays for more than a month of data using the latest 5 410 for FESX and FGBM and have yet to find a single iceberg other than on the close.
I have noticed no issues on other software with IQ data for these contracts ,so it would appear that either there is a bug or the methodology is incompatible with these contacts.
I appreciate that to have fewer but higher quality alerts is preferable but to have none at all is another matter.
It seems that the iceberg function has been vulnerable to new releases as there have been instances in the past where Eurex icebergs were lost but then reappeared after a fix.
If icebergs cannot occur for these 2 major contracts on Bookmap then an understanding of why would be helpful,T Notes are a similarly thick market for which icebergs are generated by Bookmap.
John, the latest version is beta. Have you looked at 4.5? I'm sorry to hijack your question, I don't work at veloxpro, I just use bookmap and this came to mind.