Hey guys I've been trading futures for 2 years now and I just subscribed to level 2 market data just to experiment. My question for those who trade NQ or MNQ is , how can u read all the orders so fast, is it useful? do u see just some orders? It is so fast that I cannot see clearly the functionality. But please tell me if you have experience with it .

yotinky 

Hey guys I've been trading futures for 2 years now and I just subscribed to level 2 market data just to experiment. My question for those who trade NQ or MNQ is , how can u read all the orders so fast, is it useful? do u see just some orders? It is so fast that I cannot see clearly the functionality. But please tell me if you have experience with it .

Simple - "you" can't

I'm sure there are a few DOM traders out there that may say otherwise, but processing tick-level data at those rates presumes you've written code to process it all in real-time and make decisions based on pattern recognition (be it TA-based, order flow/book-based or a combination of both). Sprinkle some machine learning in there to help optimize and proper money management and you end up with a tradable system.

My .02

Reading orders from the order book is not that useful.
You can run a market footprint or a market profile indicator to show deltas between bids and asks, that will be a lot more readable.

Guys, check out Bookmap. It's essentially a visual DOM. Some refer to it as "Level 3" data.

Not affiliated with them. Software and data isn't free.

To be honest, you shouldn't be able to without building some derived signal over it.

Just picking a random minute (2023-07-31T13:00Z+00) for NQ lead month, there are nearly 10k book updates, or 166 updates per second. The refresh rate of a typical monitor is 60 Hz, so at times even your monitor can't refresh as fast as it's updating, much less your own human discretion. This is just the average rate—during important moments, the traffic spikes even more.

 

Code

ts_event rtype publisher_id instrument_id action ... order_id flags ts_in_delta sequence symbol ts_recv ... 2023-07-31 13:00:00.000521418+00:00 2023-07-31 13:00:00.000024365+00:00 160 1 2130 C ... 6845306502122 130 13940 7398365 NQ.n.0 2023-07-31 13:00:00.000827400+00:00 2023-07-31 13:00:00.000100267+00:00 160 1 2130 C ... 6845306509537 130 14042 7398398 NQ.n.0 2023-07-31 13:00:00.000891234+00:00 2023-07-31 13:00:00.000121181+00:00 160 1 2130 C ... 6845306501874 130 14719 7398404 NQ.n.0 2023-07-31 13:00:00.001205300+00:00 2023-07-31 13:00:00.000197271+00:00 160 1 2130 C ... 6845306502431 130 14526 7398434 NQ.n.0 2023-07-31 13:00:00.001228104+00:00 2023-07-31 13:00:00.000203197+00:00 160 1 2130 C ... 6845306508954 130 14152 7398435 NQ.n.0 ... ... ... ... ... ... ... ... ... ... ... ... 2023-07-31 13:01:59.944566006+00:00 2023-07-31 13:01:59.944468501+00:00 160 1 2130 C ... 6845306517514 130 16305 7431597 NQ.n.0 2023-07-31 13:01:59.955101630+00:00 2023-07-31 13:01:59.955015643+00:00 160 1 2130 C ... 6845306531705 130 14917 7431601 NQ.n.0 2023-07-31 13:01:59.955210304+00:00 2023-07-31 13:01:59.955112333+00:00 160 1 2130 C ... 6845306531748 130 17529 7431603 NQ.n.0 2023-07-31 13:01:59.956776386+00:00 2023-07-31 13:01:59.956670919+00:00 160 1 2130 A ... 6845306531800 130 17204 7431604 NQ.n.0 2023-07-31 13:01:59.969066201+00:00 2023-07-31 13:01:59.968958369+00:00 160 1 2130 C ... 6845306531771 130 18394 7431607 NQ.n.0 [9481 rows x 14 columns]

Moreover a lot of feeds or UIs conflate the events, in a way that obscures important features like trade sign autocorrelation, uptick/downtick, etc.

NQ is a special avatar.
It reminds me of the wild days before 2000 on the ES.
It moves FAST to say the least.

I've attached a chart of today's ending on NQ.
Notice the BLUE bars at the bottom of the chart.
Some of them seem to be missing.
They are not missing, they are completed in the same time section so NT can't measure them.
On the Data Box the vertical line highlights one bar that had 48 volume but ZERO bar speed.
If you can stand the rhythm it is a nice ride.

This is typical of NQ.
It is as wild as my first girl friend and much hotter.