measure cancelations and renewing orders on order book

New comment
 
Hello everybody,

Is there any way to measure cancellations and renewals in the order book (market depth)?

I say trades cannot be computed, so I want to measure how players are working passive orders, canceling or renewing orders at a certain price level.

does anyone have an idea how to do this?
 
Sounds like order flow analysis.
 
As far as I am aware, order flow is done on markets without order book, and tries to read the order book from price behaviour.

What has been asked, sounds more like order book manipulation Analysis. This is only possible onmarkets with order book data.

In fact that's quite simple, as you only need to monitor the volumes on their price levels and see if they change / reduce, without the price touching them.

Order flow on the other hand is a bit more complex, despite the fact that it is derived from price action. You need to understand how market creates price movement, and this is already a debatable aspect.

But one way of looking at it is, let's assume you have 4 participating parties at the market. Sellers asking, sellers bidding, buyers asking, buyers bidding. You might say, a selling bidder and an asking buyer is the same, but they are not. Ones open price is the others SL or TP, as far as this goes, one has a fixed order with a fixed price, the other does not have the same urge.

This creates the tension which makes the market form the price.

So, as you can see, the price will give you hints on what's happening behind the scenes.

Now you have levels of price where markets move away from with momentum, these levels can be inflow of orders, on the other side, when markets move quickly to a certain level and stale there, you begin to have an outflow of orders.

Both of which produce so called order blocks, and they give you a hint on what party is having the deals.

From there you can determine with some certainty where orders are placed.

Well, it's a big topic, and I can only scratch the surface. I suggest doing some research on the concepts behind this.


 

`There is no debate over what makes price move.


-Limit (resting) orders supply liquidity.

-Market orders consume liquidity.


Example:

-There is a sell limit order asking 10 with a volume of 5 lots.

-There is a sell limit order asking 11 with a volume of 3 lots.

-There is a sell limit order asking 12 with a volume of 4 lots.

 

So, the current ask is 10. A market buy order comes in wanting to buy 8 lots. The market order get filed with 5 lots at 10 and 3 lots at 11 (slippage). The ask now moved to 12.


The orderflow you are talking about is from some youtuber who miss-uses terms. There is no such thing as an outflow of orders. For a transaction to be made there has to be a buyer and a seller so buyers and sellers are always equal. Orderflow means literally just the flow of orders. This can be made representable in various ways like:

 

https://en.wikipedia.org/wiki/Order_flow_trading

 
Carlos Alberto Rodrigues De Oliveira Santana:
Hello everybody,

Is there any way to measure cancellations and renewals in the order book (market depth)?

I say trades cannot be computed, so I want to measure how players are working passive orders, canceling or renewing orders at a certain price level.

does anyone have an idea how to do this?

https://www.mql5.com/en/docs/marketinformation/marketbookadd

Subscribe, measure.

There is no way to know a cancelation other than notice reduction in volume.

 
I think you portrait this a little bit too simple.

I will not lecture this here.

But in short, at least an overview shall be given, and in case understood, you don't need anything else to trade very successfully. And I am talking about RRs of 1:50 and (mostly) much more.

So, outflow of orders happens when big (institutional) orders begin to get filled. Usually these orders are split, because they have the power to move the markets. - No discussion on this. I have seen this with my own eyes within a professional working environment.

A sell order, btw, provides liquidity, a buy order grabs liquidity.

Retail traders usually provide both at the same time, one with the actual opening, and the other with their stop loss. - This already proofs, there is more to it than just orders at levels.

What really comes into play is the volume residing on either side of the market.

Same goes for the other side, just vice versa.

But there is a difference, as I pointed out already, one has the urge with a booked order, the other has not, and places his order on the timescale instead.

So you will at minimum have 4 parties on the table, but only if you look at retailers. Who really drives the markets are the supply pools of central banks, and they have a totally different urge on markets.

The central banks get traded by the CI (corporate institutions) and CIs have a different urge to participate in the markets.

Now, I personally would say, there is a lot of potential to discuss and debate. It will not influence us retail traders, as we are to small to move markets.

I personally would make the claim, news events are the only time where retailers get the shot at the markets.. CIs and CBs do not trade the news, and rather ignore such events.

Discussion on!
Except, of course they have an urge, like the US Fed and their attempt to drag money out of the markets. For sure, they will do it at a discount price.

Now, how do you make the market go down, when you are at CBs position?

Set a supply order at lower price to make price go down? Or set a demand order at lower price to make price go down?
Discussion off!

There is no sense in discussing this, as every individual has its own truth to believe in. Especially when it comes to markets.


New comment
Reason: