CQG’s Pre-Trade Analytics
CQG’s upcoming release of 7.5 has a number of interesting features built upon the market transparency available from the exchange’s order book for electronically traded products. This collection of studies is dubbed Pre-Trade Analytics. The first study detailed here is called the DOMTracker. The study is only applicable to TradeFlow charts.
DOMTracker, as the name implies, tracks traders’ activity in the order book around the inside market. The measurement is the amount of increase or decrease in size of resting orders posted while the TradeFlow bar is built.
For example, using the E-mini S&P 500, if the inside market was 1527.50 bid and 1527.75 offered and 100 contracts was added to the 1527.25 bid (one tick below the best bid) and 200 contracts were added to the 1528.00, then the amount of resting bids would increase by 100 contracts and the amount of resting offers would increase by 200 contracts. Similarly, if 100 contracts were canceled at the 1528.50 offer, then the amount of resting offers would decline by 100. Theses changes are the basis of the DOMTracker study.
When a new TradeFlow bar starts, the DOMTracker study logs the amount of current resting orders. Then, tracked are new orders placed, resting orders canceled or moved to the inside market until the TradeFlow bar ends and a new TradeFlow bar starts building.
The DOMTracker study monitors these changes and plots two lines, one for the sum of offers and one for the sum of bids. The inside market is not included. The default version of the DOMTracker uses a weighted sum of the resting bids and offers.
The first example shows the DOMTracker applied to the TradeFlow chart of the E-mini S&P 500. The red line is the weighted sum of the offers and the green line is the weighted sum of the bids. In this case, as the market was advancing, the weighted sum of the resting offers started climbing while the weighted sum of the resting bids stayed relatively flat.
The next chart shows the DOMTracker study applied to a 3-tick range aggregation of the TradeFlow chart. Again, this example shows a tendency for the offers to be increasing as the market rises and for the bids to be increasing as the market moves lower.
The last example shows the DOMTracker study and the smoothed TradeFlow bars. As the market climbed in the center of the chart, the volume of orders on the ask side of the order book climbed.
The DOMTracker study is one of a series of solutions CQG offers traders that uses the transparency available from the electronically traded markets. TradeFlow charts show who the aggressor is at the inside market. Order Ticker is a running visual numeric display of traders actions at the inside market and the order book. The DOMTracker study plots traders activity in the order book beyond the inside market.