Market Depth


Market Depth
The market depth data offer a list of the best bid and ask orders in streaming view and are instrumental for assessing the current state of stocks. This kind of information is also called Level II. It is especially important for day and intraday trading.
  • Most of the data and charts in Tradesignal offer Level I data, i.e. you receive price information based on the last trade (or ask price, if no trade has taken place).
  • In case of Level II data, however, you can see current bid and ask orders for a stock. This way, you have an immediate insight into the order books of the traders or ECN. The available details depend on the data provider.
The market depth data give you:
  • insight into current bid and ask prices.
  • insight into upcoming trades.
  • insight into the liquidity of the market.
  • the ability to see and judge current trends, accurate to the second.
  • the ability to learn about support and resistance price levels (lower and upper limit of price movements).
  • insights into the activity of individual market makers (if source given by the data provider).
In Tradesignal, three views are available for market depth analysis:
  • Level II displays the current status of the order books (available data depends on data provider).
  • Price Ladder gives a visual overview of the Level II data, as size bars for each offered bid/ask price as well as a bid/ask ratio curve.
  • Time and Sales displays the current prices, sizes and actual transactions in real time.

Opening the market depth views

  1. To open one or all of the available market depth views, click on the button "Market Depth" in the Insert tab of the toolbar.
  2. Choose a view in the pull down menu or choose "Full Market Depth view" for all.
In principle, you can display market depth data for all traded stocks. However, in the case of rarely traded stocks, the views may remain empty or may be updated infrequently.

Properties

  • Display Units: Here you can set up the way the prices should be displayed (default: 2 decimal places). When you choose fraction display, the new field 'Fraction Precision" appears. Here you can set the maximum number of decimal places to be used in case the fraction cannot be expressed by an integral numerator.
  • Layout: Here you can switch between the available market depth views.

Level II


Level II
In the Level II view you can see the bid (buying) and ask (selling) orders and their respective size for the chosen stock. The price levels are color-coded. Besides the price ladder (see below) there are three areas:
  • Overview: On the upper left, you can find a compressed overview of the bid and ask prices, the respective sizes and the spread between the prices.
  • Bid / Size: Here you can see the offered bid prices and their size. The best price (highest selling price) is shown on top.
  • Ask / Size: Here you can see the offered ask prices and their size. The best price (lowest selling price) is shown on top.
On top of the Level II window, you can find a line with the Level I data (open, high, total, et al.).

The first line of the two areas, with the highest bid and lowest ask, is called "inside market" and traditionally displayed in yellow. The market depth corresponds to the number of visible price levels (default: 10). You can change the default in the properties.

The details of the Level II data depend on the data provider.

Properties

  • Show Bid/Ask Size: When this is set to true, the offered sizes are displayed as numbers in the bars of the price ladder.
  • Bid/Ask Ordering: Allows you to toggle the order of bid and ask in the price ladder (has no effect on the ratio field below the price ladder).
  • Highlight Source: When this is set to true, orders by the same source in the bid/ask areas are highlighted when clicking on one of the orders (only available if source given).
  • Smoothing: Here you can enter how many successive ticks should be averaged in the bid/ask ratio to generate a smoother curve in the display.
  • Levels: Here you can set how many price levels should be displayed in the bid/ask areas.
  • Depth: Shows the data base used for each line in the overview (e.g. "2*4" for 2 summarized bids and 4 summarized asks).
  • Source: Displays the individual market maker or ECN in the first column of the bid/ask areas (available data depending on the data provider).
  • Time: If set to visible, the time column is displayed in the bid/ask areas (available data depending on the data provider).

Price Ladder


Price Ladder
The price ladder offers a visual overview of the Level II data. The price ladder is a regular part of the Level II view but can also be displayed individually. In the case of individual display, a line with the Level I data (open, high, total, et al.) is displayed on top.

The price ladder view consists of:
  • The price ladder itself. In it, the sizes of bid and ask orders are displayed as colored bars for each price. This way, you can easily see any existing imbalance between selling and buying orders and also estimate in which direction the price is likely to move. The display order of bid and ask can be set in the properties.
  • A curve display for the bid/ask ratio (below the price ladder). The upper red area corresponds to the bid orders, the lower green area to the ask orders. In case of bid overbalance, the curve moves into the red area and prices are likely to move up. In case of an ask overweight, the curve moves down into the green area and prices are likely to drop. A curve on the border between the areas shows a balanced market.
For the price ladder properties, see the section Level II.

Time and Sales


Time and Sales
Time and Sales shows a streaming display of price and size of orders and trades as a table. It allows you to see the up and down ticks of the stock price at a glance. Individual market makers or ECN are not available here.

The default color settings of the text are:
  • Price changes to best bid price ("To Bid") are shown in red.
  • Price changes to best ask price ("To Ask") are shown in green.
  • Last, i.e. real trades that correspond to Level I information, are shown in black.
  • If the price changes in comparison to the previous bid/ask price, its background color changes accordingly and an additional plus/minus sign is displayed.

    Properties

    • History Length: Here you can enter the maximum number of transactions to be stored in the table. Note: Upon changing this value, there might be a noticeable wait while the system updates the historical information.
    • Date: When this is set to visible, the current date is shown in an additional column.
    • Condition Codes: When this is set to visible, the conditions are written out in an additional column (e.g., "At Ask").