DOM - Depth of Market

[spydoo]

...and they say there's no such thing as a DOM question?

So, here's a picture of my DOM on Commsec IRESS (showing a nice little profit on PRR):

Would someone please explain to me what happens when all the orders at 6.4 are then filled? I would appreciate any other insights about how the DOM works that you could give me, too.

Thanks heaps.

 

[Valued]

Re: DOM

...and they say there's no such thing as a DOM question?

So, here's a picture of my DOM on Commsec IRESS (showing a nice little profit on PRR):

Would someone please explain to me what happens when all the orders at 6.4 are then filled? I would appreciate any other insights about how the DOM works that you could give me, too.

Thanks heaps.

Well if all the orders at 6.4 are filled and no more orders come in at 6.4 and no one is going to pay over 6.3 for the time being, sellers will start selling at 6.4 and if the ask is 6.3 and the bid 6.4 and the bid/ask volume is equal the price will go down to 6.35. However, if all orders at 6.4 are filled instantly and the spread is 6.3 bid to 6.5 ask the price should be 6.4 but there might be some nuances for example if the 6.3 has 100,000 volume and 6.5 has 1000 volume the price might be higher than 6.4 like 6.45 or something like that. I don't really understand exactly how the price is calculated in that respect since it's negligible for the way I trade.

The reason the price is at 6.5 now is because the 6.4 volume is higher than the 6.5 volume. If they were to cancel each other out, you would have around 35k depth on 6.4 and 832k on 6.5. I believe that's how it works but it would only be a concern for a day trader chasing small edges. The depth can be misleading too. It can tell you areas of immediate support and resistance intraday but it can't predict people buying or selling on market. If you were bullish on this stock you might not want to join everyone else at 6.4 and risk only being partially filled etc, especially if it's moving fast. You might just buy at 6.5. So when spreads are so tight. Further you may find big orders in the depth just disappear when you get close to them... especially if they were made before market open.

Unless you are day trading for small edges, the DOM can be misleading. It's best to make decisions based on the charts than the DOM if you are going to be holding positions overnight. For example, the ask depth for FMG is far higher than the bid depth, yet the price has kept going up. For day trading though you might feel safe if for example the 6.1 has 466k depth and the 6.0 has around 400k. The reason is if your stop is 6.0 you have time to sell and get that price. If your stop is 6.1 but the depth there was just 20k and the depth on the 6.0 was say 50k, you don't have as much buffer. You can't wait and see for a minute or two at 6.1 for a turn around, you have to fire your sell order at market to sell at 6.0 since the depth isn't supporting the price of your stop loss.

The above is essentially what I have figured out myself so I don't know if it's 100% correct. I have read no books on day trading since I only do it if I see an very high probability opportunity for significant profit. I don't day trade chasing small edges. If I wanted to sit at a computer all day for small edges I would play poker.

 

[spydoo]

Re: DOM

Well if all the orders at 6.4 are filled ................

Thanks for the analysis.

I'm just learning this so if anyone has more on this it will be appreciated. For example, can you gauge whether the price is more likely to go up or down from just this? Why?

If you wanted to sell, what would you tend to ask? How about if you wanted to buy?

I'm just trying to find advantages from the DOM because I know it's something many traders don't use and I want the edge.

Thanks again.

Disclosure: I hold stock in PRR. According the the ASIC notice I'm supposed to say that, apparently.

 

[Valued]

Re: DOM

Thanks for the analysis.

I'm just learning this so if anyone has more on this it will be appreciated. For example, can you gauge whether the price is more likely to go up or down from just this? Why?

If you wanted to sell, what would you tend to ask? How about if you wanted to buy?

I'm just trying to find advantages from the DOM because I know it's something many traders don't use and I want the edge.

Thanks again.

Disclosure: I hold stock in PRR. According the the ASIC notice I'm supposed to say that, apparently.

You won't be able to predict future market movements from the information located in the DOM alone. Day traders might be able to for very short spaces of time but the DOM can't tell you what's going to happen tomorrow.

 

[skc]

Re: DOM

I'm just trying to find advantages from the DOM because I know it's something many traders don't use and I want the edge.

That is not entirely true. Perhaps many retail/novice traders don't use the DOM.

Learning the DOM is definitely useful and will form part of your edge. But when a stock like PRR starts to move, I can guarantee you that all large and experienced traders are watching the DOM very intently.

 

[Valued]

Re: DOM

Yea, I would think most people look at the DOM for day trading at least. It's not that useful if you are momentum trading or swing trading. I look at the DOM when I am about to buy anyway because I may get a better price if I wait for a small dip. For shares directly you might only save a few bucks, but if you were trading with high leverage it can really add up.

By the way only look at the CommsecIRESS DOM. The normal DOM Commsec provides doesn't show Chi-X and does not update as fast. Showing Chi-X is important for highly traded stocks since Chi-X can add a surprising amount of depth as it's supported by Commsec who has the majority of the customer base in Australia. Very big orders through Commsec can be placed on Chi-X by large operators and they are hidden from view from most people using the normal DOM. If you're using a broker that doesn't display Chi-X, you can be missing out on some important information, especially on the big stocks.

For example, a stock I have been involved in on Friday listed volume on ASX at 22 million but volume on Chi-x is 6 million! That's pretty dam important! What if someone decided to say sell a few million shares using Chi-X to hide it... just saying. Commsec will automatically place their orders into Chi-X if it offers a better deal than the ASX. So there is a lot of cross-over for Commsec customers.

 

[burglar]

Re: DOM

...and they say there's no such thing as a DOM question?

So, here's a picture of my DOM on Commsec IRESS (showing a nice little profit on PRR):

Would someone please explain to me what happens when all the orders at 6.4 are then filled? I would appreciate any other insights about how the DOM works that you could give me, too.

Thanks heaps.

Firstly, the price shown in your DOM is in cents to one decimal place.
The price in my DOM is in dollars to 3 decimal places.

(to clarify: any mention of 6.35 is just plain wrong.)



What can you see when you are familiar with your company?

Simplistically, you see an auction in progress.
Last sale was at AUD$0.065, probably a buyer!
Should sellers arrive in sufficient numbers to fill all the orders at $0.064,
then there will be buyers at $0.063, a gap at $0.064 and sellers at $0.065

What happens next is up to you?

Remember that any of the orders can be cancelled, altered or filled at any moment.
Also, remember that there are orders which do not show on the DOM (inter-broker transfers)
These will show up on the course-of-sales as "crossings".

 

[burglar]

Re: DOM

Hey, nice chart, if you have some!




Disclosure: I do not hold!

 

[spydoo]

Re: DOM

This snapshot was taken on the weekend.

There's one number in green. What does that mean, please?

During trading some of the numbers are green and some are red. Can anyone tell me what that means, please? I've been through the tutorials but they don't teach us these things.

Can anyone explain what DS, TM, AUX, Status, CXA, SPC and MPrc mean? Sorry, I know it's a lot to ask but I'm keen to learn...

 

[skc]

Re: DOM

This snapshot was taken on the weekend.

There's one number in green. What does that mean, please?

During trading some of the numbers are green and some are red. Can anyone tell me what that means, please? I've been through the tutorials but they don't teach us these things.

Can anyone explain what DS, TM, AUX, Status, CXA, SPC and MPrc mean? Sorry, I know it's a lot to ask but I'm keen to learn...

The numbers go green when it is increased recently, and goes red if it reduced recently. So in your example, the total bid volume of 240000 at 6.8 was reduced recently. It could be that another bid at that price was pulled out, or the potential buyer reduced the number of shares he/she want to buy.

DS = Data Source
TM = Trade match (search ASX.com for what that means)
AUX = ASX?
CXA = Chi-X
SPC = Shares per contract (useless for trading equities, only meaningful for options etc)
Status = Trading status of security. P probably means pre-open, c probably means close
MPrc = match price (during open/close or coming out of announcement/trading halt)

 

[spydoo]

Re: DOM

Thanks SKC and everyone, this is very helpful.

Suppose I wanted to buy stock in PRR at the time of the first snapshot. Is there anything apart from the total number of bids to asks that hints to me whether I am better off buying now or waiting until sales are completed at the current level?

 

[burglar]

Re: DOM

Thanks SKC and everyone, this is very helpful.

Suppose I wanted to buy stock in PRR at the time of the first snapshot. Is there anything apart from the total number of bids to asks that hints to me whether I am better off buying now or waiting until sales are completed at the current level?

Well, that's a multi million dollar question!

That which you seek is "Technical Analysis".
You could start with Google or investopedia
or even here in the search facility.
Much has already been written.

 

[skc]

Re: DOM

Thanks SKC and everyone, this is very helpful.

Suppose I wanted to buy stock in PRR at the time of the first snapshot. Is there anything apart from the total number of bids to asks that hints to me whether I am better off buying now or waiting until sales are completed at the current level?

Read the course of sale. Watch whether the bid or ask volume are being refreshed, or pulled, or pulled then refreshed. It's about the flow of the DOM, rather than a static snapshot.

 

[Chris1zillion]

Re: DOM

You think thats a DOM question, I dont even know what DOM stands for!! and when i google it just comes up with the American Dominos Pizza stock info. I use commsec, ive never seen that screen before. Is that for short term trades and that?? Bit of a noob here.

 

[burglar]

Re: DOM

You think thats a DOM question, I dont even know what DOM stands for!! and when i google it just comes up with the American Dominos Pizza stock info. I use commsec, ive never seen that screen before. Is that for short term trades and that?? Bit of a noob here.

Depth of Market

 

[Joe Blow]

Re: DOM

You think thats a DOM question, I dont even know what DOM stands for!!

I have added some clarity to the thread title for those unfamiliar with the acronym.

 

[Boggo]

It don't think it has been mentioned yet but an "iceberg" can have an influence when trading meets significant sellers or buyers (sellers in the pic below at ^ symbol).

They usually seem to appear at round figures or at significant support and resistance levels.

 

[tradezy]

My question is specifically about Iceberg orders.

I believe that they have around for about 4 years.

My understanding is that they can create "invisible" support or resistance levels depending on which side of the order book they are sitting.

Does anybody know how frequently institutions are using them today?

Thanks all,

Tradezy

 

[skc]

My question is specifically about Iceberg orders.

I believe that they have around for about 4 years.

My understanding is that they can create "invisible" support or resistance levels depending on which side of the order book they are sitting.

Does anybody know how frequently institutions are using them today?

Thanks all,

Tradezy

By definition, icebergs are hidden orders. So nobody knows how frequently institutions are using them. They have been around far longer than 4 years.

 

[lesm]

By definition, icebergs are hidden orders. So nobody knows how frequently institutions are using them. They have been around far longer than 4 years.

Yes, icebergs have been around for much longer than 4 years.