I've only ever used the top of the book in any of my analysis and am now looking to incorporate the full dom to try and get further insight into short term moves.
If I could posit a simple example of an NFP number that massively beats expectations.
One would expect ES futures to quickly react to that through ppl lifting the offers and those with offers in place from before the announcement to pull them.
Is there any literature out there that anyone can point me to how maybe:
- changes in overall ratio in volume between the bid/ask
- number of volume changes at each price
might allow one to infer a directional bias?
Submitted October 21, 2020 at 07:34AM by timesRtoughATM