SmartQuant Discussion

Are there any references (books, ebooks, web sites, white papers, research papers) out there that describe trading strategies based upon how to programmatically interpret the Level II or Open Book data streams?

The last related reference(s) I read were here: http://citeseer.ist.psu.edu/engle98trades.html but I have not seen anything specifically targetting program trading on the book, yet - only research on the nature of the beast and how they setup their models (which is good info of itself).

Stargrazer have you found any others? More references would also be helpful for constructive comments towards building the next version of QD's Level II/Book also needed for OT completion. Specifically by allowing QD to provide the needed access methods to the book information from our strategies...

I found a few tidbits at Ensign Software: http://www.ensignsoftware.com/help/nasdaq.htm. I did do a visual order book based upon what I saw there. I found a different visual representation at http://www.cmastation.com/images/station_tela11.gif.

I found an interesting summary statistic in a paper called "The Informational Content of an Open Limit Order Book" by Cao, Hansch, and Wang.

I've found a number of other theoretical based papers but am wondering if anyone has found anything from a practical/practicing side.

A book called 'The Nasdaq Trader's Toolkit' by Rogan Labier seems to have some stuff in it in the first half. The second half is devoted to traditional technical analysis methods. The book is printed 2001 so may be a bit dated.

A couple of additional links with some basic interpretation:
http://www.hotstockmarket.com/forums/sh ... hp?t=35169
http://www.hotstockmarket.com/forums/sh ... hp?t=14938

For reference:

L2 Histogram "pressure" Indicator examples:
http://www.realtick.com/v2_getpage.asp? ... t83&ID=607
http://www.prophet.net/quotes/nqLevel2Viewer.jsp

Ideas for more Indicators based off L2, like the "The Ax" indicator:
http://www.investopedia.com/articles/tr ... Quotes.asp