ACSIL function for getting a market depth level value

simple, yet pretty useful function for getting values from particular levels at the depth of market

this can serve as a building block for creating a study for timing entry based on the quoting limit side. something i plan to do..

the good thing about this study is that you don't need to use historical market depth data on the chart, which makes it faster.

the line under the chart shows the (historical) value of bid and ask at the first level for each timestamp (here set to one second).

nasdaq 100 futures filled with huge sell market orders

on friday there was a big selling subject on e-mini nasdaq 100 which is clearly visible from the attached chart. 

nasdaq was undervalued compared to other three us indexes, which is always a good constellation for building a bigger position into the short side. the selling subject used active market orders that were really big (up to 200 sell market size) in the frequency of a couple of tens of seconds.

that means it was not really a high-frequency short term algorithm, but rather a fond or a bank that holds a position for a longer period of time.

thus, both their risk and their reward tend to much further from what i use in my intraday trading and it is not always clever to track it

that is why i can without any problems take a long and go against the big selling subject because the rotation i speculate on, is - compared to their risk/reward - really small.

this was one trade with a clear timing entry base on exhaustion of (retail) sellers.

liquidity overturn on e-mini nasdaq futures

against late buyers in undervalued nasdaq 100 futures. here i have set up more advanced times and sales setting which i was testing for a couple of days or weeks.

sierra chart provides a good interface for times and sales and hopefully somewhere in the future i will provide a more in-depth description of what i observe on the tape

exit after seller´s eruption