Inside Auction

General Inside Auction settings are also found in the main Auction Visualizer™ settings window. In particular, you can adjust appearance here, including the width of the displays.

Display


The inside auction is divided in two sections. The pair or columns on the left are accumulating volumes. The display can be toggled on or off. The volume shown here simply accumulates until reset.

The right side of the inside auction is divided in two halfs: a bid side on the left; and an offer side on the right. Each side has three columns: the bid or offer delta, the trades, and the sweeping. The innermost columns show the sweeping of the bid and offer side by side. Next to that are the trades: sellers on the bid side, and buyers on the offer side. The outer columns are the deltas.

The inside auction prints each trade as it arrives. Each trade also accumulates into the inside volume, showing how much it is taking to sweep the bid or offer. The bid and offer delta update with all depth changes on the current bid and offer. Therefore, the only two rows that update in the inside auction are the current bid and offer. If activity is rapid, highlights may linger on adjacent rows.

General Inside Auction Settings

The settings tab in the above window has general settings for the Inside Auction. Trade accumulation will be discussed below. There are display options for the filter underlining settings, and the delta imbalance markup settings. Please see the User Guide sections on the Filter and the Bars or Strategies for explanations of those features.

The column sizes adjust the space reserved for display. The numbers are given in digits: AD will reserve the given space for display; and if volume grows, the displayed number will be rounded to fit. You can adjust these larger for thicker markets to avoid rounding; and also smaller for thin or micro markets.

The range setting controls whether the inside auction rows will clear automatically if the auction ranges past a given setting. If you make a fixed setting here, then rows outside of the set range will be discarded. Otherwise all activity lingers until revisited.

How Trades Print

Auction Dashboard™ has two ways to show you the individual trades in the inside auction. By default, you do not see the size of the last trade to print. Instead there is a short accumulation: the accumulation lasts for the duration of the Event Linger Time in the Auction Visualizer™ settings. Therefore, as trades print, the highlight appears; and for as long as the highlight is lingering, if more trades print, then the displayed number accumulates. When the highlight dims off, the accumulation stops; and the next trade will reset the displayed trade volume.

If you change the setting in the Inside Auction settings, then instead, AD will in fact only show you the last trade. This allows you to attempt to see the size of each trade as it prints; however, in practice, it depends on your refresh rate, how fast your machine is able to actually refresh the display, and how fast you could catch the individual prints (it is not a direct replacement for a linear tape). The option is available for you to experiment with; and it depends on how you like to work.

As trades print, the inside volumes also accumulate.

Sweeping

The inside volumes will accumulate all trades until the given bid of offer is swept. The number displayed is the total volume to print into the last bid or offer there.

However, there is also in fact a short timeout in effect. If the bid or offer is swept, then a timeout begins for 5 seconds by default. If traders return to bid or offer the same price, then the accumulation will continue with the trading on this fresh bid or offer. Therefore, strictly speaking, the displayed volume may be the volume traded into more than one bid or offer on the price if the price continues to trade within the timeout window. You can adjust that timeout in the Inside Auction Delta Settings.

When a given bid or offer is swept, the inside auction displays a marker in the column where trades appear. There are three types of markers. For bids: a single down-arrow appears when the price is swept and the next-best bid has come in. A double down-arrow will appear when the bid is swept, and leaves s spread: the second-next-best bid has come in, or a bid even some distance lower. A single sideways arrow appears if the bid is swept, and immediately re-bid: the next-best bid was never in fact presented to the market, and instead some trader(s) bid this price again. Offers show the same signals with up-arrows.

The markers are very helpful in keeping up with the inside bid and offer.

Pulling

In fact, the above accumulation on the inside volumes may also end if the bid or offer isn't swept, and is instead pulled off. For example: if a bid is presented with 100 depth, and 60 trade there, then now the depth has become 40, and you will see the 60 accumulated into the inside volume. Now say the remaining 40 depth is pulled off, and the next-best bid comes in. The price is then marked as "Pulled" and the 60 accumulation will stop (respecting any timeout setting).

As with sweeping, the inside auction shows signals when bids and offers are pulled. You will see the arrow in parenthesis when pulled; and the double-arrow in parenthesis when the pull left a spread.

This bit of feedback can be extremely valuable to any trader watching the inside bid and offer. For example offers may pull back and force some aggressive buyers to take a worse price, while at the same time getting the offers in from the better price. We can't go into depth on tactics here, and that is not a rigid and guaranteed scenario when you see the pulling; but it is one type of activity; and is a real strategy on the inside bid and offer. With the signals here, you will have a much better picture of how the inside bid and offer are working against each other. (For traders new to the inside bid and offer, we should also note that in addition to this being an incomplete example, the strategy behind pulling can land "in favor" of sellers, or also seem to land the opposite. The tactics and strategies are dynamic and prolific: the order flow trader gets more feedback, and follows how the inside bid and offer are being auctioned.)

Deltas

As noted above, the deltas update only on the current bid and offer. The delta begins at zero when the given bid or offer is presented to the market. As traders add or pull away from that bid or offer, the delta accumulates changes. High positive deltas begin to easily show you where traders are building up pressure against the aggressive traders; and also where thin initial bids and offers are getting backed up by traders tailing in.

(Once again, nothing has a patent result: high deltas can simply "facilitate" trade from the aggressors. For example: if buyers put targets on the offer, aggressive buyers "trade places" with them.) High negative deltas can simply help signal pulling away. (For the trader looking for more tips here: pulling off may show symptoms described above under Pulling, but also: given the adding targets just mentioned, those buyers may regain confidence in their position and pull the targets away in anticipation of higher prices. There is no patent consequence for any given action.)

Specific behaviors of the deltas are configured in the Inside Auction Delta Settings.

The deltas are subject to the same activity timeout mentioned under Sweeping above. If the timeout does not expire, then the delta does not reset, and continues accumulating with the new bid or offer, according to the settings in the Inside Auction Delta Settings.

High Delta Alerts

The inside auction raises alerts next to the deltas when the delta grows large. The alert is simple; and behaves as just described: if it grows large, the alert will appear. You can control the threshold at which the alert appears in the Markup and Alert Strategy Settings window; on the Inside Auction tab (see below for more).

Acceptance

In fact, the accumulation on the delta can be configured. Instead of beginning accumulation with the first presented depth, the deltas can be configured to wait for "acceptance" on the price. Acceptance simply means some aggressor printed a trade into that bid or offer. The setting can be made in the Inside Auction Delta Settings. When deltas wait for acceptance, then any changes made to the depth after the initial presented depth are not accumulated into the delta. The accumulation will not begin until there is acceptance. In this mode it is possible for the delta to remain zero if no trades print there.

The choice is left to the trader. Certain markets may exhibit certain properties with respect to the initial depth, and in any case, delta accumulation based on the initial depth is then dependent on that depth. By waiting for acceptance the trader has other knowledge of the shares represented in the delta: they all tailed in after some trader did accept the price.

Aggressor Absorption™

Please see other pages in the User Guide for more thorough explanations of Aggressor Absorption™. The absorption does begin here with the inside bid and offer; and relates with the delta.

As defined, Aggressor Absorption™ is a measure of execution. Therefore when compared with the delta, it is possible for the delta to represent added shares that do not trade in. The delta simply accumulates until the price is swept, or, pulled off. Added shares may not get traded in. The Aggressor Absorption™ is always a measure of added contracts that did trade.

Delta PopUp Menu

In addition to the configurations made in the Inside Auction Delta Settings, the PopUp button below the inside auction has quick selections to show other powerful information in the deltas.


Auction Dashboard™ always tracks the deltas in five ways.

The "Configured Delta" is the one that you have configured in the Inside Auction Delta Settings. The "Strict Delta" is the delta that always accumulates beginning with the first presented depth. The "Accepted Delta" is the delta that always begins accumulation only after acceptance on the bid or offer. The choices are here to allow you to probe the activity in different ways at different times. Based on how the auction is working the inside bid and offer, other deltas can illuminate important information to allow you to gauge the auctioning better.

The "All Time Delta" is a delta that began accumulation with the first update on the bid or offer when your chart was opened. This delta never resets. The delta accumulates in the normal way: it may become positive or negative. The All Time Delta may be able to reveal powerful information about patterns, guarded prices, or other activity that may reflect on the traders in the market. Combined with the All Time High display on the Level-II, it can enhance an understanding of the price tiers in your market.

The "All Time Delta Since Last Reset" is like the All Time Delta: it continuously accumulates. But this delta will reset whenever you reset the inside auction; using the buttons at the top. This delta is designed to give you the ability to track continuous activity through ranges in your auction as you wish. Resetting the inside auction will reset the delta, and you can see the accumulation as it happened through your interested range from that point when you reset.

"Show Displayed Delta's Absorption Only" will display only the Aggressor Absorption™ that is present in the displayed delta.

"Show Absorption from the Cum Volumes" will show the Aggressor Absorption™ that is present on each corresponding price within the accumulated volumes on the inside auction. If you reset that accumulation, then the absorption there resets also. If you rewind the cum volumes, then the absorption rewinds back into them. Therefore, whatever is currently displayed in the cum volumes will be displayed here. Notice that this setting is like a duplicate of simply changing the displayed volume on the cum volumes to show you the absorption. However, this can afford you other combinations of views, with the absorption here, and some other volume on the cum volumes.

Automatic Resetting

As mentioned previously, the inside auction resets accumulation on the inside volumes and deltas when they are swept or pulled. In addition, by default there is a short activity timeout; and a reset will not happen if the traders revisit the price before the timeout expires. You can temporarily defeat the automatic resetting with the toggle button under the inside auction.


This feature allows you to dynamically follow accumulation better. When initiative activity begins, you can defeat the automatic resetting, and allow data to accumulate until some interesting condition comes about. You can wait for certain levels of volume to accumulate on prices for instance. You can defeat the accumulation through price ranges; and other things as well, The feature is useful to the trader on the inside bid and offer; and is easily toggled on and off. The button is highlighted when the resetting is in effect.

Notice that if you defeat all resetting in the Inside Auction Delta Settings, then the toggle will have no effect.

Inside Auction Delta Settings


Settings for your configured deltas and automatic resetting are found on the Inside Auction Deltas tab in the Auction Visualizer™ Settings window.

The Accumulation method can be chosen as described previously: accumulation can begin with the initial depth, oe wait for acceptance.

Selecting the Automatic Reset option enables the resetting — which again can be toggled off with the button on the chart. The first three options under Automatic Resetting control the behavior. If you select "After every sweep or pull" then the accumulation simply always resets when the bid or offer is swept or pulled. If you select the timeout option, then an activity timeout will be in effect: if the price is revisited before the timeout expires, then the reset will not happen.

The checkbox under the timeout further controls how the timeout kicks in. If this option is deselected, then the accumulation simply resets after no activity has occurred on the price for the timeout period. In other words, when activity stops, the timeout begins counting. If no further activity occurs, then the accumulation will reset. If activity occurs before the timeout expires, accumulation continues and the timeout resets. It will not kick in until activity stops for the set duration.

When the checkbox is selected, then the timeout will not begin to count unless the price is swept or pulled. If the auction lifts away from a bid or lowers away from an offer, then the timeout will not begin; and the accumulation will remain until the price is revisited. And, at that point the accumulation continues. With this setting, the accumulation is only reset after the price is swept or pulled, and the timeout has passed after that sweep or pull.

The Dim option is a display option: rows will dim when the next update will reset the accumulation there.

The last option relates to bids and offers that get left behind, and then revisited. For example: given the settings displayed in the image above, where the accumulation will only reset after a sweep or pull. Assume a bid has a current depth of 100, and an accumulated delta of +50. Now the auction lifts away from the bid, leaving behind that 100 depth and +50 delta. Some time later, the auction returns to bid this price. At this moment, some new bid depth is shown to the market. Assume that the new depth is 110. This selection determines whether the delta will change at this moment or not. If the option is selected, then what we have observed is another 10 added into that bid: we left behind a depth of 100; and now the depth is 110. Therefore, the delta would accumulate this 10 as added shares, and the displayed delta is immediately changed to +60. If the option is deselected, then the depth when returning to the given bid or offer is not considered; and the delta will continue accumulation with any next depth update. (Both options presume either the delta is set to accumulate with the initial depth, or else there has been acceptance on the price. The delta accumulation is still subject to the accumulation setting you have selected, and will only accumulate if those conditions are also met.)

By deselecting this option, you cause the delta to re-adjust to some types of market changes that could occur between the time the auction lifts away from the bid, and when it returns. If sentiment was high when the auction left, and has become low when returning, the delta will not reflect the evacuating bids. With the selection ticked, then the delta reflects all of the changes to the bid since it was first presented and/or first accepted.

Inside Auction Strategy Settings


In this window are settings controlling when the high delta alerts are raised. The settings for the Cum Volumes will be discussed below.

Again, the alert is basically simple: when the delta grows to a defined threshold, the alert appears. There are some settings here to tune how the threshold is tracked. The left side defines the volume threshold. You can choose a "base level", which is designed to create some measure of immunity between different instruments and different commensurate volume levels. If you choose on of these options, the "Scaler" is applied to arrive at the actual threshold level. You can also explicitly set the threshold. Click on the level display to show the effective level based on your settings.

The options on the right can be used to select which delta is measured. The threshold that you have set will need to be reached on the selected delta.

The option to "Continue Watching" is designed to avoid being "fooled" in situations where a large delta may accumulate but not quite trigger the threshold; and then if the auction quickly revisits the price, still more delta accumulates there. When selected, the accumulation will tally two passes on the delta to watch for the threshold. If the threshold is reached in two passes, then the alert will appear. Notice that when this option is selected, the displayed delta may appear to be under the threshold, yet still an alert appears. It is because the strategy is watching two passes: so the displayed delta is accumulated with the last reset delta to arrive at the threshold.

The last option also restricts when the alert appears. The strategy in fact watches not only the delta, but also the traded volume on the price. If the delta threshold is met according to your settings, then the alert will still only appear if the traded volume on the price has also reached the setting here. The setting is defined as a percent of the delta. For example, if the effective delta threshold is set to 100, and the Inside Volume threshold is set to 50%, then the traded volume on the price must also reach 50 before the alert will rise. Setting this value lower puts more weight on a high delta alone. Setting it higher disregards higher deltas if the traded volume remains low on the price.

Compared to Absorption Markers

Auction Dashboard™ shows Aggressor Absorption™ markers in several locations, including the Cum Volumes on the inside auction, but also in the bars. Those markers appear based on a similar setting that defines how much absorption must appear to generate a marker. Watching for levels of actual absorption is different than what the high delta alerts are showing. The absorption once again is a measure of executed volume. The deltas on the other hand may include unexecuted shares on the bid and offer. Therefore, the high delta alerts may be configured to appear sooner than an absorption marker would. Yet importantly, in addition, the high delta alert does not require that any portion of the displayed delta has in fact been traded in: if traders add into the bid or offer in number, then the alert may appear at that time, even if they never trade in.

The high delta alerts are designed to give you better feedback of those traders that are adding heavily into the current bid and offer. Use the rest of the feedback and information on the dashboard to continue to understand the inside auction. It affords you additional reaction time.

Accumulated Volumes

The left pair of columns on the inside auction are simply accumulating volumes: the volume (and absorption and other things) here simply accumulate until you reset them with the buttons on top. They are not subject to automatic resetting. (Though strictly also for completeness, if the inside auction range is limited, rows will be discarded here according to that setting in the same way as the inside columns.)

You can control the display with the PopUp button under the inside auction.


If you never reset this volume, then the accumulation will essentially match the session's volume profile. All of the printed volume simply accumulates here. However, you are free to reset these volumes, and, since AD affords you the session profile, you are encouraged to experiment with feedback that can be had by strategically resetting these volumes. AD also allows you to rewind the accumulation back to the first touch of any price in any bar on the chart. Therefore, resetting the accumulation never looses any information. You may be able to gain more powerful feedback by resetting this accumulation at strategic points in the auction: again, when volume thresholds are reached, when initiative activity begins, when you open trades, through price ranges; or anything else that may give you a strategic advantage on the inside auction.

Display choices here follow the bars: you can view volumes, deltas, trade sizes, and also the Aggressor Absorption™. Therefore, if your strategy requires good feedback of any parameter, you should experiment with strategically resetting, and/or rewinding the accumulation to gain insight.

Rewind the accumulation using the rewind button under the inside auction.






In all, our Inside Auction gives you tremendous power in tuning feedback and displayed data to give you a true edge over competition on the inside bid and offer. Even if you are not trading on the inside bid and offer, but are only watching for key points and at your potential entries, the feedback you get here should allow you to both follow and understand the order flow to allow you to be more confident, enter with shorter stops, and understand who is truly on the right side of trade.