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Detailed Documentation

Inventory Cost Basis

Indicates market control between buyers and sellers by estimating average positions. Market maker behavior is simulated to create best and worst case scenarios for how many positions might be open, and where they may stop out of positions.

Largest Resting Orders

Shows the size of limit orders placed during the time period to indicate the presence of institutional players in the market.

Level2 Changes

Shows the total number of level 2 changes during the time period as a leading indicator of volume. Filters can help show the relative activity level of different types of market players, as well as indicate stacking and pulling.

Resting Orders

Show imbalance between buy and sell resting orders by comparing the cumulative depth of each side. Attempts to filter out quote stuffing and spoofing by comparing new orders placed vs orders that do not move to indicate which side is more interested in getting filled.

Level 2 Tape

Similar to a traditional volume tape, but shows individual level 2 changes. Includes filters and sound alerts to help traders more quickly notice significant changes on the depth of market.

Spread & Spread Candles

Charts spreads for use in treasury markets or calendar spreading. Spreads automatically roll over when the main instrument changes expiry.

Synthetic Dollar Index

Synthetically calculates the dollar index by using FX futures for the calculation. Essential component for trying to account for dollar strength, and foreign currency impacts on commodities.

Volatility Projected Range

Shows a projected range for the day based on the opening level of the VIX. Indicates key levels where realized volatility is outpacing implied volatility which impacts options market makers.