I am trying to identify "book sweep" events in the order book
My definition for "Book Sweep"(for now to keep things simple) would be - where a single OR multiple market orders(say BUY) take all the liquidity from a LEVEL and price moves to the next LEVEL above.
I would then basically then have a parameter to define the number of levels taken out to qualify as a book sweep.
I have looked through OnMarketDepth() and OnMarketData()
but not clear on how to identify a Order(s) as a Market Buy, which matched ALL available liquidity at a LEVEL.
Not looking for complete code, just some samples or pointers, I guess similar to the "Order Flow Trade Detector" indicator, which basically is trying to identify large trades, but in my case, I am looking for ALL trades, small or large.
I have access to BOTH CQG and Rithmic data feeds, as not sure whether this may be a MDP 2.0 vs MDP 3.0 issue, as some posts here seem to suggest
TIA,
SDG
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