Combined Futures and Options Orderbook

Introducing new tool in emini.today terminal.

Since yesterday, you may have noticed some changes in the Emini terminal. The main new feature is the Combined Futures and Options Orderbook. This new tool will hopefuly help increase the precision of entries and exits.

The concept is simple. Based on our past experiences with different approaches to options levels, we are able to identify those that actually show reactivity when the price reaches them. The question we will try to answer is whether we can confirm the usefulness of a given level by using the futures market order flow. In other words, whether the options level is indeed perceived by the futures market as significant. When we have such confirmation, the level is drawn on the terminal chart.

The interpretation principle also seems straightforward. The longer a given level is drawn, and the more significant levels are next to each other, the greater the probability that the price will react, creating a trading opportunity. Basically we are looking for clusters of horizontal lines.

As for the colors of the lines themselves, at this point, it is not important. I have colored them because potentially some types may be more or less helpful. However, this assumption is probably not accurate.

Also, I should warn you that there might be some bugs in first hours/days after I deploy this tool. It is quite heavy on proc. power consumption so I still need to find some ways to optimize it.