I have videoed the order book and watched it repeatedly in slow motion. I have taken pictures of it at different time intervals. I have looked for some kind of relationship between price direction and volume. I've been documenting certain occurrences for a couple of years, trying to find consistent entry triggers.
Today was an interesting close in the corn market. December had about 2300 buy limits at the session low of 368. It looked like price would hit 368, triggering the limit orders but then filling them at market at 368.25-368.50
Right in the last few minutes, two or three thousand orders filled. Meanwhile the 2300 buy orders kept disappearing . I thought they were filling at 368.5ish
Then in the final seconds they reappeared at 368 and filled...BANG
Was somebody selling to these buyers at 368.5 and buying them back at 368 in the last seconds ? 1/2 a cent x 2000 contracts
I think so.
Trading has become an obsessive compulsive disorder for me.
Yes I have no life.

TIMWAR