DOM games

[brownsfan019]

Fulcrum,
Can you elaborate on the 'ACV'? Maybe it's in the et thread that I didn't see and wondering if that's a standard charting platform thing or not. Where is this commonly found in charting platforms?

I'm curious to see how this looks in real-time as it's always been something in the back of my mind saying - looks like price is gravitating to that level, but then there's plenty of times when it does not as well. So I think just 'eying it up' is not a good idea.

[brownsfan019]

Fulcrum,
Tell me what you think of this - perhaps ACV could be used for position entry and/or position exit strategies. What I mean is, you trade the way you do now (I like candlestick analysis) and when a trade appears, you check the DOM to see how the ACV looks. If it's in your favor, you take the trade and based on how much in your favor, you could position size off of that - something like 1 to 1 = regular size, 2 to 1 = double, etc. Or some function of that.

It's late and after my Browns had a heart breaking loss, I could be looking at this incorrectly, so let me know what you think since it appears you use this in your trading.

I'm thinking that this could add a quick and easy filter for me in terms of my current setup, just helping with entries and/or exits.

My only concern is how to implement this in real-time. For example, if I get a long at 10:00am, right at that moment do I check the ACV (which for me would simply be looking at the OEC dom, which does have the ability to total the bid/ask columns) and if it passes, great and if not, just wait or not trade it at all. I'm just trying to visualize how this works in real-time.

Another example with numbers:

I get a long with price at 1500.00.

Right at that moment, the ACV is even = bid/ask basically the same. Can go long at 1500.

30 seconds later, the ACV is now bullish, but price is 1500.50.

Do you now take the trade b/c the ACV is bullish or are you already in the trade b/c your entry already appeared and just feel good that the ACV is behind you?

And then once in the trade do you remain in the trade while the ACV is in your favor and if so, for how long? How often do you watch the ACV develop? In other words, if I am long at 1500.50 and the ACV is nice while price is rising and for a blip the ACV is not bullish, do you flatten or wait to see if it was temporary?

As you can tell, this has my interest as I've referred to the idea of price gravitating towards the heavier volume as the 'magnet' - price is like metal and the heavier volume is the magnet.

I guess it all sounds great in theory, but as you can tell, I'm trying to see how this would play out in real-time. I think I'll at least put the numbers up on my OEC dom tomorrow and just see how it looks.

[darthtrader]

I'm also interested what software you are using Fulcrum.

From that ET thread though i'm sure this is not standard stuff at all. I think one guy said he wrote his own software and Neoticker can do it also because it can take snapshots of the book at 1 second intervals and then build the charts from that data it. Neoticker scares me...

[brownsfan019]

darth,
That's why I am wondering as well. I know OEC has DDE Excel functionality, so that may be an option as well, but how you quantify and when is something I am not sure of.

[AbeSmith]

Sorry guys if I'm repeating what is already knows, but here is a good example of how I see the DOM useful. In attachment 1 you can see that there are several bids over 100 which stand out when price was dropping this morning, at 13908, 13906, 13901. When I see that I ask, what else makes those numbers significant. 13908 is the 200SMA on the 5 minute chart which is a significant support resistance point. 13906 is one point above the PP pivot for today. And 13901 is Friday's close. And sure enough, price hit a low of 13897 and then climbed. It might seem a bit of a falling knife situation to try to cash in on these, but it seems to me that if it is not a major news type of decline there should at least be some bounce from these points, 5 or perhaps even 10 points, even if you are wrong about the overall direction. So if you take a big portion off at 5 points and 10 points then you might get a free trade, or make some money if you move up the stop a bit, even if you are wrong about the overall direction.

[darthtrader]

	Quote:	brownsfan019
	darth, That's why I am wondering as well. I know OEC has DDE Excel functionality, so that may be an option as well, but how you quantify and when is something I am not sure of.

That could work actually.
http://www.tickquest.com/NeoTicker/data.html

Neoticker shows them as compatible with l2 supported. I wonder how excel would be on system resources though?

Also, I wonder if James would elaborate on how things work in Japan? If its illegal to play these games, what happens if you want to cancel your limit order? That seems like a tough distinction.

[brownsfan019]

Here's my observation of watching the cumulative volume numbers on the DOM - just watching those will drive you nuts. They change so quickly that trying to trade off it would be hard in my opinion. I see now why the thread on elitetrader discussed scalping b/c that's where this could come into play.

Abe - What you'll need to watch is what happens to those bids as price comes to it, if those bids remain. It's easy to sit back and say I'll buy here but as you said - since you are catching a falling knife, some will think twice as price approaches.

[RAVIN]

Can somebody explain with clarity why does price gravitate towards size and does this unfold on a consistent basis, if so than surely it is the making of a holy grail

[Soultrader]

Have anyone here been able to spot automated program trading on tape? On the Nikkei especially, the number of market participants is minimal compared to other markets. Though volume may be there, the actual number of traders is low. Hence, rangebound/choppy markets are controlled mainly by program buy/sell. I know arbitrage exists between the Singapore Nikkei and Osaka Nikkei but lately I have seen some other form of program trading. This... I suspect some major insitution is taking advantage of this by trading in lumps of 300+ contracts. (approx $27gran a tick) They like to take out the ask and let price run up by 2-3 ticks and then dump right back. This takes place at random price levels making it extra hard for technical based traders. I am guessing this program buy/sell occurs on some formula using the SGX Nikkei and OSE Nikkei contract. Hence, on these days I try to stay away from the markets.

Any US or international traders notice this sort of behavior on the tape? Perhaps take a look at some of your losses that was based on breakouts or momentum. It may be that these program buy/sell is fooling you completely.

Note: This observation comes only from the Index futures.

[brownsfan019]

	Quote:	RAVIN
	Can somebody explain with clarity why does price gravitate towards size and does this unfold on a consistent basis, if so than surely it is the making of a holy grail

As I said Ravin, try doing this in real-time and report back to us how it goes.

While price may appear to gravitate to the volume, that is also subjective as well.

It's hard to explain here, just watch your DOM and try to trade based off of it.

PS
Turn that bold off in your posts please, it strains the eyes and we don't need to see your posts in bold.