Question About Time & Sales

[mister ed]

	Quote:	smwinc
	Whoa, whoa whoa. Negative Volume Delta? Why do you care if volume is decreasing at a slower rate?

Hi smwinc

Just to clarify (I hope) as it appears you and brookwood are talking about two different things here. Brookwood is looking at the amount of volume being dealt at the ask price (I.e. offers being lifted) compared to volume being dealt at the bid price (i.e. bids being given). So when he (or she) says "negative volume delta" it means the volume dealing at the bid (bids being given) is greater than the volume being dealt at the ask (offers being lifted), not that volume is decreasing at a slower rate.

Brookwood - if it is I who am mistaken please let me know.

[strtedat22]

	Quote:	Brookwood
	I too am trying to learn T&S, and to that end am evaluating market profile-type software that lets you see Bid/Ask volume at each price level on a bar chart. My question relates to what I'm seeing in the cumulative volume delta and Bid/Ask/Sales for each candle. On a regular T&S window many times I've seen tons of small prints and block sales at the bid and price goes nowhere yet a few small sales on the ask and price moves up. Also the reverse. I'm seeing this on the demo software too- YM trades down all morning on decent volume but at some point around 10:30 AM there is a 60 point rally but I'm seeing only negative volume delta for every single 3m bar and the bid is getting hit at 5 times the ask.How is price going up if the "tape" shows only selling by any objective measure?What else moves price besides hitting the bid or ask?

market delta blows. i wanted to see within those green and red columns. T&S is all you need. Rec the market and review it after hours to find support and resistance. Add a chart and pivot points if things dont add up at first

strtedat22

[Brookwood]

	Quote:	mister ed
	Hi smwinc Just to clarify (I hope) as it appears you and brookwood are talking about two different things here. Brookwood is looking at the amount of volume being dealt at the ask price (I.e. offers being lifted) compared to volume being dealt at the bid price (i.e. bids being given). So when he (or she) says "negative volume delta" it means the volume dealing at the bid (bids being given) is greater than the volume being dealt at the ask (offers being lifted), not that volume is decreasing at a slower rate. Brookwood - if it is I who am mistaken please let me know.

Thanks for the replies.
Mr.Ed has distilled my question correctly. (And yes, I'm a Mr. as well.)Forget the software aspect- I have now seen with two separate methods that price can rise when there is more volume and sales at the bid, and vice versa. So consider this a straight-up T&S question. This phenomenon probably even has a name. I understand the concept of spoofing but this is recorded sales not bluffing. Haven't you Naked chart T&S guys seen this?? Since I'm new at order flow I doubt what I'm seeing with my own eyes or think I must be interpreting things incorrectly.Thanks in advance for your thoughts.

[mister ed]

	Quote:	Brookwood
	Since I'm new at order flow I doubt what I'm seeing with my own eyes

Don't doubt what you see, it is happening right before you; be interested to hear other's thoughts too.

[smwinc]

I'm struggling a little to describe this in a forum typing

One of those things that is much easier to explain visually. I'll give it a try.

20A
20A
20A
20A
20A (1)

10B (2)
10B (3)
10B
10B
10B

(1) is our last traded price (LTP).

(2) If someone wants to sell, they have to hit at level (2). That would be a TWO down ticks (notice the 'gap', this our spread).

(3) Let's imagine you want to sell 15 - motivated seller at market. You will take the 10 at the bid, and 5 from the next price level. We will down tick 3 times.

20A
20A
20A
20A
20A Prior LTP
<-- original spread.
<-- notice we have a new gap. Spread is temporarily 2 ticks.
5A <-- LTP
10B
10B
10B

Depth would now look like this.
----------------------------
Then, imagine this happens:

20A
20A
20A
20A
30A First Trade
40A <--new motivated sellers have come in, offering to sell larger quantites.
30A <-- more sellers
5A <-- LTP
50A <-- The 10Bid has been pulled, and replaced with 50A (50 offered)
1B <-- Someone else pulled orders, leaving only 1B here.
10B
5B
5B

Sellers are trying to Jam buyers here. We want to cause pain to whoever is caught long. Buyers are pulling their bids, and the price is trying to be forced lower.

Even if we were to BUY in this situation, we have to hit the 50 offered, which is still a downtick from the LTP 1 tick above (where the 5A is).
----------------------------
Next trade:

20A
20A
20A
20A
30A First Trade
40A
30A
5A <-- Prior LTP
47A <-- Someone hits the 50A and buys 3. (new LTP)
1B
5B <-- Someone else pulled another 5 bids.
80B <-- Longs are trying to stack the bids, to make it look strong. Probably Bullshit.
50B <-- again, more spoofing of the bid.

Price is still downticked, even though someone "paid up" to hit the offer.
----------------------------
Next trade:


20A
20A
20A
20A
30A First Trade
40A
30A
5A <-- Prior LTP
47A <-- Someone hits the 50A and buys 3. (new LTP)
4A <-- Someone tries to sell 5 at this price, taking the 1B sending it 4A.
<-- Someone else pulled another 5 bids. We have a spread.
8B <-- "Spoof" depth was pulled. He doesn't want to keep it there incase it's hit, now that he's the front of the bid.
50B <-- happy to keep the spoofing there, because he can hide behind the 8B.

Price is down ticked by hitting a bid (normal situation). However, we took out the price level, and sent it from being 1B to 4A. Now, if someone wants to sell at market, they will downtick TWICE (because we have a spread) to hit the 8B. If someone inserts an offer ("A") in our spread, a market order will hit that, creating a downtick even though they hit the offer.

This pattern can continue indefinitely.

When prices are pulled, no trade occurs. If a bid is pulled, and someone inserts an offer, then someone buying at market will still result in a downtick on the T&S.

If you think about it, this is how gaps occur on your chart. Prices are pulled, and someone hits market to cross the spread.

MANY traders make their money from just mastering this practice, generally locals, because of their speed.

E.g.

Look at the depth below. Weak sellers up above, and strong bids.

2A
2A
2A
2A

80B
50B
10B
-----------
2A
2A
2A
2A
5B <- You insert 5 to buy, "leaning" on the 80 B below you (strength).
80B
50B
10B

Uh oh. But meanwhile, I'm actually waiting for an idiot like you to do this.

2A
2A
2A
2A
5B <- You insert 5 to buy, "leaning" on the 80 B below you (strength).
80B <-- This is MY 78 on top of a "2B"
50B <-- Also MY 45 on top of a "5B"
10B
-----------------
Now you're in trouble. You reason for taking the trade disapeared.

2A
2A
2A
2A
45A <--- Sold 50 at this price, taking your 5B and sending it 45A.
2B <-- Pulled my bids
5B <-- Pulled my bids
10B

More sellers then come in to Jam any guys who are stuck long. Simultaneously Bids are pulled, sending the market down quickly. The goal is to try and create a wide spread, even for a split second. Hopefully Long Stops go off, sending "sell at market" orders into the market, which cross the spread for us, hitting the bids. Generally, those bids will be our "take profit" bids. Then we can reverse long, and try and kill some shorts who sold because we were selling.

Does this answer the question?

[smwinc]

	Quote:	mister ed
	Hi smwinc Just to clarify (I hope) as it appears you and brookwood are talking about two different things here. Brookwood is looking at the amount of volume being dealt at the ask price (I.e. offers being lifted) compared to volume being dealt at the bid price (i.e. bids being given). So when he (or she) says "negative volume delta" it means the volume dealing at the bid (bids being given) is greater than the volume being dealt at the ask (offers being lifted), not that volume is decreasing at a slower rate. Brookwood - if it is I who am mistaken please let me know.

Thanks mate. Sorry, yes I was mistaken.

[mister ed]

	Quote:	smwinc
	I'm struggling a little to describe this in a forum typing One of those things that is much easier to explain visually. I'll give it a try...

Wow - smw, this is a huge effort and must have taken you a long time to do - thanks v much.

[BlowFish]

Brookwood. Be aware also that in futures markets there is always a buyer and seller for every tansaction. Thinking in terms of more buyers than sellers is likely to confuse your thinking.

Delta measures volume @ bid against volume @ ask. Agressive buying selling against agressive selling if you like, nothing more. (essentialy which side are using the most market orders) There are many misconceptions about how the 'big player / smart money / whatever you want to call them" move there inventory. It is my contention they do not buy buy/sell aggresively most of the time. Certainly not all the time.

If you had 20,000 YM to accumulate would you keep hitting the ask as price advanced or wait paitently on the bid when price pulled back?

[BlowFish]

Smwinc- Thanks for taking the time tor try and explain. To be frank I still struggling to get my head around it but I'll stick with it.

Over the years I have spent hours and hours watching T&S and the DOM. To be honest I have never really got it. I have a rough idea of what I think I should be looking for but it never seems to completely click. Sometimes I seem to manage to get into the flow often not.

For example sometimes a level will be supported with the bid being replenished and price will eventually lift. Other times, on what appears to be similar action (to my untrained eyes), price will appeart to be supported and then bang the bids disapear either eaten up or pulled and price falls.

It's still a skill I'm keen on adding to my repotoire.

[OAC]

	Quote:	smwinc
	I don't like talking about specifics, but this myth about needing complex tools to earn good money is just complete bullshit. Maybe people assume that successful traders "out there" all use hi-tech tools. All of the people in my office who earn 6 -7 figures a year have the most simple trading setup you could imagine, just using a price ladder & basic charts with no indicators. Just bars/candles and volume.

It is my guess that traders from your office don't really trade the heavy-volume instruments, whether in stocks or futures. It is my opinion that if you trade an index futures market such as the ES like many of us do, you would need a little more than a T&S and a simple chart. In this market, we have a multitudes of program tradings, arbitrage activities, and automated black box systems that would automatically read the T%S data and execute at blinding speed.
Tell me if Im wrong.