Question About Time & Sales

[strtedat22]

	Quote:	smwinc
	Most of us trade heavy volume instruments - ES, T-Bonds, Bund, Eurostoxx, etc. I'm sure there are complex automated systems out there, but they are the minority. Most automated systems are a) working order ques b) working pre-defined spreads c) arbing. Quite of a few us use auto-trading spreaders. Pretty simple stuff. Things do happen at blinding speed, but you can still anticipate. Think of the DAX / ESTX50 automated trading. Last I heard it was something like a 2 millisecond lag between a tick in ESTX50 to a 2 tick move in the DAX. You can't take advantage of that - but you can still watch the depth in EXTX50 and see HOW it it starting to rally / fall. Is it likely to KEEP upticking, or did it uptick on a 5 lot? Did we just take out 150 offer, to run into 2,500 offered? Are we likely to get through that? What is the Bund doing? How about the ES? The Euro? How MUCH did the DAX react? Over enough to start a short? How many people do you think just got long - is there a squeeze opportunity? The problem with the ES is that it is filled with NON directional players now, who are fading every move as they spread it off to something else. (In my opinion, I don't get why so many private traders are attracted to the ES. Big traders like it because they can squeeze a point on an insanely large trade. But if we don't care about huge liquidity, the volatility isn't actually that good.) Everyone still has pressure points, and spreaders get ripped bigger than anyone else. You just have to understand your market, and how the traders within it operate. In my opinion, you can "scalp" off the price depth all day, but the BETTER trades are to sit there and understand what is going on today, to understand how to trade a news event later the day or week.

How can someone front run large contracts when theres no level 2 for the YM? or is there one?

[BlowFish]

	Quote:	DbPhoenix
	Yes, this is accurate, as far as it goes. Many people consider Time and Sales to be "tape reading", just as many people consider DOM to be "tape reading", but neither have much to do with tape reading. Tape reading entails focusing on completed transactions, not intentions.

Time and sales is a record of 'completed transactions' and pretty much akin to the tape of yore. I guess you meant that the DoM has little to do with tape reading. This is of course true in the strictest sense though many consider 'stock levels' (DoM) along with 'completed transactions' (T&S).

Smwinc - I hope you mind me asking do you trade in a prop shop? Just curious.

[DbPhoenix]

	Quote:	BlowFish
	Time and sales is a record of 'completed transactions' and pretty much akin to the tape of yore.

That depends on what one includes in the window. In any case, processing a digital display is not quite the same as processing an analog display. I suppose the kids might get used to it, but I imagine it would make for a long day.

[BlowFish]

As I say, I use a tick chart as a 'proxy' so am perhaps not best qualified to comment. But I will anyway. I think one of the big difficulties (at least I found it challenging) is the sheer volume crossing the 'tape' which is pretty massive compared to the days of Humphrey Neil & 'Rollo Tape', (or Livermore for that matter) wrote about the tape. That's why a proxy works for me. I would like to master o reading the raw data but as I get older and slower I guess that's less likely. I also switched to zenfire data feed recently man that has a lot of ticks (compared to some).

[BlowFish]

Couple of interesting threads from *cough* another forum

http://www.elitetrader.com/vb/showth...0&pagenumber=1

http://www.elitetrader.com/vb/showth...threadid=62411

And a longer one so higerh signal to noise ratio

http://www.elitetrader.com/vb/showth...threadid=26299

[smwinc]

	Quote:	BlowFish
	Smwinc - I hope you mind me asking do you trade in a prop shop? Just curious.

Yep, Correct.

[smwinc]

	Quote:	BlowFish
	Couple of interesting threads from *cough* another forum http://www.elitetrader.com/vb/showth...0&pagenumber=1 http://www.elitetrader.com/vb/showth...threadid=62411 And a longer one so higerh signal to noise ratio http://www.elitetrader.com/vb/showth...threadid=26299

You will find at the VAST majority of prop shops, trading firms, or any institutional trading environment where their are intraday traders, there will be a majority of traders trading with the methods discussed there.

Trading at a very high frequency is like trying to standing under a shower of really hot water. You can't stand "still" or you burn - so you're constantly moving around, shifting in and out of the water.

You need to know what style is best suited to your trading environment.

To trade in the way these guys do (and the same as most people in a prop. environment) you need the right commission structure & technology to trade in that way.

As most people on the forum are independent traders, it's best to focus on what is best suited to your situation.

Even if you are too slow, or it's not worth the cost (commission / slippage) to try and nick a tick on every opportunity, you can still learn to read the depth and games to perfect your own entries, run your trades longer, and have a better understanding of how many events will play out that day.

Local traders test everything out by 'feeling'. Let them do it for you - you don't have to be the person making ticks from looking for stops, testing where demand & supply is, etc. But you SHOULD be trying to gain the same information they are gaining.

On a major event day, they are doing it to learn what the big boys are planning on doing when the news comes out. The profit they make / loss they incur is secondary.

[BlowFish]

	Quote:	smwinc
	___snip___ Even if you are too slow, or it's not worth the cost (commission / slippage) to try and nick a tick on every opportunity, you can still learn to read the depth and games to perfect your own entries, run your trades longer, and have a better understanding of how many events will play out that day. ___snip___

As a timing tool it probably can't be beat. I would like to say that the reasons you give above are my chief motivation but it is actually more fundamental. Its simply a skill I would love to become proficient at. (I guess I shouldn't say 'master'). Nowadays I do find it physically difficult (especially on something like the ES) to actually take in the info. Last couple of months I have been watching the FTSE and every now and then pull up the T&S or the DoM and watch for an hour. After bumping the font size I can at least see whats going on its just a question of interpreting it!

Guess I am way to old to go and trade in a prop shop but I guess thats would be the place to really learn.

As an aside I used to use the DoM to enter trades but often found that I would be 'sucked in'. I found it hard not to scalp as your focus gets drawn into the wiggles and jiggles.