[2trade]

Hi I can assist you with some pointers and if your
after more advanced techniques then can point
you in the right direction my email is alpha2forex@yahoo.com

Regards 2trade

[aviat72]

Originally Posted by FulcrumTrader »

Other than just tracking the traded "market order" driven order flow with Cumulative Delta, a trader can also look for hints in the trend of the DOM's running ACV Ratio (Order Book Delta). Just remember, a realtime 2:1 or greater ACV Ratio will frequently attract the market to TRADE TO SIZE.

Transaction Level Analysis has several moving parts, and if you track the separate components you can find actionable patterns for trade entries.

FT:
I am interested in learning more about transaction level analysis and microstructure. Could you point me towards any resource which defines the terms used. What exactly does ACV Ratio mean?

Thanks

[Patuca]

Just google nobsdaytrading. Might be helpful to you. cheap enough.

Originally Posted by dsalas »

HEllo Guys, i wanted to know if someone can help me up understanding how to read the DOM for ES or ZN, mostly ES. I have been trying myself but i cannot keep up with the pace, is too fast... IS there any resource you can recommend me or something you can help me with, I know the basics but not too much

thanks

[sdoma]

Originally Posted by bathrobe »

Also the market is moved by limit bid/limit offer orders not orders in the queue.

This is not entirely accurate. I've seen markets move and barely any contracts transact due to the fact that the passive orders on one side of the book were very quickly cancelled. In extreme instances, markets can go bidless or offerless.

[Whidbey Island]

Reading order flow is where it is at however few will take on the task...... You'll make many mistakes.... You'll need to learn to read the book as well as prints....If they are hitting the bid or lifting the offer great, yeah the book can flip moments notice, yeah size shows up from time to time but remember they always show what THEY want you to see..... Trading order flow isn't learning "1" thing it's learning to READ...order....flow.... understanding how things are unfolding and what is likely to happen next. It's an art one that few take the time to learn & even fewer master. How did you learn to read? I'll bet you learned vowels first or maybe pronouncing a few letters at a time then learned to put words together and little by little THEN you could read.... order flow is the same thing... You'll stare at it and pick something up then little by little you pick up more. Before you know it your seeing what's happening. Every market trades different each with their own personalities depending on who's trading it....

[rocky9281]

Some possible price and volume combinations in time and sales window are:

1. High volume trading going off-both in bid and ask, with intervening small/medium trades in both bid and ask.I don't think this pattern should be ignored just because it is indeterminate as both bid and ask sides are traded heavily, but should be watched closely because the high volumes indicates professionals are participating.

2. High volume trading going off in bid,not a single trade is of small/medium volume.Also, not a single trade going on in the ask. (vice versa)

3. High volume trading going off in bid.Along with that,small/medium volume trades going off at ask. (vice versa)

4. Large number of small/medium sized trades going off at bid.None of the trades is of high volume.May not seem to be professional activity,but at the end of the day the summation of the volume of trades at bid at that price level comes out to be very high.

What does each of the above four combinations indicate, and hence, what the tape reader should do when he sees them in his time and sales?

[sdoma]

Originally Posted by rocky9281 »

Some possible price and volume combinations in time and sales window are:

1. High volume trading going off-both in bid and ask, with intervening small/medium trades in both bid and ask.I don't think this pattern should be ignored just because it is indeterminate as both bid and ask sides are traded heavily, but should be watched closely because the high volumes indicates professionals are participating.

This could be due to many, many factors. This could be spreaders legging into something, missing the leg and getting out, or it could be an algorithm which wants to take a position but trades both sides to disguise which way it is betting. For example, it alternates buys and sells in different amounts, selling 5000 but buying 6000 for a net position of long 1000, but you won't be able to figure that out in time. It could also be an algo hedging another market, or simply scalping for ticks. It could be a combination of all of these.

You don't know, you'll never know. Don't worry about trying to figure out WHO is trading, just try to figure out what the volume flows mean for your position.

For example, in a sharp drop volumes per bar will often be low, and when you see the market stall on high volume that can be indicative of buying inflow and you should consider either getting out or bringing a stop close to the market. When this happens, markets can reverse and retrace very quickly, you want to be out if that happens, but you're still in if the market drops sharply.