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Old 04-29-2011, 10:38 PM   #17

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Re: Order Flow Advice

All very well looking at these high volume markets and looking at the aggregate of order flow with some indicator....

If you really want to learn to trade order flow though, then look at contracts that trade a few thousand contracts a day with the ideas above. It may not be as heroic as making a killing is 6e/es/nq etc, but youl learn more quickly and make more money IMO.

Its easier to keep track of who is doing what and what they are doing when trading a market with fewer participants and more simplistic participants (understanding their objectives) if you look and the chart and follow T&S knowing who is doing what & where (MP theory) than trading ES/6e etc and seeing a load of 1 lots go off on the bid, then another load go off at offer etc, due to HFT & his brother & the big participants who can cover their tracks with such algos.

Trade Ags, softs, meats. Back to basics! Proper trading when you can understand who is doing what and who has what and where they did it. These markets are dominated by commercials with proper business objectives rather than overloaded with other speculators trading each others noise.
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Old 04-30-2011, 12:18 AM   #18

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Re: Order Flow Advice

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Originally Posted by TheDude »
All very well looking at these high volume markets and looking at the aggregate of order flow with some indicator....

If you really want to learn to trade order flow though, then look at contracts that trade a few thousand contracts a day with the ideas above. It may not be as heroic as making a killing is 6e/es/nq etc, but youl learn more quickly and make more money IMO.

Its easier to keep track of who is doing what and what they are doing when trading a market with fewer participants and more simplistic participants (understanding their objectives) if you look and the chart and follow T&S knowing who is doing what & where (MP theory) than trading ES/6e etc and seeing a load of 1 lots go off on the bid, then another load go off at offer etc, due to HFT & his brother & the big participants who can cover their tracks with such algos.

Trade Ags, softs, meats. Back to basics! Proper trading when you can understand who is doing what and who has what and where they did it. These markets are dominated by commercials with proper business objectives rather than overloaded with other speculators trading each others noise.
It makes sense. I was following T&S Wednesday after 5:00pm. Not much usually goes on then, compared to morning trading. But I liked it because like you said, "you can keep track easier of who is doing what". I managed to "predict" some nice moves seconds before they happened.(not to brag or anything...)

I will definetly now check out Ags, softs and meats. Thanks for the advice!
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Old 04-30-2011, 12:52 AM   #19

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Re: Order Flow Advice

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This is what MD said,

"There is no symbol for the NYSE Cumulative Tick because ZenFire does not provide data for Indices and Statistics. ZenFire is Futures Data Only."
That is typical of a retail broker....I would dump them..but thats just my opinion...
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Old 04-30-2011, 10:34 AM   #20

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Re: Order Flow Advice

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That is typical of a retail broker....I would dump them..but thats just my opinion...
I was planning anyway to get Iqfeed... And I qualify for CME exchange fee waiver(-$67).
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Old 04-30-2011, 03:16 PM   #21

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Re: Order Flow Advice

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Originally Posted by pbylina »
Thanks so much Steve for telling me about Time and Sales trading. Im having great results so far (even though I dont have $TICK yet). Heres my setup. On the left is T&S from 1 lot up. In the middle is the Bids | Asks at price(footprint). On the right is 10 lot and higher. Anyone care to share there setup?
First one should be aware that in this venue, it is impossible (in my opinion) to describe how you use the Time & Sales Strip in trading....to do that one needs a way to communicate in real time and by necessity you need to have an active liquid market during RTH...

For the poster pbylina, all I can say now is that your display is incorrect...you don't need time in the display. After all you are looking at current price...you know what the time is...what is important however is price and size...only those two data elements...

To make use of the "time & sales strip" a trader monitors the way the display changes AND they also look at the NYSE tick, and other data (preferrably volume)....there are several ways to do this and one has to have patience because it requires that you direct your attention to to one data item, then scan another, then another....all as you watch price moving up and down...personally I don't a way to offer a written instruction that works. so I will simply say that you need to start by watching the data and observing how it changes in relation to price...even within my class environment I would expect it to take anywhere from a few months to more than a year for a student to become proficient enough to identify favorable trade entry this way...Once they do "get it" however...it really changes the game...

And finally for those who see the importance of learning to use this tool set...professionals have a way of adapting this to any liquid exchange traded market...the way they do that is to put a display similar to the NYSE tick above or to the side of any DOM (depth of market) display...typically they choose a 2 minute chart of the cash market...for example in the DAX, we would use the XETRA dax on a 2 minute time frame...this display shows you the movement of the broader market. The trader learns to compare that display (showing the ups and downs of the broad market) to the DOM showing the ups and downs of a single market or issue and one can (eventually) learn to find favorable entry based on that comparison...Again (unfortunately) my ability to do more in this environment is limited...you really have to see it in real time to get an idea of how it can work for you.. I wish I could do more, but it would be unfair to the students who I am working with at this point...I won't post again in this thread as my class has started, but I wish you all the best of luck.

Best of luck
Steve
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Old 04-30-2011, 04:06 PM   #22

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Re: Order Flow Advice

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I know these methods and after long years of trial and error I would suggest your best odds of success lie with learning to read the time & sales strip (also called "reading the tape")
The algorithms have made this more difficult. Big players now shred orders. This isn't to say it's impossible or not useful, but especially on the ES the tape flies now, usually in a flood of 1s, 2s, and 3s. Also, the CME has recently changed how they report data. Before, if somebody threw a hundred lot on the market, you'd see it, regardless of how many people took the other side. Now, if a hundred lot trades to fifty people who each buy 2, that's what you'll see. This is, at least, how I have been led to understand it.
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Old 04-30-2011, 07:57 PM   #23

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Re: Order Flow Advice

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Originally Posted by steve46 »
For the poster pbylina, all I can say now is that your display is incorrect...you don't need time in the display. After all you are looking at current price...you know what the time is...what is important however is price and size...only those two data elements...
I agree the you dont need the time. But I wasnt able to turn it off because MarketDelta doesnt have that option. NinjaTrader allows the turning off of time if anyones interested. Its funny how MD doesnt have this simple option but they have everything else. I might keep the Time on for the 10+ lots because they dont happen every second like the all trades screen...

Quote:
Again (unfortunately) my ability to do more in this environment is limited...you really have to see it in real time to get an idea of how it can work for you.. I wish I could do more, but it would be unfair to the students who I am working with at this point...I won't post again in this thread as my class has started, but I wish you all the best of luck.
I completely understand. The reason I named this thread "Order Flow Advice" is because I knew order flow trading is something that you need to learn yourself but I wanted to get steered in the right direction. Thanks for all the useful information you have provided.
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Old 04-30-2011, 08:02 PM   #24

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Re: Order Flow Advice

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Originally Posted by sdoma »
The algorithms have made this more difficult. Big players now shred orders. This isn't to say it's impossible or not useful, but especially on the ES the tape flies now, usually in a flood of 1s, 2s, and 3s...
Read post #17. "TheDude" talks about trading lower volume instruments as a solution to this problem.

Last edited by pbylina; 04-30-2011 at 08:08 PM.
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