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MiniFlowTrader
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Posts posted by MiniFlowTrader
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Both standard and hidden divergences work just fine in either direction, but I do pay special attention when a Momentum trade sets up with the prevailing trend.For bullish setups there is almost always instant satisfaction, bearish can last for days or can get wiped out from short covering (at least that is what backtesting has shown, but I tested on a bull market).
I think a lot of it has to do what the long term trend is.
How do you define standard vs hidden div?
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Again, the Momentum moves have been very good in the DAX.
Have you noticed how much better these divergences work with bullish divs vs bearish divs?
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Right, time for me to throw my two cents in....The resting orders are only half the story and alone are not really going to tell you too much. What you also need on your order book is cumlative volume which shows the total amount of contracts traded at each price, so you can actually see how many contracts are trading.
Now typically, price will have a tendency to trade towards large bids and offers, so if we look at ES as an example, a large bid or offer in the that market is normally 2000-3000 resting orders. This is where the so called games people talk about take place... it's nothing new though and has been going on for donkey years. To keep it simple, say ES trades up to a hypothetical resistance level at 1100. When we get to 1100, if the offer is much larger than the bid with blocks of 2000-3000 lots resting, what a lot of people will try to do is lean on these resting orders to get short. What is actually happening is a large trader is putting up them large offers to make the market appear weak, which incourages people to lean on his orders as described above. What this does is cause the market to tick off lower where he can buy a lot more and smash price through the level by running the stops of the people who were leaning on his fake large offers.
What you have to do is recongize that this is happening, and as the market ticks off lower, you need to be looking at the cumlative contracts traded to see where that big fish is buying a lot more lower down.
So carrying on with the above example, lets say those people have started leaning on his large fake offers and the market has ticked down to 1098.75 where previously, 20,000 contracts have traded. Now as the market ticks off, if another 10,000 contracts trade there bringing the total to 30,000, and price keeps on bouncing on 1098.75 even though 10,000 contracts have just traded there, then you want to be buying there yourself and catching a ride on his tail as he smashes peoples stops....
If you're doing it properly, the market shouldn't really ever go more than 2 ticks against you in ES. If it does, just cut it.
If anyone has any questions, then feel free to PM me.
A common trick by these larger traders, often the opposing ladder will look weak and continually reload (which can be detected through a footprint or DOM that accumulates the volume).
From what I have seen (depending on time of day). The difference in size between the inside bid and offer of all the underlying cash constituents usually tells the real story of where the size is, regardless of what the DOM is doing.
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How can intensity help you if you don't know what the underlying is doing, intensity is simply intensity it can be a blip or something important.
As they say, Cash is king.
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Cumulative Delta works BEST on those futures instruments that have a large percentage of the total overall volumes traded by smarter money (Commercials). I myself trade the following futures instruments throughout the year all based on my Cumulative Delta tracking/set ups; ES, ZB, CL/QM, NG, FDAX, FESX, to name a few. I am also starting to build up my order flow transition reference benchmarks for the Kospi 200 and the Hang Seng so I can trade those indexes this year. I know many other Cumulative Delta based traders that are trading other types of futures instruments like the 6E, ZC, ZS, etc.You mentioned above, "on RARE occasions, I've seen delta continually become increasingly negative yet price continued to move up" and as you see this you are watching realtime accumulation taking place. Smarter money frequently sells into ascending price and buys into descending price......they love the price improvement as they fire off orders into the counter movement of price at those moments. Even over multi-day periods, Commercials frequently sell into multiple new rotational highs in price as they build up a bigger position. They take full advantage of the new price improvement offered with each new high (as they dynamically upwardly adjust their held position cost basis). With each rotation of price back down off a new high, they will then cover out small portions of their overall held position which had previously been entered from lower pricing levels (I call this cycling of price). Commercials profitably cycle positions in and out to dynamically adjust their overall held inventory cost basis with rotations of price off each new high.....or price returning back near a previous high. When you see price diverge from the Cumulative Delta whether in a 5 minute period of time or a multi-day period of time, some group is accumulating.
Would still like to know what your definition of delta zone implies.
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Please elaborate what should be expected on the observations cited:Up or down for the week?
Amazes me, you always find someone who thinks that someone can predict the future. Shame on you.
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FT,
The behavior you describe I've observed several times. Not only on a macro level but even on a micro level i.e. in a true pullback. If one follows CD, they will notice that when the market pulls back, it will eventually resume the intermediate trend once price and delta diverge to a level that is within a 1-5k contracts on the previous swing high or low (on RARE occasions, I've seen delta continually become increasingly negative yet price continued to move up). Your claim of 70% of orders being @ market is bold, but I will say that CD is not nearly as useful in markets that are not as liquid as the ES, such as the 6E so with that said, I can see truth to this statement purely based on my observations that I have seen CD work time and time again on the ES where as it's utility on the 6E is not nearly as strong.
I appreciate your macro outlook on this data and truthfully, I've never been concerned with it beyond the day time frame since I usually go home without any positions. Previously I have only been concerned with the volume profile in determining my support/resistance levels and as it stands, I have around 60 days worth of tick data, so going forward I'm going to monitor how price reacts in these areas.
I recall you mentioning terms such as "Delta Zones" previously. Could you please define what you mean by this terminology.
Trading Momentum Moves Intraday
in Day Trading and Scalping
Posted
When I backtested - I found that values that were older then 5 days could usually be ignored.