[TheNegotiator]

Thanks sdoma. I definitely think that this is the sort of idea that is very useful to intraday traders. What are your thoughts on cumulative delta?

[sdoma]

Originally Posted by TheNegotiator »

Thanks sdoma. I definitely think that this is the sort of idea that is very useful to intraday traders. What are your thoughts on cumulative delta?

I will preface this by saying that I haven't done as much back testing on cumulative delta as I'd like. From what I remember, I wondered what information it gave you that simply observing price action couldn't. I would have to guess that you'd want to look for divergences between cumulative delta and price, but again, could a CCI give you that?

To sum up, from my recollections I wasn't sure if I saw an edge or not. I will come back to it eventually to test it.

[TheNegotiator]

I believe FulcrumTrader is talking about cumulative delta over on the 'Trading Momentum Moves Intraday' thread:-

http://traderslaboratory.com/forums/...aday-8549.html

I will ask him if he has any input here.

[uexkuell]

Originally Posted by TheNegotiator »

When I started on eurex, it used to be obvious when paper came in.

Please elaborate on the signs that gave a hint about "paper coming in".

[sdoma]

Originally Posted by uexkuell »

Please elaborate on the signs that gave a hint about "paper coming in".

"Paper" means institutional order flow. In the pit, it was obvious since the broker was standing right next to you as he did the orders. On the screen, you could see it because the orders were larger. Also, initially I think there were names attached to orders in time and sales.

Now, institutional order flow is chopped up to make it harder to see. Institutions don't want other participants jumping on and affecting the quality of their fills. So, instead of 2000 in the S&P it will be done in ones, twos, and threes by an algorithm.

[TheNegotiator]

Originally Posted by sdoma »

"Paper" means institutional order flow. In the pit, it was obvious since the broker was standing right next to you as he did the orders. On the screen, you could see it because the orders were larger. Also, initially I think there were names attached to orders in time and sales.

Now, institutional order flow is chopped up to make it harder to see. Institutions don't want other participants jumping on and affecting the quality of their fills. So, instead of 2000 in the S&P it will be done in ones, twos, and threes by an algorithm.

Exactly. I think you are right about the names in t/s but I never saw that when I first started. I was told it was separated into different groups though rather than specific names.

[AuctionMarket_Trader]

Delta or cumulative delta is completely useless IMO there is no edge as most of the volume is done in a limit fashion very little percentage of the volume is done by aggression.

[TheNegotiator]

Originally Posted by AuctionMarket_Trader »

Delta or cumulative delta is completely useless IMO there is no edge as most of the volume is done in a limit fashion very little percentage of the volume is done by aggression.

AuctionMarket_Trader,

I am glad you qualified your statement with the all important IMO, otherwise I would have to take you up on this statement. As it is though I have a question for you. When a market auctions from one price to another, what is the relative ratio of price moves which happen by pure movement of bid/ask order queue to the next price, to the number which happen due to the bid/ask being traded out? You say most volume is done by limit orders. How do you think those limit orders get filled? I would question the depth to which you are applying the delta concept and the level of context you use it with.