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UrmaBlume

Trade Intensity

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Trade Intensity detects market orders that were split up to disguise the actual size of a big market order.

 

Correct......I call this order entry method by commercials as "Phalanx System Entries" and I see this often during an inventory grab .

 

This is why I call them Phalanx System Entries;

 

[ame=http://www.youtube.com/watch?v=cgpQBZF2sZQ&feature=related]YouTube - Phalanx (CIWS) Block 1B LPWS Testing and Firing[/ame]

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Hey UB,

I wonder if your Algos picked up a burst of Trade Intensity at 11:10.43 EST today (9/11). I detected 8 trades all at 1042.50 in rapid succession totaling approx. 1200-1300 contracts (depending on how you split them up). Near the AM highs. I still have some work to do on normalizing for time of day, so I wasn't able to see in real time, only in hindsight. Or maybe was noise/false signal. Thanks.

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MtnDog,

 

We found no really noteworty spikes at the time you mentioned.

 

An hour or so later at 1238 your time and 0938 PST there was a really obvious buy spike that completely nailed the session low (09/11) as shown in the chart below. You can see a report on the whole day's activity here.

 

091109rpt5.jpg

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Thanks. The spike on the low was pretty obvious on my charts as well. I appreciate you opening my eyes to this type of analysis. The concept of trade intensity is sound, and I believe that there may be several different ways of applying/interpreting this information (depending on one's time horizion).

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Hey UB,

I wonder if your Algos picked up a burst of Trade Intensity at 11:10.43 EST today (9/11). I detected 8 trades all at 1042.50 in rapid succession totaling approx. 1200-1300 contracts (depending on how you split them up). Near the AM highs. I still have some work to do on normalizing for time of day, so I wasn't able to see in real time, only in hindsight. Or maybe was noise/false signal. Thanks.

 

mtn,

 

interesting enough we see the samething. Market held with small contracts (1-20 contract sizes) then once the few sellers were absorbed market the buyers continued to buy to push the market up then a large buyer entered above the market to push the direction up. Thats where i made my 1 point today. Im sure you can see that. I thought i was the only one seeing this stuff. Tell me what you think.

 

strtedat22

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Sure wish i had this for swing trading :missy:

 

strtedat22

 

You can...you initiate and build long term positions as you track commercials building large positions themselves. For the last two days in my longer term accounts I have started to build up positions to play the SHORT side in the S&P500. Track the "supply & demand" of the commercials activities and you will have some excellent swing trading set-ups month after month.

Edited by FulcrumTrader

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You can...you initiate and build long term positions as you track commercials building large positions themselves. For the last two days in my longer term accounts I have started to build up positions to play the SHORT side in the S&P500. Track the "supply & demand" of the commercials activities and you will have some excellent swing trading set-ups month after month.

 

Fulcrum,

 

Thats easier said then done. Tracking supply and demand on a short term time frame (250 tick) is a little easier for me to scalp 3-4 ticks at a time. Please provide a example.

 

strtedat22

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Fulcrum,

 

Thats easier said then done. Tracking supply and demand on a short term time frame (250 tick) is a little easier for me to scalp 3-4 ticks at a time. Please provide a example.

 

strtedat22

Tracking supply and demand is done on both a micro level for intraday trade set-ups and on a macro scale when tracking zones of large resting inventory. Also, another key component of trade entry determination is watching for what I call order flow transitions. This is down to the very basic level of watching for the transitional shift in the bias of the order flow. When commercials initiate trades they create order flow transitions which can be clearly seen as the bias within the order flow suddenly shifts. This is great Cumulative Delta information to track when getting ready to initiate a trade, so that you join the new conviction and bias within the order flow. Scalpers need to join order flow momentum to be in proper short term alignment with the bias of the traded volume for higher probability trading.

 

Here is some examples of tracking an order flow transition for scalp trade entries.....

 

TL! Videos

Edited by FulcrumTrader

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Tracking supply and demand is done on both a micro level for intraday trade set-ups and on a macro scale when tracking zones of large resting inventory. Also, another key component of trade entry determination is watching for what I call order flow transitions. This is down to the very basic level of watching for the transitional shift in the bias of the order flow. When commercials initiate trades they create order flow transitions which can be clearly seen as the bias within the order flow suddenly shifts. This is great Cumulative Delta information to track when getting ready to initiate a trade, so that you join the new conviction and bias within the order flow. Scalpers need to join order flow momentum to be in proper short term alignment with the bias of the traded volume for higher probability trading.

 

Here is some examples of tracking an order flow transition for scalp trade entries..... TL! Videos

 

TL! Videos

 

FulcrumTrader,

 

Interesting, i like the video example. live is better than make believe. i dont like catching a falling knife nor calling tops so i look into the pullbacks during trending/sideway markets. All my entries/exits are based on tape. Locating commercial liquidity is a great way for me to find out early when the market will be changing directions or continuing. Im looking into adding swing trading into my arsenal. Thanks for providing me with your insight.

 

strtedat22

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Thanks Fulcrum Trader,

 

The video adds a lot of clarity to cumulative delta trading

Yes that is Cumulative Delta down to the most basic order flow tracking look. The videos of course do not show the macro use of Cumulative Delta which is the tracking of accumulated zones of resting inventory.....that is a whole separate subject.

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Yes that is Cumulative Delta down to the most basic order flow tracking look. The videos of course do not show the macro use of Cumulative Delta which is the tracking of accumulated zones of resting inventory.....that is a whole separate subject.

 

Fulcrumtrader,

 

the cumulative delta compliments my trading strategy. Trying to figure market direction was difficult when just reading tape all day. i uploaded deanz indicator on ninjatrader and put it to work at the open immediately. The indicator helped me locate commercial buyers and sellers. They have really big foot prints :rofl: i made one point off 10 contracts :cool:

 

strtedat22.

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Wow this indicator makes tape reading so easy.

 

strtedat22

Yes...Cumulative Delta is the realtime no lag order flow conviction watch, to see who controls the order flow at any moment. Someone once told me that watching Cumulative Delta was like high tech tape reading and I can agree with that to a point.

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Yes...Cumulative Delta is the realtime no lag order flow conviction watch, to see who controls the order flow at any moment. Someone once told me that watching Cumulative Delta was like high tech tape reading and I can agree with that to a point.

 

Fulcrumtrader,

 

ditto...

 

strtedat22

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HI FT, What constitutes an 'order flow transition' ? In the second example for instance I notice 3 green bars in the last down leg that did not result in a change in price direction in price or order flow. Put another way if watching those 3 events live it would look as if the order flow had changed (indeed it did) however the initial flow resumed. How much paper do you need to see to quantify it as a transition?

 

Cheers.

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Here is some examples of tracking an order flow transition for scalp trade entries.....

 

I love how "educators" never put any money on the line when they show something. At least this one does not hide that he is trading in a simulator...

 

HI FT, What constitutes an 'order flow transition' ? In the second example for instance I notice 3 green bars in the last down leg that did not result in a change in price direction in price or order flow. Put another way if watching those 3 events live it would look as if the order flow had changed (indeed it did) however the initial flow resumed. How much paper do you need to see to quantify it as a transition?

 

I think what he means by 'order flow transition' is those bars turning green after having been red for a while.

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Forgive me for being lazy. I haven't read this thread in months after discovering the OP's unprofessionalism and true colors.

 

Have any of you addressed the fact that there is no way to determine whether these trades you're so closely examining are open or close positions and how much is related to hedging?

 

Lastly, despite the fact this was presented as part of other Holy Grail indicators created by a consortium of genuises who operate in secrecy (how very Da Vinci codesque) no one has discussed whether he/she has become more profitable from this effort.

 

Profit? Who cares about profit?

Edited by ZOSO

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Forgive me for being lazy. I haven't read this thread in months after discovering the OP's unprofessionalism and true colors.

 

Have any of you addressed the fact that there is no way to determine whether these trades you're so closely examining are open or close positions and how much is related to hedging?

 

Lastly, despite the fact this was presented as part of other Holy Grail indicators created by a consortium of genuises who operate in secrecy (how very Da Vinci codesque) no one has discussed whether he/she has become more profitable from this effort.

 

Profit? Who cares about profit?

 

 

Isn't the premise of Market Delta that new positions are often opened via market orders while closing of positions is often done by using stop/limit orders ?

 

I wonder if this makes sense with regard to the behavior of the so called big/ smart money you always read about. I would assume that those participants would rather let the market come to them instead of chasing it by using "aggressive" market orders.

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I think what he means by 'order flow transition' is those bars turning green after having been red for a while.

 

Indeed, the question Is how much of a turn do you need to see to confirm a change in the force .....err I mean flow (old starwars habits die hard). :)

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