Let's Discuss/learn DOM and Time and Sales

[1a2b3cppp 10]

My current trading method is based on the market being random. I do not necessarily believe that the market actually is random, but despite years of study, I personally am unable to predict direction. I didn't start to become profitable until I accepted the fact that I cannot predict market direction.

 

That being said, the two things I haven't really ever understood are DOM and Time and Sales. I've seen a few people try to explain them but it was in such a vague manner (as you may expect from trading "gurus") that lacked specifics and was of no help.

 

I am creating this thread to provide a discussion for us to help each other as I try to learn to understand DOM and Time and Sales and how they may be able to help us make smart trading decisions. I will post screenshots of certain things and see if we can identify what they imply. I will try to post some videos, too, since the DOM and TaS move so fast it can be hard to get screenshots. Specifically, I am seeking to answer the following questions:

 

Time and Sales questions:

 

When you see huge influxes of orders coming in on TaS, what does that imply?

 

Does it matter if they are at the bid or ask?

 

What sort of TaS activity, if any, implies the start of a trend?

 

What sort of TaS activity, if any, implies price is going to keep going in the same direction?

 

What sort of TaS activity, if any, implies price has made a swing high/low and is going to reverse?

 

Is TaS activity significant anywhere or only at specific levels (such as prior S/R levels)?

 

DOM questions:

 

What sort of DOM activity, if any, implies the start of a trend?

 

What sort of DOM activity, if any, implies price is going to keep going in the same direction?

 

What sort of DOM activity, if any, implies price has made a swing high/low and is going to reverse?

 

Is DOM activity significant anywhere or only at specific levels (such as prior S/R levels)?

[1a2b3cppp 10]

The first time I saw a ton of orders all at once, price had been going up for a little bit and I thought "it'd be nice if this were a top" (resistance). Cuz supposedly all the big guys put all their orders at S and R places.

 

So I watched as the orders poured in and the TaS scrolled down pages at a time.

 

And price kept going up.

 

And up.

 

A bunch of orders filled at the bid. Price went up.

 

A bunch of orders filled at the ask. Price went up.

 

For example, at 12:33pm (CST) on the ES, a ton of orders came in. Here is a chart and some of the Time and Sales orders:

 

 

All those orders were filled at the bid. There were a bunch more orders a few seconds later that were filled at the ask:

 

 

After that there was another huge blast of orders filled at the bid at 12:33:45 but I'm not attaching an image for that one because you get the idea.

 

edit - weird, my attachments didn't show up. Maybe because this post had to be approved since I am a noob here. I've rehosted them so they should show up now.

Edited April 11, 2013 by 1a2b3cppp

[1a2b3cppp 10]

 

The ES is currently trading at 1553.75. There are 785 contracts waiting to be traded at this level. Why does price go away from this level before that 785 becomes a 0?

[1a2b3cppp 10]

The ES is currently trading at 1553.75. There are 785 contracts waiting to be traded at this level. Why does price go away from this level before that 785 becomes a 0?

 

Another example of this happening:

 

[TradeRunner 10]

Another example of this happening:

 

I don't use the information in the DOM and there are probably more knowledgeable people that should answer....

 

• There are two prices best offer and best bid 1583.25 and 1583 in this case
  
• The DOM only shows limit orders
  
• Limit orders (patient traders) do not move the price
  
• Market order (impatient traders) move the market are not shown on the DOM but their trades will appear in T&S
  

 

In you example there were more buy market orders and they chewed through the 454 limit orders so price moved up.

[1a2b3cppp 10]

Ok so I was watching the CL and the DOM on Friday. What is going on here:

 

 

How are trades occuring above the bid and the ask? If someone comes in with a market buy order doesn't it fill at the ask, and if someone comes in with a market sell doesn't it fill at the bid? How do you sell above the ask?

[1a2b3cppp 10]

So I notice that the ES barely gets unbalanced (sometimes it will be like 15,000:20,000 for a moment, usually closer to 18,000:20,000).

 

Some other instruments get big, 2:1 or more imbalances, such as gold and CL.

 

Their volume is also much lower. The CL might have 200-600 contracts on each side and gold like 50-150.