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Yes, data providers are light years behind the evolution. But it's mostly due to the fact that 99% of their customers don't care or don't know how to use it. Not sure if it matters, but probably in 99% of the cases you can infer from the quote data who the aggressor was. I would like to know...

I am not sure you are really asking the question. I wish nothing more for you than for this to be a true strategy that will make you rich. But think about it. Assuming you believe your backtest on ES for example is to be expected to continue to perform as shown above, then you should be making...

I am sorry, those results are not realistic. Really, you can make almost 8 ticks per trade net alpha on ES 4 times a day on average? With average time in trade being about 10 mins? Most likely there is some forward looking element in your testing. Take a few day's worth of signals and examine...

Vit, I only looked at your first attachment. You are claiming about 17 ticks profit (on 2 contracts I assume), that's almost 8 ticks per trade net alpha with an average of more than 6 trades per day. So essentially you are saying you can capture net alpha of 50 ticks per day on CL in an...

You are essentially saying that you can estimate where stops are concentrated and what it would take (i.e. how much liquidity) to move the market for them to trigger. It's not surprising that a sophisticated entity (individual?) might have a pretty good idea (i.e. hard-core stats) on that issue...

I am quite skeptical when someone says something can't be done. It mostly means I/we can't do it but others might be able to. It's definitely not easy but academic researchers are not motivated enough to tackle this from a practical point of view. Yes, fading all large orders with some...

Didn't CME change this rule and now informs everybody of the fill at the same time? Could anyone chime in on this? Absolutely agree, although not sure what the answer to your quiz question would be. Clearly, depending on how much time they have to execute may decide whether or not your would...

I like to dig in tick-data... and all I can tell you is that there already is one 'market making' operation that does this all day long on most all liquid US futures I looked at. It is quite unlikely that you will beat them at that game-doesn't however mean that slowed-down variations of that...

If I understand it correctly, you enter a LONG on identifying a large sell order. Please correct me if I am wrong here. That would correspond with a rather general observation that there is 'price to be paid for liquidity'-i.e., a large sell order that didn't consume all the available liquidity...

That looks interesting, the problem is that the lead time is likely dynamic, do you use other tools to decide when to pull the trigger?

A 100 lot is going to consume 4-5 levels of the book in many cases. Absolutely not tradable the way you describe save for the most liquid times (here I am talking CL).

Or it was him doing the buying??? Who knows, I guess it could be either him or once he encounters an opposition large enough he bails. Not sure if it's detectable to distinguish the two.

Here comes tick surveilence... the highest volume of that event was at 62.28, 106 contracts filled at the bid-3 ticks from the low. Pretty crazy.

Yesterday around 8:44am CST minute CLF5, a 15 tick drop in about 3 seconds 'out of nowhere' (with volume signature as described by OP). I can see how if one could get good at identifying this, there is money to be made. The hardest part is to distinguish those that are indeed 'out of nowhere' as...

I guess with sufficient intelligence CME could track this down (would they want to?). However, wouldn't you say that it could be a task requiring resources that match the ingenuity of those perpetrating this. I would imagine that this can be setup in a myriad of ways with many many accounts...

This one is a real beauty. On my one second chart(!), it doesn't even show the blip. What is crazy here, is that this mini-move filled an 83 contract iceberg (iceberg on the bid) at 3.760. It only took about 30 contracts to move the price down 6 ticks to 3.760 area where 137 contracts filled-of...

It's unfortunate if my remarks unsettle you that much. I stand by my statements about that signature being typical for many continuation moves as well as reversals (that, too, unfortunately-if every move with this signature could be faded I would be a billionaire by now). Still find your...

Looked at two of your examples using volume at price. It appears that most volume tends to be concentrated at the peak of the move with 'path' leading to it being mostly low volume. However, I have to warn everybody that this 'signature' is typical for many moves, not necessarily just those...

Let's assume then that all liquidity in CL/NG etc. can be decomposed into machine's liquidity and everyone elses. Would you say these machines do their 'runs' mostly in a direction where their estimate of 'everyone elses liquidity' shows that it's small(er) than its own? Based on your Nov 20th...

Although in this particular example (NGF5 contract), in HINDSIGHT, it would have been a good buy-at least as we speak now. How can you be so sure it's 'the machine'? I understand that informed traders looking to buy will likely try to accumulate more stealthily than with a bunch of market...