I have 'no' secrets but what do you mean with second and third chart? I have made the chart to see the divergency. What would you like to see with second and third chart?
Any good Order Flow Trading Strategy book suggestion?
- Thread starter GloriaBrown
- Start date
I mean can I see these data in Interactive Broker interface?
The only time I use the DOM is for shadowing the stop gunners. The DOM provides some good clues when stop picking has been exhausted - there is a small time frame to hop on board because the gunners will often use aggressive orders to create a parabolic reversal.
Retail traders/investors are very predictable as to where they will place their stops and the stop gunners and with enough experience it gets somewhat predictable as to when they are likely to go after the stops.
The DOM is a bit of a mirage. Large traders conceal their orders and HFT/Algo servers at the exchange exploit their latency edge - they send/cancel orders at blistering speeds and jump the book queue. They use herding, layering, spoofing, etc to dominate the bid-ask spread.
In this HFT/Algo era you need a longer holding time frame and a lower trading frequency unless you get your orders filled for about 20 cents and have access into a colo.
% of HFT trading on various instruments
Retail traders/investors are very predictable as to where they will place their stops and the stop gunners and with enough experience it gets somewhat predictable as to when they are likely to go after the stops.
The DOM is a bit of a mirage. Large traders conceal their orders and HFT/Algo servers at the exchange exploit their latency edge - they send/cancel orders at blistering speeds and jump the book queue. They use herding, layering, spoofing, etc to dominate the bid-ask spread.
In this HFT/Algo era you need a longer holding time frame and a lower trading frequency unless you get your orders filled for about 20 cents and have access into a colo.
% of HFT trading on various instruments
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I'm surprised by this because anytime I use the live feed from IB, its not possible to use their data for studies that involve BID/ASK volume. Its simply gibberish, and they state so as well. When I reload my charts, through the data feed that Sierra uses, its accurate, but not in real time, unless you are paying Sierra for their realtime data.
I have tested this myself, going back and forth between IB data and Sierra Charts data, and the differences are obvious. When I researched the possibility of using Cumulative Delta this drawback became apparent, but in the end I realized there was limited value in this anyway, so I stuck with the IB data, and the option to get accurate 5 second intervals. The DOM is fairly accurate, although it doesn't seem to update as quickly, but this also wasn't a real issue either.
As a follow up to my post, I dug up my charts from my research. The only difference between these 2 charts is that the first used IB data feed, and 2nd chart is reloaded EOD. (When you reload, you have accurate data that is 10 minutes delayed)
When looking at the bottom indicator, cumulative delta, its pretty obvious how its useless using IB data.
When looking at the bottom indicator, cumulative delta, its pretty obvious how its useless using IB data.
just consider that if order flow gave even a consistent 51/49 advantage then a retail trader who simply followed this would turn a small account into billions in a few years.
But I do agree it is a good ploy to bring more noobs into the market - I do need their money.
So overall I guess the people who sell this stuff are doing real traders a favor.
But I do agree it is a good ploy to bring more noobs into the market - I do need their money.
So overall I guess the people who sell this stuff are doing real traders a favor.
I believe time and sales side is pretty useless. However the Dome is another story and not useless at all, and took me like 5th year of watching it to figure it out very useful patterns, but it is not like on a chart and as danielc1 posted of "4 you can 'see' four different scenario's" is the problem of traders of trying to "see" and be able to use. What I discovered, vendors do not make what I found as they never found it. And if too many had it, it would end.
As far as what you can see, if I am wanting to put a sell limit ie. 2680.00 and I see bid volume at two thirds less than ask volume and it building on ask side up 3 levels, I will cancel my sell limit and can always hit the bid side if wrong, but at least twice a day scalping wise I will cancel the signal cause market changed trend or if trend not change, I can get in at few ticks higher. But I am not trying to trade both side as am very system oriented with defined signals. Few times an hour you will notice inverse volume on the Dome where four levels has more volume than nearby and often this is a magnet, so again I will either pull my orders and wait or if in trade, pull limits to exit and make more ticks.
What I find much more interesting lately is how huge traders and HFTs can push the market a few ticks, like almost all doing the same thing together at same time, their entire aim is to take advantage of weak financial traders I believe, but it has actually been going on for decades, humans have great fear of losing, so fears are challenged much more than most think of when markets waffling around previous pivots only to return and go beyond highest low little bit in downtrend. So say there a trend line and traders jumping onboard of breakout, it goes down a bit, and they move stop to breakeven or risk couple ticks and on next bar BAMM, orders filled at breakeven or losses, this where I see order flow get heavier and I will jump onboard to sell. Happens several times a day, can make pretty good living just waiting for this to happen, but one does have to have good chart reading skills on knowing when you in a trade and it not working out and then market is going your way to give you an opportunity to get out and not look for big gains. You not only have to be disciplined on waiting for your signals but be able to get out cause you reading the price action to just take a tick or too much time has passed and get out at entry price. Really good signals allow one to get in and price never comes back.