Bid Size and Ask Size...tradable?
- Thread starter matador04
- Start date
With Orwell, Einstein and Leonardo in mind, please see attached.
I'm sure you are correct. The quotes you cited focussed on some other stuff as well. what I grasped from their quotes, I stated as a prologue.
Orwell: transparency,
Einstein and Leonardo: Science.
My guided tour for adding DOM to the tool kit to trade was only 11,000 characters and spaces. Many typos included.
I introduced the parts in a serial manner and, then finally, arrived at a fully integrated tool kit for extracting the market's offer.
I didn't want to deny you anything but Orwell, Einstein and Leonardo are explaining to you that you do have to gather together the ingredients and then put the pieces together. You are already down to just two tasks and your bitching about your attention span.
The DOM is one of those terrific places where a person can watch a day's trading play out just as he has written it would prior to the market's open. What is especially nice is that it leads the market.
Imagine a programmer coding into a trading strategy the DOM signals as gates or filters for other data. He might even make a list of the signals before he added them to his code.
I felt that listing all the pieces and then putting the pieces together to show the loop the pieces form was informative. I had not seen that done anywhere before. The loop has four walls and spaces between them. It is a circle of nodes and links, four each.
In a trip around the loop you come to nodes for: pt 1, BO of RTL, pt2, pt 3 and return to pt 1.
The links are all named: profit segment; there are three: two dominat and one non dominant.
See I can't write or make a picture that can be followed.
The loop has markers on it that could be a compass or a watch. Put pt 1 at the top, pt 2 at the bottom, point 3 at the West or 9 o'clock. The quiz is to put in the other node.
Making money is a trade from pt 1 to point 2 going dominant. Trade non dominant from point 2 to point 3. Return to the top with a dominant trade.
3 o'clock is where the wall disappears, all other places it does not.
So a person buys a nail, hourhand equivalent and square of plywood and a sharpie. Nail the hour hand equivalent to the center of the square and label the corners of the square "wall" and name the walls the four nodes.
We write along lines from the center to the "walls" two words and use them alternatively. At 12 and 6 write "peak". Along the other two lines write trough.
A trade moves the hourhand equivalent ALL the way around the square starting at pt 1. Pt 1 is inside a parallelogram formed of a RTL and LTL (market's have a horizontal orientation).
The path of price from point 1 to point 2 is clockwise and rotates through the wall labled "BO of RTL" (it is at the quiz location 3 o'clock" You notice a line labelled "trough" as well.
We rotate to pt 2 and take a profit that was earned in going from pt 1 to pt 2. A dominant trending price move.
So the color of the first 180 degrees on the square is dominant color. Color in the fourth quadrant the same color. Fill in the third quadrant the opposite non dominant color.
So the second trade is non dominant and goes from wall to wall and is a pt 2 to pt 3 trade and goes from a peak to a trough as put on the square with the sharpie.
The trend is completed by going forward (clockwise) to pt 1 the original starting place using a dominant trade.
We have four triangles representing the quadrants. They get labelled with the sharpie with two words. Both are first derivatives; one is increasing and the other is decreasing. Fill in the first and third quadrants with decreasing. Use the other word in the other quadrants. These words describe the volume as you spin the hour hand equivalent around in a clockwise direction.
For trading longs shine a green flashlight on the square. This will make dominant trades one color that is green feeling for price movement. In parenthesis inside of increasing write "right to left". inside of decreasing write "left to right". These comments describe price direction with respect to prices parallelogram container.
If you want to see fun and people trading with a neutral bias give these gizmos and a Wall Street Journal subscription to each fifth grader in a prep school class. It doesn't work in public school since the parents can't afford to buy stocks or commodities. The kids tell their parents how to position trade stocks. If the parents have ADD then the child gets a cell phone and a real time display of the ES. The hour hand spins around the square several times a day for the ES. The child looks at the walls.
In goldilocks and the three bears there were different size porridge bowls as clearly communicated by Orwell's protogege who wrote the script for the movie, later turned into a book for library stocking. This was the proof, well known, of "one size fits all" doesn't work for chicks and bears.
If you are a big dick trader then add a hysterisis motor and a friction drag to moderate it.
Three bears are needed for trading. A papa, mama and baby all four letter words. So get two more plywood squares. One larger and one smaller. The larger one is the slower fractal outside of the WALL fractal. You use one lap on the WALL fractal to go from one pt to the next pt on the slow fractal PAPA fractal. MAMA is the one first built and used on the ES DOM. BABY is used on the YM chart and NOT on the YM DOM. Here you cheat by annotating the pt 1, pt 2 and pt 3 on the YM actual real display chart. The BO of the RTL on YM is automatically shown. Move the hand on the baby square approporiately. One lpa to go from point to point on the ES MAMA square.
By having three squares a day you can satisfy your hunger for money. the two flashlights can be used on all of the squares. Sometimes they are the same and other times they are applied differently.
Parker sells these already made. The Hershey Bears Hockey team is named after the three squares as are the meals of the day in modern times. Porridge was the first square long ago and that is why Orwell made his protogege start with porridge instead of a Whopper. Whopper is Italian for what Italians eat and it is an extension of their generic nickname. It is not well known but whoppers started in an Italian neighborhood where there were a lot of blondes a few of which were into gold digging.
Paul Harvey has researched everythintg posted here and says: "and now you know the end of the story".
Lets see how many people can get their three squares done. We can auction them on Ebay to solve local problems.
I see your question pertains more to futures, but i definately think it pays to pay attention to size somewhat, i will often short 1-2k shares infront of a big level against the trend if i see volume dying out, it is an easy way to place a trade with alot of potential for very little downside, simply get out if it breaks the level, i have often placed trades where you only really have 1-5 ticks of potential loss just for the simlpe fact that i know i can get out if need be with a relatively small loss, if the size holds, and your trade works you are looking at 30-40 cents with 2-5 cent risk. That knid of Ruisk reward is what i look for as a trader, although for the most part i dont find it through bid/ask size, it is just another tool i use though.
Obviuosly i dont use this as my only instrument though, and if you do it into increasing volume you are dead in the water. You got to pick your spots. Also it greatly increases the chance that the size is real if it is on certain levels, lets say a stock was bid 200 shares at 39.98 and offer 20k shares at 40, odds are better that the 20k shares are real at 40 dollars even than if they had been offered at 39.63
SWD* up date
I reposted my description of integrating the DOM into trading strategies.
It was so short I added some humor, some historical research and a voc tech section. The voc tech stuff will make great children's presents.
All the extras can be redacted using a black magic marker. Never limit yourself to the use of black magic (See Treasury and FOMC and Comptroller of the Currency).
Trading is not too serious a business; those who imply it is are in need of some voc tech.
We used a one inch green cube once to stop a nuclear power plant. It was called "stop the pump". Paul Harvey covered the story.
The time has come to use three squares to PEP. And you have to put walls in corners to do it.
* Square Wall Detector (jprad for short)
I will detail out the fabrication of plywood later. Get some white glue and eggnog.
I reposted my description of integrating the DOM into trading strategies.
It was so short I added some humor, some historical research and a voc tech section. The voc tech stuff will make great children's presents.
All the extras can be redacted using a black magic marker. Never limit yourself to the use of black magic (See Treasury and FOMC and Comptroller of the Currency).
Trading is not too serious a business; those who imply it is are in need of some voc tech.
We used a one inch green cube once to stop a nuclear power plant. It was called "stop the pump". Paul Harvey covered the story.
The time has come to use three squares to PEP. And you have to put walls in corners to do it.
* Square Wall Detector (jprad for short)
I will detail out the fabrication of plywood later. Get some white glue and eggnog.
What exactly moves the market bid/ask price for an instrument?
When you data log: bid,bid size,ask,ask size,last trade,volume and last trade time you will see 100's of contiguous bid/ask price changes without any new trades or additional volume being reported.
This is especially the case with the forward month futures and thinner instruments ie. emicro's.
When you data log: bid,bid size,ask,ask size,last trade,volume and last trade time you will see 100's of contiguous bid/ask price changes without any new trades or additional volume being reported.
This is especially the case with the forward month futures and thinner instruments ie. emicro's.
Live market trading is an auction based process.
Volume is driven towards areas of interest. As previously defined in this thread, "walls" of volume are generally touched because of trading interest.
There are a couple institutional-level forensic trading broadcasts that follow orderflow on a tick-to-tick basis. If you've the opportunity to visit a real trading room (UBS, for example) then ask about how they track electronic order flow. It's amazing how "right" the large order flow is.
This also explains why most of the screenshots that you'll find on the internet of these trading rooms show only order-entry screens as opposed to hundreds of charts. It's because of their understanding of order flow and its implications to the immediate trade.
Volume is driven towards areas of interest. As previously defined in this thread, "walls" of volume are generally touched because of trading interest.
There are a couple institutional-level forensic trading broadcasts that follow orderflow on a tick-to-tick basis. If you've the opportunity to visit a real trading room (UBS, for example) then ask about how they track electronic order flow. It's amazing how "right" the large order flow is.
This also explains why most of the screenshots that you'll find on the internet of these trading rooms show only order-entry screens as opposed to hundreds of charts. It's because of their understanding of order flow and its implications to the immediate trade.