CL Redux

Quote from riskaddict:

Here we go I think finally breaking down still just looking for 105.20
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Big support to overcome @ .55 first. For that matter big support to overcome every time it dips .10 :p
 
It's amazing to see all these 1-lot trades flying through at very high speeds. It looks like most of these are coming from firms that do high frequency trading. I can't imagine all of them making money through this though. It's like a software and hardware war out there. I hear that firms offer bonuses to programmers if they can shave of 'microseconds' from their codes!

The CL market depth pretty much spins my head. Obviously there is usable data there if you can analyze it fast enough.

Here is some high frequency arbitrage action :

http://www.nanex.net/StrangeDays/07072011.html

Note the $0.50 down/up move within 2 seconds! I think the charts with colored 'bands' are market depth charts.
 
Quote from chinook:



The CL market depth pretty much spins my head. Obviously there is usable data there if you can analyze it fast enough.
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I don't even bother looking at it anymore. If you want to trade off p/a trade coffee I'm not going to say it's easy but well... its pretty easy. You can plainly see buyers falling over each other to get in and sellers trampling each other to get out. You can chum like crazy to test a price and it is always very telling.
 
Quote from riskaddict:

I don't even bother looking at it anymore. If you want to trade off p/a trade coffee I'm not going to say it's easy but well... its pretty easy. You can plainly see buyers falling over each other to get in and sellers trampling each other to get out. You can chum like crazy to test a price and it is always very telling.
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With CL, I think most of the volume is coming from the high frequency side and mostly 1 lots. I agree that eyeballing the market depth is not going to be that helpful.
 
Quote from riskaddict:

I don't even bother looking at it anymore. If you want to trade off p/a trade coffee I'm not going to say it's easy but well... its pretty easy. You can plainly see buyers falling over each other to get in and sellers trampling each other to get out. You can chum like crazy to test a price and it is always very telling.
More...

Here's an example of what trading coffee can do to you:

http://en.wikipedia.org/wiki/File:Caffeinated_spiderwebs_modified.jpg
 
Quote from chinook:

With CL, I think most of the volume is coming from the high frequency side and mostly 1 lots. I agree that eyeballing the market depth is not going to be that helpful.
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Chinook, I've tried my darndest to figure out if there's any meaning to the market depth on CL and can't find many patterns. One pattern that appears to have a high probability of success is when you see considerable size (100-500 lots) parked at a price level. Price has a tendency to gravitate toward that size and breaks through it more often than not whether it's a spoof order (disappears at the last second) or not (the entire size gets eaten up at that price). Only rarely does price simply stop there and reverse. ADD: Usually when it does, it's near a major high/low.
 
Up from my nap. :) Little CL has a mind of her own. When DX is selling off and the indices are rallying and CL is just sitting there or pulling back, that's not a bullish sign. But maybe she's waiting to make her run to 107. Kidding. I did think when I got up from my nap it would be above 107. Losing steam maybe. Stay tuned.
 
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