ES Journal Archive (2006 - 2008)

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Quote from xednise:
I think you are correct, it will be interesting to see if the volatility at the critical levels subsides slightly once the market quits getting jolted with news every ten minutes.
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From what the data shows, as more and more traders employ these automation tools, the noise in price movement may keep increasing, until those who use these BOTs realize that the BOTs are not helping them at all. :)
 
Quote from Lawrence Chan:

Using ES as an example, if there are 100 discretionary traders using BOT assisted order entry, think of the following scenario.

1/2 of them see a buy setup at a pull back price level and then place their limit orders there. All orders will be clustered within 1 to 1.5 point range. Most order entry BOTs have options to wait 3-5 seconds and also chase the offer if it is being lifted. Some traders will setup their chase method using market orders, while some will choose to chase up to 2-3 ticks.

All these are done automatically. Bracket orders (target, trailing and stops) are placed right after the entry orders are filled, also done by the BOTs.

Think what happens when the offer is hit by a block order?

All the parked orders waiting there will fire and zoom the price level up 3 to 4 ticks, as most traders' do not like to chase the price after that. That is what we see now at critical price levels all the time - a shoot up/down of 3 to 4 ticks and come back to the same level in seconds.

Now, when the most active stocks are all traded with these BOTs, that creates a new kind of problem. The cash S&P can lift or drop 2 points in seconds due to the use of these BOTs, and that can in turn triggers other auto algorithms - like arb program, buy/sell program, etc. Thus a small push at a critical level can result in extremely fast price movement.

Knowing that, it implies no stops are safe if placed within current noise level, making the risk/reward ratio for basic daytrade setups much less attractive.

I keep track of the average 15-min bar range in the regular session as my reference for stop placement. As of today, the average stands at 9 pts. It used to be 4 or less several months ago.
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Always good to know for discretionary traders where "critical price levels" are in order to disrupt ALGOS, isn´t it ? :D
 
After a review of the charts, I see no reason that I can see to get long or cover here. I may look soon to lower my stop from above 1410. The noise seems to be subsiding and perhaps the downtrend continuing.:)
 
there is a line on a 20 yr chart that we broke in feb and touched and reversed on, i think it is around 1375-80, with oil at or above $100, credit so tight that only a few can borrow,i think we could well be in a recession or bear mrkt for a while, i don't think we'll get above that line
 
Quote from ammo:

there is a line on a 20 yr chart that we broke in feb and touched and reversed on, i think it is around 1375-80, with oil at or above $100, credit so tight that only a few can borrow,i think we could well be in a recession or bear mrkt for a while, i don't think we'll get above that line
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thats aug 06 and july 07 lows ,line comes in at 1366
 
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