ES Journal Archive (2011)
- Thread starter Buy1Sell2
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Not to make waves but as a point Steidlmayer's comeback and advance on his CME contract was his work in bid/ask spread ratios in the first and last hour of trading. Of course he has CME numbers, and every number at that, but even with 3 party vendors bias is replicable and reliable.
A 4:1 on the table certainly is telling. Stasis and stops confused with asks to enter and you want the lowest or highest print on the chop to tell you when pikers are broke enough. And that's usually never. Shirts and whores and all that.
A 4:1 on the table certainly is telling. Stasis and stops confused with asks to enter and you want the lowest or highest print on the chop to tell you when pikers are broke enough. And that's usually never. Shirts and whores and all that.
10-26-11 08:00 AM
10-25-11 07:25 AM
10-21-11 09:32 AM
10-19-11 10:04 AM
10-12-11 08:03 AM
10-10-11 09:14 AM
--Long full position at 1179.00. Initial stop is 1123.00
--stop remains the same this morning. Current price is 1200.25 (10/12/2011)
--protective sell stop raised to 1174.50 Current price is 1222.00 (10/19/2011)
--sell stop raised to 1179.50. Current price is 1232.00 (10/21/11)
--sell stop raised to 1202.00. Current price is 1249.25 (10/25/11). Full position remains on.
--sell stop remains the same today at 1202.00. Current price is 1236.00(10/26/11)
--sell stop raised to 1218.75. Current price is 1269.25. (10/27/11)
10-25-11 07:25 AM
10-21-11 09:32 AM
10-19-11 10:04 AM
10-12-11 08:03 AM
10-10-11 09:14 AM
--Long full position at 1179.00. Initial stop is 1123.00
--stop remains the same this morning. Current price is 1200.25 (10/12/2011)
--protective sell stop raised to 1174.50 Current price is 1222.00 (10/19/2011)
--sell stop raised to 1179.50. Current price is 1232.00 (10/21/11)
--sell stop raised to 1202.00. Current price is 1249.25 (10/25/11). Full position remains on.
--sell stop remains the same today at 1202.00. Current price is 1236.00(10/26/11)
--sell stop raised to 1218.75. Current price is 1269.25. (10/27/11)
Agreed, but price is already telling us the direction: up--you know it can't go vertical forever, but why bet on where with this kind of picture:
http://screencast.com/t/gYhTjAbj78
For a short I will have to wait until something is very compelling, haven't seen it yet.
First of all, cashcarewins has a point and DOM skew is the last (and optional) piece in the way I see the market puzzle.
Small differences in the bid and ask size are, in my view, meaningless (as with, for instance, small differences in up and down volume, or +/- 400 TICK readings). However, huge differences rock the boat.
What you say makes perfect sense - I thought the same at the beginning, but what happens is that size attracts price. So when you have a huge difference, you will see that in the ultra-short term price moves that way more often than not. That does not mean that the market will keep moving in that direction, though, since those movements tend to be algo-driven. You may also notice that you have higher volume at typically the same places as where stops tend to congregate, which also attracts stop-hunters.
One caveat: you normally will see these imbalances at suboptimal entry points, so I think it's better to use the skew to either add to a position or give your stop some room (or to wait a bit for the DOM to become balanced if you're looking to short/trade in the opposite direction), or to enter with an ultra-tight stop, rather than to enter new positions.
Edit: another caveat, this is the reason why the newbie move of placing a stop behind a large order or cluster of orders (for "protection") is not such a great idea and it usually results into being stopped to the tick.
When you see that skew, think like a bot.
At the very least bears will attempt a point for point all stops out island reversal to trap as many trend followers for a bust or break. Either way, if the open isn't the HOD I'll be surprised.
That's what I see.
That's what I see.
Hey, Josh? I'm not saying you're not in the zone most of the time, but, blowup doll or a live one. We're traders here, and the zone isn't trademarked.
Up almost 100 handles...and counting.Nice work!
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