ES Journal Archive (2011)

[JoshDance]

Quote from cashcarewins:

As much as 'elitetrader'. Too much distraction to post trades manually, so I built it into my trading app.

I wrote a little indicator for NT that will read my log file and also posts my trades to twitter, but I don't have it turned on. It uses sendmail() to send to twittermail, which is all free.

 

[ammo]

josh,so if they sold 10 and bought 2,it would be 8,if the sold 10 and bought 9 it would be 1,so if that line is dropping,then buyers are increasing?

 

[cashcarewins]

Quote from Picaso:

DOM skew x1.5 (up)

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Nice, what's your trading app?

I wrote my own. It takes input from eSignal and my broker. Does a pretty good job of managing trades, OCO, trailing stops, entry strategies, etc.

 

[Picaso]

Quote from cashcarewins:

I wrote my own. It takes input from eSignal and my broker. Does a pretty good job of managing trades, OCO, trailing stops, entry strategies, etc.

Very impressed, hope it helps with your trading style.

 

[emg]

plan on going long 1265.75

 

[JoshDance]

Quote from ammo:

josh,so if they sold 10 and bought 2,it would be 8,if the sold 10 and bought 9 it would be 1,so if that line is dropping,then buyers are increasing?

Opposite -- 10 contracts sold as market orders (transacted at the bid) and then 2 contracts bought at the market (offer) would be -8 delta. So the line going down means sellers selling at the market. In this case price didn't move much, so this implies the bids are holding despite heavy selling.

Some people incorrectly (IMO) use this as a substitute for open interest, but the calculation makes it invalid for that purpose. If I sell and fill your bid, delta is -1. Then if you turn around and sell the same contract to me, and fill my bid, delta is -2, yet we are both flat after these 2 transactions. So I only use it on smaller time frames to look at immediate order flow, not long term as some people do.

 

[Picaso]

Quote from emg:

plan on going long 1265.75

Thank goodness, I was starting to think sideways...

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Ammo, I think delta is the other way around:

Sold 10, bought 2 --> -8 (minus eight)

Josh, do you filter for size or is that all transactions? Thank you

 

[JoshDance]

I also have per bar delta on my 1m and 5m charts overlaid on volume. Helps to see how buyers right now were not able to lift offer--down bar, heavy net buying (see last two bars)

http://screencast.com/t/paKsqsrbLFx

 

[cashcarewins]

Quote from ammo:

josh,so if they sold 10 and bought 2,it would be 8,if the sold 10 and bought 9 it would be 1,so if that line is dropping,then buyers are increasing?

I keep track of that in the app I posted, bottom center under 'Strength'. I can reset that by pushing the 'Strength' button. If I'm bullish, I like seeing it negative as it indicates potential future buying pressure, especially on the close.

 

[ammo]

thanks to both