ES Journal Archive (2011)

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Quote from Laissez Faire:

If one got the urge to gamble and be in on the action, I think the simulator is an even better alternative as already suggested by bigsnack. :)
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I know, but it is not as fun.
 
Quote from Laissez Faire:

And that is what the NYSE TICK attempts to track.

Am I right? :p

It is not dependent on the type of orders, but whether the aggregate sum of buyers and sellers are willing to lift the offer or hit the bid at any given time. Obviously, it does not matter whether market orders or limit orders are being used.
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Basically, yes -- NYSE TICK and delta are, from my recollection of seeing side-by-side examples, often similar; though TICK is a snapshot of upticks and downticks and therefore oscillates, whereas delta can be summed and therefore is not oscillatory in nature. Uptick and downtick can be used to measure delta, or actual traded volume. So, they measure different things, BUT are often quite similar.

As only market orders can actually cause a transaction in the market, then what matters is, as you say, whether the market orders, the buying or selling "pressure," are plentiful enough to move price. Limits can be used to buy or sell at the market, but these limits become what are called marketable limit orders, and function as market orders (for example, if you place a buy limit at the inside offer, then YOU become the aggressor and initiate the transaction, and thus this has the same function as if you clicked the "buy" button to buy at the market).
 
Quote from JoshDance:

Market orders, or contracts? Of course volume will give you contracts. Unfortunately with ES we have no way of knowing how many actual market orders are executed due to how CME reports transactions, but we know it's at least the number of ticks over a given range. More helpful to me than transactions is the volume itself, due to the plethora of tricks that can be played to split orders, for example.

Most software platforms these days have some sort of delta indicator. Investor R/T and Market Delta are very popular. NinjaTrader has its own "BuySellPressure" indicator built in though it only works in real-time, not historical data. I think MultiCharts now has delta as well.

For every transaction you see executed, it is reported as being transacted at the bid, in which case the volume for that transaction is subtracted from the net delta as a market sell was matched to a bid, or at the offer, in which case the volume for that transaction is added to the net delta, as it was a market buy order matched to an offer. This will tell you how many contracts were executed at the offer versus the bid over some period of time.

I'm trying to use self-control to be polite to you; please, refrain from being rude in your comments to me. Thank you.
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So, after all this, what you meant to say was that there were more contracts being executed at the offer than the bid.

FYI, when you call a perfect stranger "my friend" it usually indicates a disdain for that person.
 
ES 4 round trips today, lost 1.25 points + commissions. Done for the day.

Initially traded euro when the big runup happened. so made some dough there.
 
Quote from JoshDance:

will buy 63.25 and monitor closely, first sign of sell i'm out
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out 62.50, -3 ticks ... thought they would push it up when it broke 63.50, but not this go around :(
 
Quote from trendy:

So, after all this, what you meant to say was that there were more contracts being executed at the offer than the bid.
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That's what I meant when I said "net buying" -- it has a nicer ring than "more contracts being executed at the offer than the bid."
 
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