how to read order book charts and time& sales as a system?

[Specterx]

Im noticing this on one second timeframe
I use one minute and 5 minute frame and then have another chart lined up next to time and sales and order book for that exact purpose of getting the feel for how they move.
And thats why i came here to ask the question because how they relate to eachother doesnt make sense to me. So i asked for more technical info. And all im getting so far is.
"We had to spend 1000 hours because there was no help available but we not gonna share any useful info with anyone because now we are bitter about not getting any help so we gonna pass on this toxic mindset to the new generation of traders"

So we created a forum to help other traders and share information but all we really doing is telling everyone to struggle like we did and not share any of our knowlege.
So basically yall created a useless forum to make yourself feel better while barely providing any help at all.

Speaking for myself, on the one hand I'll be damned if I'm going to share specific signaling methods and market edges that I've had to dig up myself over 17 years grappling with other traders in the marketplace, and that I consider proprietary. These edges are how I feed my kids.

On the other hand, I'm happy to discuss higher-level stuff as regards the philosophy of trading, risk management, or shoot the shit over current market setups/action.

As to your specific OP question... if you're screwing around with manual point-and-click trading based on what you see in the order books and T&S, you're barking up the wrong tree. 20+ years ago there were edges which could be manually exploited/executed based on stale orders, bid/ask walls, cross-exchange arb and the like; in 2024 all that is the realm of computers, and institutions go to some length to obfuscate/disguise large orders precisely to avoid being front-run.

You either need to move to a longer timeframe and escape the noise generated by HFT kicking a few shares back and forth, and/or attempt to extract signals from order books and T&S (perhaps in combo with other sensors) via automated means.

 

[Bad_Badness]

Thanks thats basically what im looking for technical information.
I will have to read it another 10 times to understand but it seems luke what i was asking about.

Webull added one second intervals recently so i set it up in a separate monitor to watch how "live market" moves to try to better understand how the bars are formed and try to understand what traders are doing during that.
This is stocks i dont trade anything else yet just learning basic stock trading for now

Now that your thread has some traction....

What Sprout said about the obfuscation factor is so true. Not only does one design the Algo to produce orders that hide intention, they also create false positives. Think of what you see as waves on the water of Puget sound, but the real influence are the tides and currents. Remember the large players are competing against each other. Harvesting the retail positions is a side gig.

Also what Specter says about being 20+ years late. That is probably being generous on the time line. I have posted this before, but most people still have a trading mindset based on 1960s*. Back then you wrote a ticket describing your order, then it literally ran to the "board" and then to the exchange. This paradigm is outdated in several ways. Probably the most significant are: One can create-manipulate orders at will and at computer speeds, no realtime human interaction needed. Second, once you accept the this, you realize there are literally millions of possible order entry and exits. All are valid, but for short term trading (retail "scalping"), it is a serious challenge to select the right ones over and over.

As for books, I would read over some of the older ones from the 90's when there was still a live pit at the CME. That sets the stage for computerization of trading. Sure they used them for the exchange and larger firms, but since then they became widely available, AND you have people who can design the software. But you can see what types of problems (read make more $$) they were trying so resolve. They have been at "War" for 3 decades now with a computational arms race.

Where does that leave you? 1) learn the history of the markets so you have context and get a bigger picture. 2) learn to script your trades.

IMO, this is the golden age for retail traders and computerization. What most people are doing is simply cannon fodder. But now you can actually generate reliably automated orders hands free. It takes REAL software design skills, AND REAL trading skills. Most retail trades don't have both

Best of luck.

* Remember a lot of retail software is designed to create the illusion of possible gains. Just like the modern slot machine will pause momentarily at 4 cherries then flip to only 2 at the last 1/2 second. The goal is to create churn and comms. RobinHood exploited this well. A lot of the "features" are either repackaged old stuff, or flash on useless stuff. IMO DOM meets this category.

 

[Laissez Faire]

What instruments are you trading, @mute9003?

I can only echo what Specterx said. I question if there's any value to be found by reading T&S, DOM, orderflow on most instruments for a retail trader in this day and age. Especially for index futures.

Now, I'm not saying it can't be done, but I'm suggesting it's questionable and most likely a dead end.

There's a guy named John Grady who 'teaches' 'order flow'. I bought it many years back now. I didn't find much there that I couldn't have learned elsewhere and I wasn't really impressed by the methodology.

Maybe there are other courses that can be good, but remember, any time you're buying a course you're feeding that guys family. Order flow have been a buzz word over the past few years and the vendors have no doubt made more money than their clients.

 

[wxytrader]

Most importantly, if you want intelligent replies, you need to also ask in an intelligent manner. So far, your questions are all over the map without any details.

That sounds a lot like stack overflow. If someone knew how to ask the question intelligently then they probably wouldn't need to ask the question in the first place.

To the OP imo don't waste your time with time and sales or level 2... there are hidden orders so you are not getting the whole picture anyway...I mean maybe scalping on the 1 minute chart where you can see a large sell order and want to scalp a long but the sells need to clear first...see youtube.

But say a market maker takes a short to hedge some calls they bought. Level 2 will show the call buys but no clue about the short or why price never moved on the chart. What would be useful is knowing the short positions, amounts, and at what price levels.

NAV made millions watching the order flow but he was spoofing lol.
https://www.bbc.com/news/explainers-51265169

 

[2rosy]

physically staring at charts and numbers flying by will get you no where

 

[murray t turtle]

i cant seem to find a good explanation about the mechanics of those 3 working as s system for a trader to work with

like what should i be looking at when looking at those 3 and what does it mean when certain events happen
basically im trying to understand what traders are doing while im looking at those.
(im observing an effect but dont understand the cause most of the time)

for example when chart is moving sideways the order book has a massive green wall but all the orders are coming through red with no green.

or when orders are coming through green with no red but the chart price is moving downward...
just two examples i can think of. im sure there is more

%%
I skip the time & sales after I have read it bunch\skip that;
but i dont skip the investors & traders charts, many time frames .IF you make more with TQQQ-SQQQ-QLD-qqq than NVDA , for God's sake dont trade NVDA@ all.
777]Sorry I cancel some order$, but some do much more canceling.
888]YOUR colors dont make sense to me but i'm seldom able to read another charts, so that'$ OK;
i use a green 200period ma/blue or black 50dma\red candle or red bar for doWn day.......
999] Mistakes happen\ i found a huge big old copper rod in the woods once\ sorry + strange it was actually green iron\ never saw that before or since, less money than copper
Dont see how any could observe all 3 for much profit ;
2= enough, with many charts , wisdom is profitable to direct.
IBD books + Jack Schwagers books help...............................

 

[Sprout]

i cant seem to find a good explanation about the mechanics of those 3 working as s system for a trader to work with

like what should i be looking at when looking at those 3 and what does it mean when certain events happen
basically im trying to understand what traders are doing while im looking at those.
(im observing an effect but dont understand the cause most of the time)

for example when chart is moving sideways the order book has a massive green wall but all the orders are coming through red with no green.

or when orders are coming through green with no red but the chart price is moving downward...
just two examples i can think of. im sure there is more

Depends on the instrument but as a general guideline.

If your platform supports adding additional windows for your T&S feeds;
1) set one filter to sub 5
2) set one filter to 5-20
3) set one filter to 20+

The idea is to filter the streams and look for what levels size comes into the lit market.
Play with the filter parameters.

In contrast, getting a firm foundation prior to live observation would be to study and backtest ideas. Find a way to log your observations and journal your experiences.

As for books, there are many, skim as many as you can. A solid start to understand market microstructure are:
Trading & Exchanges by L. Harris
Flash Boys by M. Lewis and/also Flash Boys: Not so Fast by Kovac
Dark Pools by S. Patterson

A great catalog of various methodologies:
Trading Systems and Methods by P. Kaufman

Get off social media and do deep work to gain better traction, else the 'new shiny' will pull you on the hamster wheel of busy work as non-accomplishment.

The odds are against you. Set realistic expectations and timeframes. Everyone thinks they are special and that stats don't apply to them. On avg takes about 5yrs just to get oriented.

A good rule-of-thumb is to be skeptical of high winrates, nor any method that is not data-driven. Pro's are successful with 1:3 risk:reward. It's very difficult to learn how to lose and that is the essential skill of this profession.

 

[mute9003]

Im seeing so many questionable things now on time andnsales
Like 50 orders one share each
Or a wall of 100 share buys followed by a wall of 100 share sells.

i guess what im really asking here is how did yall learn what is happening on the screen
Like did i miss a book or some common sense piece of info that everyone seems to know except me(thats how i feel right now)

Or maybe i missed the actual process of how to figure out what is happening on the screen.
Like when you see a wall of one share or 100 share orders how do you know what that means?
Because the broker does not allow orders of less than 100 shares on a stock thats under certain price.And yet im seeing single share orders..
when i search google i dont find much useful info about most of the questions i have. Then after searching i come here and get sent back to google "do your own research bro we suffered so you have to also"
i feel like i got wrong information somewhere along the way of watching youtube videos(thats the only source i have besides few of the recommended books that i read multiple times(that really dont apply to current market anymore)

 

[mute9003]

Sprout
I posted that before i read your reply lol
Not replying to you just adding few more of my thoughts

 

[Bad_Badness]

Im seeing so many questionable things now on time andnsales
Like 50 orders one share each
Or a wall of 100 share buys followed by a wall of 100 share sells.

i guess what im really asking here is how did yall learn what is happening on the screen
Like did i miss a book or some common sense piece of info that everyone seems to know except me(thats how i feel right now)

Or maybe i missed the actual process of how to figure out what is happening on the screen.
Like when you see a wall of one share or 100 share orders how do you know what that means?
Because the broker does not allow orders of less than 100 shares on a stock thats under certain price.And yet im seeing single share orders..
when i search google i dont find much useful info about most of the questions i have. Then after searching i come here and get sent back to google "do your own research bro we suffered so you have to also"
i feel like i got wrong information somewhere along the way of watching youtube videos(thats the only source i have besides few of the recommended books that i read multiple times(that really dont apply to current market anymore)

Good question. Check out the Order types on IBs web site. These show how to actually do these in a pre packaged, preset way. These were so common to do in algos, that they made them available as order types. What you described above are all in there. Iceberg orders, e.g.

Also you will get a preview of how different instruments, via different brokers-merchants-exchanges host, either native or simulated these advanced order types. This is another example of how things are different from 1990 or even 2000. Gotta stay current in the trading arms race.