Well I have managed to dedicate a bit of valuable time to understanding this beast during the month. Some days it seems very trad-able, others extremely manipulated, and others dead as bat shit. Business as usual. Definitely the opening few hours seem to be where its at - though the afternoon some volume occasionally sparks up out of thin air. Still going to document progress (or lack of) here.
I don't trade with charts as years trying to predict markets in my early days trading make me think I can still predict markets if I have them in front of me during trading hours. BUT since this is a new market I have done a bit of order flow analysis to get a feel for how this market moves about. Following is a historical representation of buying vs selling in a better than normal trading session. The information contained is supposed to summarize conclusions you could make from watching the prints as the tape whizzes by or in the DOM. Up arrows indicate a significant amount of buying volume flowing through the tape. Down arrows a significant amount of selling. The 'significance' is relative to recent trading activity. ie If the volume buying in the tape is much more now compared to the buying throughout the last 20 minutes(ish) than that is significant.
The volume bars are broken down into buying (green) vs selling (red). The lighter the color the heavier the buying or selling. This is usually gauged with a bit of experience ie You just know that buyers are stepping up now vs recent trading activity.
This doesn't give us any predictive capabilities as we don't know if market is going to be trading sideways or on the move but it does help develop a bit of bias seeing elevated buying and elevated selling at different phases of a market move. Can see that before the move in the early part of the session there was some decent buying in the tape and the move ended with buying fading out and selling stepping up and a final attempt by buyers getting trapped / puking before some sideways movement, where buyers and sellers are both getting trapped at the range extremes.
OK - all good in hindsight. So what would look for when staring down the prints in the DOM is how much volume is trading at prices ie how much liquidity is present, and what is enough to pull up the market?
Not looking into this too much as its just one day and a more interesting day than most at that... regardless here are some observations.
Noticing the inside market moving within a range of 3 or so ticks with price movement, which is something to start working with for leaning on prices ie Should know within about 3 ticks if I am wrong. Also seeing a normal playout of order flow here with buyers coming in late in the game in volume and either puking out or getting trapped.
If watching the profile build in the DOM - about 4000 contracts seems to be a useful footprint of absorption. ie If more than 4000 contracts absorbed at a price then we're in a location where might be able to get a low risk entry because of a minor or major reversal.
Notes from left to right:
1. Large buying and selling activity pulls up the market for a minor reversal.
2. Buyers seem to dominate a high volume area preceding further move to the upside. Would probably have been leaning on these prices for a quick short (which failed) knowing that if moves higher than the (1) there are going to be a bunch of shorts getting trapped.
3. @#$ Tonne of Buying absorbed. I probably would have tried leaning on these prices for a short and had to puke.
4. We see a buying decrease as prices move higher and (from previous chart) an increase in selling. At the to prices we see about 1500 contracts purely lifting that get trapped.
So these are the sorts of things I am looking into the order flow for on a typical day. Just looking at this one day in this manner am a little bit wiser. (e.g. I know not to get too excited when 2000 contracts are absorbed at the offer).
So far the days I have clicked away have not had too much success but early days. Will try post a video next so am not just showing how much of a genius I am for looking at historical information and making generic conclusions haha.
