Is watching Time and Sales useful at all?

For me important. Based on that I see where are hidden orders located which gives me a lot information. Second is that it shows me, especially when bigger spread which route use to get out od position quicker. For Day trading Reading tape is important imho.
 
CyJackX said:
It would seem with spoofing or otherwise, or the fact that at any moment either side could get taken out faster than you can blink, there's no real way to get useful information from this. It may seem like one side may be weaker, but the edge in that is not perceptible for humans, I'd think.
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I call using the Time & Sales along with the Depth of market "order flow".

Very useful for short term trading in the futures markets. The problem for most traders is it takes a long time to develop their ability to use the information.

Personally I do not understand how people can trade short term WITHOUT the information.
Spoofing isn't a concern to me; if you spend enough time watching a market you start to understand the games algo's play to mess with the other algo's.

As far as detecting weakness on either side it is very perceptible if you have enough experience. It is most noticeable looking at the four inside levels of market depth.

Also the footprint chart is very helpful when using order flow. Just looking at ET180's chart if you noticed the 1480 hitting the bid and no follow through wouldn't that be a clue of reversal? If you saw that plus the limit bid refreshing at that level on the DOM it is a very strong signal.

Like I mentioned, it takes a long time to learn which is why many traders dismiss its usefulness. It is much easier to pursue the holy grail indicator than to spend hundreds of hours trying to understand what seems like random flashing numbers on a DOM.
 
CyJackX said:
It would seem with spoofing or otherwise, or the fact that at any moment either side could get taken out faster than you can blink, there's no real way to get useful information from this. It may seem like one side may be weaker, but the edge in that is not perceptible for humans, I'd think.
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For scalpers it is invaluable, I know some guys who use just it to trade ES. I believe HFTs use T/S in their algorithms to come up with their orders, so watch it long enough, you might be able to understand it better. It is one of those indicators where you spend years figuring it out and when you do, guarded near and dear. Exchanges would not hand out if it had zero use.
 
I make all of my money almost using the DOM exclusively. To clarify, level 1 data only and the market orders hitting the best bid and ask (essentially time and sales). You have to observe it for a while and go in with no assumptions at all, because a lot of the action is counter intuitive with what a lot of people tout as the way to see what "smart" money is doing.

Size of orders, rate of orders, resting orders being added or removed, rate of resting orders added or removed, etc. it all adds up to algos positioning a certain way. Take notes and watch a LOT of opens and closes on a good market replay platform. There is a reliable edge there. Good luck!
 
bigsnack said:
I make all of my money almost using the DOM exclusively. To clarify, level 1 data only and the market orders hitting the best bid and ask (essentially time and sales). You have to observe it for a while and go in with no assumptions at all, because a lot of the action is counter intuitive with what a lot of people tout as the way to see what "smart" money is doing.

Size of orders, rate of orders, resting orders being added or removed, rate of resting orders added or removed, etc. it all adds up to algos positioning a certain way. Take notes and watch a LOT of opens and closes on a good market replay platform. There is a reliable edge there. Good luck!
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What do you consider a reliable market replay platform?
 
wartrace said:
Also the footprint chart is very helpful when using order flow. Just looking at ET180's chart if you noticed the 1480 hitting the bid and no follow through wouldn't that be a clue of reversal? If you saw that plus the limit bid refreshing at that level on the DOM it is a very strong signal.
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I agree that order flow is useful (or at least the price and volume part of it), but not sure why it is necessary to track bid / ask traded volume or open orders. In that situation that you describe of 1480 orders hitting the bid and no follow through...what would price and volume be doing? You'd see lots of volume and price stopped at a level. What additional information does the bid / ask tell you? I've looked at 4 levels of the order book when watching futures (CL or ES). What I see is volume continually refreshed at both levels until it is instantly no longer refreshed and price moves. So I can see how volume and price can be predictive of price. But I have not found any advantage to looking at the order book or tracking whether trades execute on the bid or ask. For an HFT firm, there likely is an advantage, but the order book moves so fast, I suspect network latency would be a disqualifier for any algorithm that a retail trader could develop. Of course, if a retail trader has managed to find consistent profitability by applying such a strategy and is laughing at this post, that's awesome.
 
CyJackX said:
It would seem with spoofing or otherwise, or the fact that at any moment either side could get taken out faster than you can blink, there's no real way to get useful information from this. It may seem like one side may be weaker, but the edge in that is not perceptible for humans, I'd think.
More...

Yes, if you use software to interpret it. Staring at it or at charts is ridiculously naive yet many are seduced by it, thanks to hindsight bias and a host of other human perception foibles.

surf
 
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