Market Delta by bolter

[bolter]

ntk,
Perhaps the impact of arbing is best understood by thinking about a really thin contract that has a cash market.

Let say 90 trades in the future. The spot market ticks up to 91, then 92, then 95. No trades in the future since 90. The spot market moves up to 96, then 97.

So if you pay market for the future right now what price do you think you will get? 90 or 97? What has gone accross the tape? On market Delta how does the move from 90 to 97 look? Right - like a vaccuum.

That's an extreme example but you see my point?

Hope this helps.

bolter

 

[bolter]

mokwit,

....inteested to know what these idiosyncracies [in their matching software - eg: HSI] are.

Every exchange uses different matching software, and it appears to me that some exchanges use different software for different markets (eg: Dax vs Eurostoxx - both on Eurex). The is due in part to the spate of global exhange integrations.

Of course different software means different algorithms which will impact the way the market trades. Additionally, each exchange (and potentially market) has different rules about how the order queue is managed - not all are purely FIFO. It may surprise some traders to realise for example that big orders can jump them in the queue (think "flippers").

I'm not an expert in this area (please rasie your hand) but I've traded enough different markets around the world to know they all have their own flavour. Most exchanges will provide a document explaining their matching system. Well worth a read for the hardcore among you. Additionally, MD provides an unprecedented view of market behaviour - you should take the time to study and learn.

Here's an example of why I no longer trade the HSI mokit (old version of Market Delta):

Knock yourself out,

bolter

 

[bidask]

are you talking about pro-rata order matching where a larger order will get a bigger share of fills? or is there more to it than that?

Quote from bolter:

Additionally, each exchange (and potentially market) has different rules about how the order queue is managed - not all are purely FIFO. It may surprise some traders to realise for example that big orders can jump them in the queue (think "flippers").

 

[EdgeHunter]

Quote from EdgeHunter:

Interesting thread...

In context...

1373.50 was the Pivot Point of the day...

The day was marked by very anemic up/down volume difference... as in there was not much difference between the up/down volume... very near neutral all day...

if you go back and look at days like this ... any day like this... the floor, or whoever picks out a significant line in the sand... The Pivot.. or a former important high or low... but in this case The Pivot and pushes the market up and down thru it a number of times creating a number of mini stop runs...

this can be done because there is not a lot of outside paper to continue the market in a trending move... next the market illogically is pushed back up thru the line in the sand... then back down... and back up... illogical movement but logically facilitating trade on an anemic day... and on it goes for days like this...

when the Vol Diff is quite substantial then outside paper comes in more and more and the market trades much more logically since the 'floor players' can not play line in the sand games without getting burned badly in a large trend move against their fade positions...

i think MP & MD & T&Sales are more powerful than Pivot Points to understand the market support/res and structure but on anemic Vol Diff days they are sometimes used to play gotcha with the guppies...

cj...

Bolter... et al...

another Guppy Line in the Sand for the 'Floor Boys to Play With"...

today it is 1373 ... The Pivot...

Again pivot points are not the end and and be all.. i am just pointing out that on anemic days that a game is played with public relevant s/r points...

today we have a number of back and forth CROSSINGS OF THE 1373.00 LINE... crush the guppies...

cj...

 

[paulbechard]

Im looking at your graph and am feeling a bit confused. I guess I am one of those guppies. Would you mind going into more detail explaining why 1373 is the pivot and why the crossing of that level 'crushes guppies'? I am new to the fishtank so I am not familiar with most of the terminology.

Quote from EdgeHunter:

Bolter... et al...

another Guppy Line in the Sand for the 'Floor Boys to Play With"...

today it is 1373 ... The Pivot...

Again pivot points are not the end and and be all.. i am just pointing out that on anemic days that a game is played with public relevant s/r points...

today we have a number of back and forth CROSSINGS OF THE 1373.00 LINE... crush the guppies...

cj...

 

[pitbulltrader]

Hey I don't want to make this thread a mess but I've been looking for a better alternative than the one I use...I currently average into daytrades when we approach a support or resistence zone...I will "add to losers" as some may percieve it as.....been doing this fo 8 years so no lectures please..I know my "Uncle " point...anyway I'm always looking for an edge ( like everyone) to try and fiqure out when buy or selling exhausts itself in the S&P eminis.....I've tried all the classics..put/call, trin, premium, Tick, tiki etc..but none seem to be very consistent...so when I read that much of the MD stuff revolves around time and sales it caught my curiousity.....so is there a thread that gets into deciphering time and sales as a statistical edge or is this the place someone could discuss it....I know some may think that after 8 years I would have researched that but to be honest I never have........If I'm at the wrong thread for this request then my apoloies in advance and good luck with Market Delta...it loooks like a good add -on for market profile and other techniques....and I suggest Bolters other thread on Market profile ...he has an excellent handle on it...all the best

Pitbull

 

[EdgeHunter]

Quote from paulbechard:

Im looking at your graph and am feeling a bit confused. I guess I am one of those guppies. Would you mind going into more detail explaining why 1373 is the pivot and why the crossing of that level 'crushes guppies'? I am new to the fishtank so I am not familiar with most of the terminology.

Pivot Points have a tremendous amount of info already on ET... you can use ET search engine to find info on them but also here is a link...

http://www.investopedia.com/articles/forex/05/FXpivots.asp

a pivot point is public WELL know s/r point for many many traders... similar to weekly highs and lows or even daily highs and lows...

I was pointing out that when the up down volume difference is light - like today oct 20 th... then the floor (the pit traders, the market makers, etc... pick a public support resistance point and drive the market up and down thru that all day long... stopping out newbies (guppies) over and over and over...

When there is not enough outside paper (big traders putting on trend postions and holding them) during a day the floor and others can fade LOGICAL moves and make a lot of traders eat their stops...

and on a light volume difference day this movement FACILLATES trading... the basics of MP & MD that this thread will be exploring...

sometimes the floor uses the Pivot Point to cycle thru.... sometimes it is former important public high or low...

whatever is the important line in the sand of that day will be graviated to and used to abuse the uwary...

etc...

cj...

 

[billp]

Bolter,
Thanks for the thread.

Pitbulltrader,
Will be interested in yours also if you so wish to start a new thread or to include it in this thread (if Bolter feels so)

Quote from pitbulltrader:

Hey I don't want to make this thread a mess but I've been looking for a better alternative than the one I use...I currently average into daytrades when we approach a support or resistence zone...I will "add to losers" as some may percieve it as.....been doing this fo 8 years so no lectures please..I know my "Uncle " point...anyway I'm always looking for an edge ( like everyone) to try and fiqure out when buy or selling exhausts itself in the S&P eminis.....I've tried all the classics..put/call, trin, premium, Tick, tiki etc..but none seem to be very consistent...so when I read that much of the MD stuff revolves around time and sales it caught my curiousity.....so is there a thread that gets into deciphering time and sales as a statistical edge or is this the place someone could discuss it....I know some may think that after 8 years I would have researched that but to be honest I never have........If I'm at the wrong thread for this request then my apoloies in advance and good luck with Market Delta...it loooks like a good add -on for market profile and other techniques....and I suggest Bolters other thread on Market profile ...he has an excellent handle on it...all the best

Pitbull

 

[HoustonMark]

Trading doesn't have to be as difficult as the ideas in this thread propose.

Pivots and guppy(?) lines work except when they don't....

Seek a simpler solution.....

Quote from paulbechard:

Im looking at your graph and am feeling a bit confused. I guess I am one of those guppies. Would you mind going into more detail explaining why 1373 is the pivot and why the crossing of that level 'crushes guppies'? I am new to the fishtank so I am not familiar with most of the terminology.

 

[lumberjack]

Quote from HoustonMark:

Trading doesn't have to be as difficult as the ideas in this thread propose.

Pivots and guppy(?) lines work except when they don't....

Seek a simpler solution.....

you have a simple solution?