Market Delta by bolter

Status
Not open for further replies.
The days overall "cumulative delta" looks like it will end the day about neutral.............that is very significant after new highs (unlike the last couple of days where we ended very positive).

This is important going into tomorrows trading (a Friday btw). :)

http://www.charthub.com/images/2006/11/16/ESZ6_MD.png

As you can see the overall "cumulative delta" was sitting at +74 just after the close.
 
Quote from MidKnight:

William,

I wonder if the smaller traders are perhaps more responsive because the bigger traders are doing so many arbs and 'clouding' this level of detail. I dunno. I'll need to explore that some more on the stoxx50 today.

Thanks for the idea about consecutive bars. I'm not too familiar with the ES, is a volume chart of that size big or small? Are you mainly focusing on turns or smaller pullbacks.

One other method I was trying earlier this year was to focus on light prints on the tails when doing a false break. I was using price bars back then with settings of 4 or 5 depending on the market. More volatile markets had higher price bars. I'd enter on the close of the bar. I still do this method but wrap a bit more context around it these days. Divergent delta is used in this too.

Anyone else care to get specific? Everyone looks like they are just waiting for something, what for though - I am not sure.

MK
More...

Hi MK,

Busy with other stuff on this end. I am using consecutive bars to look for sign of major intraday turn point. It usually is a poor continuation entry. But this is just research thing since I trade pullback usually. I don't know why the smaller guys (< n) is more reponsive but I also look for a one bar confirmation from all the other parties (> n-1) either at the current bar or at a future bar. Maybe the smaller guys are being stopped out but I am not sure it looks right...

I am gonna spend next few months playing with MD for trend filter and triggering.

Regards,
William
 
Quote from jl12:

Very significant divergence between <500
trades and >500 traders on the bund today. v large size bought the move the smaller sold it

I am starting to think that maybe the very large trades are not a particularly good indicator
More...


They could be spreading or their holding periods could be radically different. Very rare to have a massive scalper. They tend to build BIG positions for a reason. From my 11 years of experience, I would say Big traders in Fixed Income tend to be more institutionalized and they are all on different wave lengths and have different motives. Most are putting it out there into an 'event'.

For instance, 5 lot traders on the BUND are than likely scalpers of some sort (at least the majority of them). Massive Scalpers/daytraders are very few and far between. Rare birds. When they put on a position they tend to hold it and take a lot more heat than most would think. Many folks think large Bund traders are like Rotter. Or are all short term oriented. Nothing could be further from the truth. Traders that trade 500 lots are pretty rare. Only a few on planet earth would be scalping naked positions.

Do some experimentation. You may find a 5 lot or30 lot filter would be better than anything about say 150 contracts.
 
Quote from 5Pillars:

The days overall "cumulative delta" looks like it will end the day about neutral.............that is very significant after new highs (unlike the last couple of days where we ended very positive).

This is important going into tomorrows trading (a Friday btw). :)

http://www.charthub.com/images/2006/11/16/ESZ6_MD.png

As you can see the overall "cumulative delta" was sitting at +74 just after the close.
More...

Interesting... yes, an internal volume kind of divergence...

thanks for pointing that out...

cj...

:cool:

______________________
HAVE STOP - WILL TRADE
 
Quote from TGM:

They could be spreading or their holding periods could be radically different. Very rare to have a massive scalper. They tend to build BIG positions for a reason. From my 11 years of experience, I would say Big traders in Fixed Income tend to be more institutionalized and they are all on different wave lengths and have different motives. Most are putting it out there into an 'event'.

For instance, 5 lot traders on the BUND are than likely scalpers of some sort (at least the majority of them). Massive Scalpers/daytraders are very few and far between. Rare birds. When they put on a position they tend to hold it and take a lot more heat than most would think. Many folks think large Bund traders are like Rotter. Or are all short term oriented. Nothing could be further from the truth. Traders that trade 500 lots are pretty rare. Only a few on planet earth would be scalping naked positions.

Do some experimentation. You may find a 5 lot or30 lot filter would be better than anything about say 150 contracts.
More...


Hi TGM,

Glad to see ya here, I was wondering if you where still around on ET these days...

Thx for the comments there. I still don't get it. If a big trader is gonna buy, why wouldn't they buy weakness when they get the liquidity they want rather then buy after a news event? I noticed the same thing on bund last night as the original poster and it left me confused. All I could get out of what is big boys and small fries where outta sync. Usually doesn't trend when that happens.

I can appreciate what you mean with regards to heat and timeframes though.

MK
 
Quote from MidKnight:

Hi TGM,

Glad to see ya here, I was wondering if you where still around on ET these days...

Thx for the comments there. I still don't get it. If a big trader is gonna buy, why wouldn't they buy weakness when they get the liquidity they want rather then buy after a news event? I noticed the same thing on bund last night as the original poster and it left me confused. All I could get out of what is big boys and small fries where outta sync. Usually doesn't trend when that happens.

I can appreciate what you mean with regards to heat and timeframes though.

MK
More...


LOL. Yeah, they may have just been f@@@ed on the move. Large traders can loose large money. Of course, you made a valuable observation. When the big guys and small guys are outa sync the market does not trend......very true and valid. So maybe look for a possible reversal on any news related spike that does not form a consensus.

But I will give you a real example from this week. Monster trader Albert is short 7000 shatz and short 5000 bobls and immediately hits his hotkeys slamming into and hedging by buying the bund to level some of his exposure and buy time. If you are trading 10 lots you just pull the position. However that is not so easy on size. You may have to rethink it and want to lay off some exposure. You obviously do this by buying the strongest and not immediately add to the chaos by dumping your core position. If you pull up the daily charts and look at the relative strength between the Bobl, Shatz, and Bund, you will see the logic from a relative strength basis. Of course this is ONE example. Who knows what happened. There is massive volume trading in these instruments. It could have been any one thing or a combination of things.

What you can do is to pull up similar charts of the Bobl and shatz and look for patterns. Any large trader in Bobls is going to have a trigger finger for Bunds and shatz etc.


(and we have not even began to talk about off the exchange transactions in Bund futures or cash bunds or even option strategies (cash or futures) that may have come into play....so it is hard to say)
 
Thx TGM. Now I see what you mean and sort of what kinds of things are possible. I said not too many posts back that I thought maybe the larger guys gave more cloudy information because of arbs, but could equally be for hedges as you point out.

The key here (to me) is that my thinking says I would close out when I'm wrong. But as you say, bigger guys don't necessarily do that and would instead hedge and slowly bleed out the position. Gotcha. Thx.

MK
 
Quote from MidKnight:

Here is a great example of delta meaning sweet FA. If you trade off this thing exclusively, you can get slaughtered.
MK
More...

So ask yourself why price can rise while the majority of the action is on the bid.
And what is likely to happen next.

And muy importantemente.
What are you going to do about it?

It is the equivalent of water running uphill.
 
Status
Not open for further replies.
Back
Top