Market Delta by bolter

fearless9 · Nov 17, 2006

Quote from mikesch:

fearless

Yes, if the group approves, I would like to add your "what moves price" piece to the
discussion

Thanks
MS

Start with this thread and then we can move on.
MD is one of the last pieces in the puzzle. To appreciate it you must understand the cornerstones first.

http://www.elitetrader.com/vb/showthread.php?threadid=80582

dcraig · Nov 17, 2006

Quote from fearless9:

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.

fearless,

I don't really know what you are referring to, but is it the large volume bars on the chart ? The red line is average volume for time of day.

Conversly there is low volume on the minimal pullbacks.

Incidently, on two minute bars the delta looks plausible - from IB feed.

Bernard111 · Nov 17, 2006

Anyone is able to post a MD chart from yesterday session after the US CPI on 10Y or 30 futures?

MidKnight · Nov 17, 2006

Quote from fearless9:

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.

Right water running uphill doesn't exist, hence my disgust while I saw this occurring. I'll read that thread you posted, maybe that is more helpful to me then this delta seems to be. Thx.

MK

5Pillars · Nov 17, 2006

MK.........I have never ever had any data on any instrument that I have traded EVER look as the chart you have shown (you may have a data anomaly). The only other possibility is "controlled" and manipulated "offer lifting", of course mixed with selling to build a large short position with an adjusted cost basis.

One question.....did this product have any drop within one hour after this happened (to price levels below where you have the boxed in area)?

5Pillars · Nov 17, 2006

Quote from dcraig:

fearless,

I don't really know what you are referring to, but is it the large volume bars on the chart ? The red line is average volume for time of day.

Conversly there is low volume on the minimal pullbacks.

Incidently, on two minute bars the delta looks plausible - from IB feed.

DCraig....Your chart posting looks more like it.....what the delta would be during a move like that.

MidKnight · Nov 17, 2006

Quote from 5Pillars:

MK.........I have never ever had any data on any instrument that I have traded EVER look as the chart you have shown (you may have a data anomaly). The only other possibility is "controlled" and manipulated "offer lifting", of course mixed with selling to build a large short position with an adjusted cost basis.

One question.....did this product have any drop within one hour after this happened (to price levels below where you have the boxed in area)?

Hi 5P,

Yes this could be a data problem, but how the would I know that real-time? No it has not dropped back at all, been going up most of the session.

Data provider is DTN. I have had problems with them before on the odd day with the DJ Euro Stoxx50 so I can't rule out data problems. Bolter and I compared data on a day that was doing this. He was on esignal and me on DTN. His looked fine. I'll check with him later tonight when he gets into work.

As an aside I've been having quite a few troubles with DTN IQFeed on anything but USA products - typical I find with these bloody providers and their 'international' data. I mean this isn't some poky little 10k contract / day market. Buggers should sort their shit out. *sigh* one of those days...sorry for the offtopic rant.

Thx for the response.

Kind regards,
MK

fearless9 · Nov 17, 2006

Quote from MidKnight:

Right water running uphill doesn't exist, hence my disgust while I saw this occurring. I'll read that thread you posted, maybe that is more helpful to me then this delta seems to be. Thx.

MK

Water does run uphill .... just ask any windsurfer in shallow water or look at the rain hiting your windscreen when driving.

What is happening is an external force (windspeed) is sufficent to overwhelm gravity.
The markets are similar.
Dont give up on delta and volume, just learn to use it in it's proper context.

What did happen next to your chart?
Good luck

fearless9 · Nov 17, 2006

Quote from dcraig:

fearless,

I don't really know what you are referring to, but is it the large volume bars on the chart ? The red line is average volume for time of day.

Conversly there is low volume on the minimal pullbacks.

Incidently, on two minute bars the delta looks plausible - from IB feed.

MK was just commenting that the price was rising on net selling

fearless9 · Nov 17, 2006

Quote from MidKnight:

Hi 5P,

Yes this could be a data problem, but how the would I know that real-time? No it has not dropped back at all, been going up most of the session.
Kind regards,
MK

I see that it kept rising.
5P may have a point about DTN.

For what it is worth, I use delta for its summed value only, I do not use tic delta in my decision making.
I think that it was Bolter how mentioned that tic delta was over as fast as it began. Bit like teenage sex really.

I do however use 2 feeds to confirm price and speed ... in fact I use two of most things.

Market Delta by bolter

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