Please feel free to point out where I need to do my homework. Thanks.
Market Delta strategies
- Thread starter newbie2006
- Start date
Please feel free to point out where I need to do my homework. Thanks.
Why I see this thread becoming a fight club 
we are all here to exchange knowledge so we have to make our discussions and criticism as constructive as possible.
fearless9, can you please bear with us and elaborate on why you disagree with momo ? maybe we are missing something here and we would really be greatful if you highlight it.
we are all here to exchange knowledge so we have to make our discussions and criticism as constructive as possible.
fearless9, can you please bear with us and elaborate on why you disagree with momo ? maybe we are missing something here and we would really be greatful if you highlight it.
Quote from newbie2006:
5pillars,
Regarding the room you mentioned in your last post, where is this room ? maybe some traders here be interested to join in, I guess its all for futures trading, so no place for me there
I have a question for you, your candlestick charts are 317 ticks, which means every candle represents 317 prints, right ? but why 317 ? you found out some significance in this number ?
I use 317 tick charts from extensive testing I have done for the type of trading I do........it fits in perfect for me for what I like to do.
The room I am in daily is run by my broker in Hotcomm for his customers. The traders in the room are about 90% futures and 10% stocks.
Actually we do not have to....what is out and already in place works just fine. Measuring the difference in "initiated" buying and selling (those that want orders in RIGHT NOW, over, those wanting in at the best price possible for that moment in time) shows enough information as is. The information calculated from measurement of the "initiated" trading actions, can be used in the assessment of trade entry probability determinations.
There are some "absolutes" in movement of price, and the knowledge from the currently computed delta can contribute to an alignment with favorable probability. For some, they will not believe this until they see the "conviction of the order flow" patterns repeated before their own eyes many times over....and that is fine (we all arrive at "beliefs" on different schedules.....this is just a part of human nature).
I started investigating and experimenting some months ago. Since the arrangement between MarketDelta and Linnsoft I have been working very slowly on putting together a custom implementation as I'm not impressed by the monopoly they now hold
I didn't reach a point where I had a mechanical system built around market delta. During my brief period of use I treated it more as decision support for other core signals. Primarily on YM. In combination with re-tests of horizontal support/resistance, daily pivots, linear regression channels etc. Market Profile levels were not used.
In summary, yes, I did find it useful. There appear to be patterns that can be leveraged. I'm hoping with my custom implementation that I can build a more rigorous test of market delta concepts through back-testing ability etc. There are things I want to be able to look at that I don't believe the commercial implementations allow e.g. I want to be able to drill down into strike size patterns.
As for terminology, please feel free to point out where I have got it wrong. I merely relayed the information from MarketDelta virtually verbatim! Also, if you could illustrate the perspective of fearless9 I would be grateful. It sounds like I'm missing something so any gaps that can be filled would be appreciated.
MoMoney.
Hi Momoney,Quote from momoneythansens:
I started investigating and experimenting some months ago. Since the arrangement between MarketDelta and Linnsoft I have been working very slowly on putting together a custom implementation as I'm not impressed by the monopoly they now hold
Makes perfect sense. May I enquire as to which datafeed you are using for this? Would it per chance be IB?
Thanks, EQ.
By this logic, wouldn't all buying and selling be considered aggressive? All price movement is aggressive. If no one ever raises the current bid or lowers the current offer, then price will never move until a buyer and a seller agree.
The only way price can move in a given direction is if there is an imbalance of buyers or sellers (supply and demand.)
For every contract aggressively bought by someone with a market order who wants in "right now" there is another contract passively sold by someone with a limit order wanting the current best sale price.
Aggression - market orders - on its own does not necessarily warn of price progression in the direction of the aggression as it depends on who is being aggressive, where and why.
It can be the passive participants in the transactions who are unobtrusively in control as they quietly offload with resting orders to those suddenly very eager (or forced) to take the other side.
A simplistic and obvious example: at the very top of a move, especially a vertical high-velocity high-volume one that often indicates a large presence of gullible, late and emotional imbeciles one may see a huge positive delta over a range of say two or three few ticks. The latecomers are being aggressive (as are their friends who have finally puked on their countertrend shorts "out at any price"), whereas the smart money are very content to be passive, allowing the reactive fools to gobble as much as they want of their asks.
But as soon as the last-to-the-party interest wanes, the smart money may sudddenly flip to aggressive, hit the bids and flood the market with supply. Guess what this spooks the latecomers and soon they dump thus fuelling a sharp reversal. In an instant those in control have gone from passive to aggressive for good reason.
But yes... earlier on in the trend, a similar-looking positive delta does indicate further upside. There are eager buyers eating the asks, previous bidders switching from pas. to agg. & joining them, previous passive sellers pulling their asks and hardly anyone is hitting the bid with a market order. As perception of value is revised upwards by the majority we have healthy ingredients for more upside.
Delta can be a very useful tool, but as ever extracting any universal rules from it is very difficult, if not futile. As with many tools, its interpretation is a matter of context in the price progression and that is where the art lies. As those such as 5Pillars who use it successfully will probably attest there is no substitute for intensive screen time; the devil is in the detail.
Aggression - market orders - on its own does not necessarily warn of price progression in the direction of the aggression as it depends on who is being aggressive, where and why.
It can be the passive participants in the transactions who are unobtrusively in control as they quietly offload with resting orders to those suddenly very eager (or forced) to take the other side.
A simplistic and obvious example: at the very top of a move, especially a vertical high-velocity high-volume one that often indicates a large presence of gullible, late and emotional imbeciles one may see a huge positive delta over a range of say two or three few ticks. The latecomers are being aggressive (as are their friends who have finally puked on their countertrend shorts "out at any price"), whereas the smart money are very content to be passive, allowing the reactive fools to gobble as much as they want of their asks.
But as soon as the last-to-the-party interest wanes, the smart money may sudddenly flip to aggressive, hit the bids and flood the market with supply. Guess what this spooks the latecomers and soon they dump thus fuelling a sharp reversal. In an instant those in control have gone from passive to aggressive for good reason.
But yes... earlier on in the trend, a similar-looking positive delta does indicate further upside. There are eager buyers eating the asks, previous bidders switching from pas. to agg. & joining them, previous passive sellers pulling their asks and hardly anyone is hitting the bid with a market order. As perception of value is revised upwards by the majority we have healthy ingredients for more upside.
Delta can be a very useful tool, but as ever extracting any universal rules from it is very difficult, if not futile. As with many tools, its interpretation is a matter of context in the price progression and that is where the art lies. As those such as 5Pillars who use it successfully will probably attest there is no substitute for intensive screen time; the devil is in the detail.