Market Delta strategies
- Thread starter newbie2006
- Start date
Construct an OHLC time series with the instantaneous ratio of total contracts at ask to total contracts in book (at bid and ask). All five levels on each side. This is plotted as candlestick.
The smoothed representation shown is obtained by applying John Ehlers 23 finite impulse response filter (from his web site) to (H + L + C) / 3 of above OHLC series. An SMA 3 would probably do just as well.
I tried weighting the number of contracts at prices further from the last traded price but couldn't get much from that.
Yes, it is ACV.
Yes, I think it is quite valuable, though a shorter time frame ( or rather tick ) chart is also good, perhaps better, for looking at it. There seems to be quite a few interesting things about the DOME eg volatility in book often precedes move in price. A very low volume period of perhaps quite short duration with mostly single lots traded often precedes move in book which precedes or coincides with move in price. I'm still studying.
The main thing which is quite obvious is that "market moves towards size" - until it doesn't.
Your VWAP is that a canned indicator or coded by you...
cj
Firstly and most importantly, we are all students of the markets.
You are quite right about faster TFs ( time frames)
I dont follow L2 behaviour because it makes my head ache and I dont follow small lot traders either. If fact the list of things that I dont do is far more impressive than the list of things that I do do.
Now this is what I call a Delta Divergence with Shift......LOL.......
http://www.charthub.com/images/2006/10/11/ES_317_VB_3.png
I am sure you can spot this one.
http://www.charthub.com/images/2006/10/11/ES_317_VB_3.png
I am sure you can spot this one.
After 17 pages this thread hasn't lived up to it's promise- there have been precious few Market Delta strategies actually presented. 5Pillars has demonstrated his "delta shift", which is a good one, but not much else. xxxskier had some very perceptive comments (as he usually does), but clearly there are alot of people who are dazed and confused. Market Delta is a sexy concept/product that has attracted alot of interest, and rightly so. But it is poorly understood. It is certainly not the panacea that many are looking for.
Let me tell you what Market Delta is .... it is simply a means of analysing T&S (time and sales). Nothing more and nothing less. That's it. But if you understand what it does and use it appropriately - it is shit hot - and provides a significant edge. Especially when combined with Market Profile.
Having said that it's horizon in terms of usefulness is probably several minutes at best. In plain terms, it is a day-traders tool and nothing more. And it excels at helping time your entries and exits. It can keep you in a trade. And most importantly it can keep you out of bad trades. But like most things you gotta undertsand how to use the tool.
If anybody is interested I might start a new thread on how I use Market Delta.
bolter
Let me tell you what Market Delta is .... it is simply a means of analysing T&S (time and sales). Nothing more and nothing less. That's it. But if you understand what it does and use it appropriately - it is shit hot - and provides a significant edge. Especially when combined with Market Profile.
Having said that it's horizon in terms of usefulness is probably several minutes at best. In plain terms, it is a day-traders tool and nothing more. And it excels at helping time your entries and exits. It can keep you in a trade. And most importantly it can keep you out of bad trades. But like most things you gotta undertsand how to use the tool.
If anybody is interested I might start a new thread on how I use Market Delta.
bolter