Market Depth patterns

Stfreak,

Thanks. Some situations yes, I can imagine it because that's what I see too. One of the first time that I realise that I could read a bit of DOM was when I wasn't looking at charts:D

However, my DOM knowledge is far from great. Only can better read those extremely clear cases. A lot of times, can't read though.

Have a question here :
You mentioned : "Example: Market is ranging, that means, the spread of the sizes is large and only small size is around the inside. ....."

Qn: what do you mean by 'spread of the sizes is large'?

Thanks once again.
 
ST

your posts are are absolutely great and entertaining at the same time.
"You could write a book"? - you ought to-
a small one at least.

Have to work through your posts and I will be back by the end of the week -
hopefully.

Charly
 
HI Stfreak

Stop now, you are giving away the book :D

Lets say your expecting a break out with buy volume, do you wait for some buy volume to hit before stepping in, what type of stop would you use on the ER , if you missed the initial move how much would you chase with your stepped up inside bid? .

So you can tell if its pusher or flipper buying or institutional program buying just before and when it happens?

Do you watch any other market indicators?

Is there a program that can visually display/chart a replenished bid ask or one that is being added to? (maybe a 3D type, for the levels?)

You seem to counter trend trade right? so when you see a market top/bottom with no liquidity are you willing to take the trade at that point. I generally go for it at these points and will scale in if conditions still indicate a possible top or bottom. But I must see weakness/ strength beforehand supporting my trade.

Can you post a pic of your DOM/screen.

Do you 'know' the players and the sizes and methods they use?

Thanks for the great info, I am in debt to you :)
 
bill,

the spread of the sizes is large means, that the size is waiting on the 4th maybe the 5th or 7th level of the DOM on either BID or ASK in a ranging market ( one might also call this a waiting market) In a trending market, the sizes might be around the inside or the 2nd level.

BoyBrutus:

first, I don´t wait for buy volume, because when the buy volume comes in, I want to make profit on it or want to exit on this volume. This is the tradeoff: either you are in as early as possible without a noticable confirmation or you wait a bit to see, if you are right and miss some ticks.

For me, it´s enough confirmation to know that the market is "not short" in this situation and the price is most vulnerable to the upside. I will never ever chase a move, because on the one hand, the risk is increasing/the possible profit is decreasing, on the other hand the next situation is just seconds away, so I don´t urgently need to take the move.

by the way, I don´t use any stops, because they are simply to expensive...It´s a big difference, if the stop level is ticked by one contract or if there is a trade through the level.

In the first case, I don´t need to get out, and so I´m able to gt a tick better, in the second case, I will have slippage anyway. When I know, I´m wrong, I will get out immediatly, and I mostly have the chance to trade out at even or at -1/-2 ticks.

It´s funny, that the thread moves to software issues again. I don´t have any fancy software, displaying fancy graphs or stuff like that. there are no shortcuts!!

a picture of my trading screen won´t help you anyway, because you can setup it on your own: just put up an ER2 - DOM and a mini - S&P - DOM side by side and add an ER2 tape as well as a mini - S&P tape. That´s it.

I don´t use charts or indicators, because a chart is not the market, it´s just the history of the last traded price and quite useless, I found out.

A very interesting question is, if I know any big guy and his method. Let´s say it like this: Yes I know at least one big player and the strategy he´s using, but of course, I won´t say, who it is.
I don´t wana use someone else for an egotrip here on ET.

It´s also quite useless, because his method is his method and mine is mine. there is no way to profit by knowing, what the other guy is doing, because he might be wrong, too.

Just watch the DOM for a very long time, and you will find out that the games, that are played, are always the same. There is no need for a software or for insider trading
 
Stfreak,

you are watching the the tape, DOM all day and enter your trades manually.
Has it become harder to profit in the last 2 years from this method after automated order book trading has become more widespread? (as done by Vlad Jovanovic e.g. - see the article attached in this thread
http://www.elitetrader.com/vb/showt...72&perpage=6&highlight=jovanovic&pagenumber=3 )

As far as I understood you do not trade th e liquid instruments, where the kind of flippertronica programs shuffle (mainly interest futures). One more reason to play the illiquid markets with your trading style , I guess?
 
I don´t use charts or indicators, because a chart is not the market, it´s just the history of the last traded price and quite useless, I found out. - stfreak

wow, profound!



My primary chart is the 6sec candle chart. I found that with it I can visually display what is on the tape- price, speed, volume (at bid/ask) and now I know the patterns that exist within this chart. I could not trade or gather the same information from longer timeframes.

I also have two tapes running one for all prints and one for block trades > 10 on the ER

What is lacking is my DOM analysis. I just have a simple 5 level numbers display (MB trading). Some DOM's have visual bars that give you a faster and better idea of the levels and how they are changing.

How many levels can you see on the DOM?

I just signed up for CME market depth on Esignal $55 month extra :eek:
 
Quote from BoyBrutus:

HI Stfreak

Stop now, you are giving away the book :D

Lets say your expecting a break out with buy volume, do you wait for some buy volume to hit before stepping in, what type of stop would you use on the ER , if you missed the initial move how much would you chase with your stepped up inside bid? .

So you can tell if its pusher or flipper buying or institutional program buying just before and when it happens?

Do you watch any other market indicators?

Is there a program that can visually display/chart a replenished bid ask or one that is being added to? (maybe a 3D type, for the levels?)

You seem to counter trend trade right? so when you see a market top/bottom with no liquidity are you willing to take the trade at that point. I generally go for it at these points and will scale in if conditions still indicate a possible top or bottom. But I must see weakness/ strength beforehand supporting my trade.

Can you post a pic of your DOM/screen.

Do you 'know' the players and the sizes and methods they use?

Thanks for the great info, I am in debt to you :)
More...

Great set of Q's.

The visual (worth a 1000 words is a giant key to "reading" the DOM. Seeing the numbers and the depth conditions just doesn't hack it

Two visuals work together to give you:

1. The present status

2. the next move coming up (leading indicator of status).

About four games are continually in play.

The game that is the subject of the thread is not where I operate. It often is just a very short term "knowable" for me and I do not deal with it but just "ride" through such peribations as part of market small fluctuations.

I deal with the MODE of the market and just handle what I call continuation and change (end effects of continuation).

Feel that until you have visuals of the four games, you cannot continually assimilate the dynamics of the status from moment to moment.

You have really terrific question set and it IS necessary, no matter what strategy is used, to have those answers for that strategy.

Once any kind of successful trader gets established in his methods, it is imparative to move to the questions you raise to iteratively refine personal performance.

Those who chose to scalp do it for various reasons. I never found that strategical orientation to outweigh other, mostly optimizing extraction, considerations.

It mostly comes down to exposure. Scalpers do not like exposure and, for me, what they deal with as exposure is "opportunity" to make money through price change while on the right side of the market.

Until any trader has a perspective on market price movement and its fine details, then he is putting himself at additional personal risk that is independent of the given market risks embedded in its operation.

I hope you get a defining response to your questions in terms of your trading preferences, especially the coded visuals that are needed.
 
STfreak

You mentioned your preference of "illiquid" markets - do you consider those of your setup (ER - ES) to be 2 of them
or was it only meant as a setup inform?
If so what do you trade actually - still
the DAX / ESTX50 - what else?

Which software do you use by now - still
just buttontrader and/or anything else?
Which one is (said to be) best for the DOM
in yo?
Any opinion on MarketDelta?

Charly
 
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