This site does a good job of explaning Fair Value and it's decomposition.
www.indexarb.com
Best Regards,
Dave Scott
www.indexarb.com
Best Regards,
Dave Scott
Market Depth patterns
- Thread starter rhay
- Start date
What an amazing thread, but lots of other people have said that already.
I have traded the Dax for 3-4 yrs, from a non scalping viewpoint most trades being in the 8-20 tick target area.
Since the summer, in the lower volatility enviroment which has hurt my normal trading, I've been watching the DOM to see if I could spot patterns (despite being sceptical previously).
Fairly quickly I noticed two patterns that seem to show up, same as mentioned above.
1. Trading towards size - as mentioned by Futures Trader and others.
It seems like this works better in more liquid times, but maybe that is wrong?
Often it seems for example that if the Dax breaks new highs or retraces 5-7 points from a new high, and you see at least two 100 plus offers either a few ticks higher or around prior high, that is the green light that it is going there and maybe a little more. I have had some good trades waiting for this to set up and then looking for a "jiggle" in the bid offer as size goes through then jumping on it for 5-9 points.
Having said that, so far haven't been able to get it consistent yet.
2. Similar to above in reverse. Example from back in Nov (details a bit hazy) recent high is 65, mkt backs off to 56 then moves up to test and trades as far as 67/68.
Then ticks back to 65, which is bid for 150. Offers come back to 66, then 65.5 with only 10 or 20 on the offer. The odd 1 or 2 get bought, but otherwise deathly silence. The size looked like it was holding, but no one was lifting the small offers. Sold the 65s, which got nailed 10 secs later, and mkt was 58 offered soon after. Seems to happen often around tests. Same as mentioned by FT in his SP example, but guess test level exaggerates move.
Would love to hear any coments , as to whether I am imagining things, and if the "two offers above 100 lot" sounds familiar.
I have traded the Dax for 3-4 yrs, from a non scalping viewpoint most trades being in the 8-20 tick target area.
Since the summer, in the lower volatility enviroment which has hurt my normal trading, I've been watching the DOM to see if I could spot patterns (despite being sceptical previously).
Fairly quickly I noticed two patterns that seem to show up, same as mentioned above.
1. Trading towards size - as mentioned by Futures Trader and others.
It seems like this works better in more liquid times, but maybe that is wrong?
Often it seems for example that if the Dax breaks new highs or retraces 5-7 points from a new high, and you see at least two 100 plus offers either a few ticks higher or around prior high, that is the green light that it is going there and maybe a little more. I have had some good trades waiting for this to set up and then looking for a "jiggle" in the bid offer as size goes through then jumping on it for 5-9 points.
Having said that, so far haven't been able to get it consistent yet.
2. Similar to above in reverse. Example from back in Nov (details a bit hazy) recent high is 65, mkt backs off to 56 then moves up to test and trades as far as 67/68.
Then ticks back to 65, which is bid for 150. Offers come back to 66, then 65.5 with only 10 or 20 on the offer. The odd 1 or 2 get bought, but otherwise deathly silence. The size looked like it was holding, but no one was lifting the small offers. Sold the 65s, which got nailed 10 secs later, and mkt was 58 offered soon after. Seems to happen often around tests. Same as mentioned by FT in his SP example, but guess test level exaggerates move.
Would love to hear any coments , as to whether I am imagining things, and if the "two offers above 100 lot" sounds familiar.
It is too bad that these ideas could not be backtested.
Actually, that was sarcastic. Some things should just not be "backtestable".Good observations and comments. In order to come to the same conclusions as you have, one has to know that product well enough to know if 100-lots are common or not. This is part of knowing the flow. Sometimes those relatively large lots are real and sometimes they are not. By knowing the product, you will know which is which.
The reality is that, like meditation or yoga or sports in general, one has to do something long enough and with enough patience to allow the results to manifest themselves clearly. This is the case with Market Depth, pattern trading or anything else. A friend was saying that maybe I'm giving away the farm with this thread, but I feel that much of the advice given on ET works if you dedicate time to it or if it is compatible with the trader.
The point is: You may or may not be imagining things. Some will take the observations shared here and discount them after observing for 3 minutes and others may have a light bulb go off in their head.
Do what you feel works for you and stick with one thing at a time until you have to adapt. Not accepting this as the reality is often the cause of failure in trading.
Best wishes for the new year.
Not enough info. What have been the prints on the tape recently? Did this size come in at the same time? Has anyone hit it with size? etc etcQuote from SethArb:
ok ... is this a legit bid for size or super spoof ?
NQ's 720 deep 1st 2 levels on the bid side
1532.50 - 33 @ 8:05 pm ESt
Much of what I share with you here involves the speed of movement and is shaped in the frame of an active market. The market obviously won't necessarily trade to size when it is range bound and choppy or outside any serious activity.
Scalpers never admit they scalp
They trade for one or two ticks but never want to admit it.
Exchange fees are the same for everyone on Eurex. I pay NFA of 4 cents per turn (as does anyone who trades it). My commission is under a non-disclosure agreement. I can say that it is much below 30 cents per turn. I pay member fees for CBOT and CME products.
As I said, it depends on the market. I have seen position go off the X-Trader screen in a moving market. It happens on most volatile days.
Hello,
Been a while since posts here but I couldn't let FT71 end this thread as he says he has had a habbit of doing
Thanks to all that posted here. I'm paying much closer attention to T&S and DOM to see what jumps out at me. Will give it a few months before deciding yay or nay.
Thanks again
MK
Been a while since posts here but I couldn't let FT71 end this thread as he says he has had a habbit of doing
Thanks to all that posted here. I'm paying much closer attention to T&S and DOM to see what jumps out at me. Will give it a few months before deciding yay or nay.
Thanks again
MK