Market Internals

[NoahA]

For the example I pointed out, the 'extreme' reading was the lowest print on that day and as ES made its lowest print on the day, NYSE TICK wasn't able to match that. In other words - the broader market was ticking higher by then.

Ah, yes, I follow now. But sadly, the exact same setup does occur earlier, with not a profitable outcome if the trade was taken. At 2, we see that price makes a lower low with reference to 1, and the tick does not make a lower low. So it seems like this divergence might signal a long trade. But alas, price keeps going down.

Anyway, its just an example to show how sometimes it works, and sometimes it doesn't. I can see why its not good enough to keep going down this road.

 

[Laissez Faire]

Anyway, its just an example to show how sometimes it works, and sometimes it doesn't. I can see why its not good enough to keep going down this road.

Well, at 1 you at least had a good scalp entry and at 2 you could easily scratch it. So, not too shabby, IMO.

Then again, I already said I'm not trading this in isolation and will at best use it as a supporting parameter which adds confidence to other stuff I'm already using. But since that 'other stuff' is my primary signals, I may ditch the NYSE TICK altogether.

Nothing works 'all the time'.

Conclusion: NYSE TICK may offer some valuable clues and act as a supporting parameter, but in isolation, probably not.

 

[Laissez Faire]

...but my problem is always too many ideas and not enough time.

Same issue here. An ever growing to-do list. Once you start researching - it just never seems to end. That's why a lot of stuff just needs to be archived in the long-term to-do list and only the most critical things are prioritized. I'm very glad the bulk of my system is complete. Not sure I'd have the energy to start all over again.

Testing, researching, live trading, failure, back to the drawing board, more research, testing, trading, failure, some success, etc. Really, really time consuming.

 

[Real Money]

Good stuff, man. Thanks for sharing.

Which session are you trading then? Asia or Europe? Is there a reason to trade ES and not an equivalent index in said time zone?

I'm curious as I may eventually want to trade the European session myself.

I trade the London session and stop before the NY open / premarket. It's a lower volatility session (usually) for rate and index futures. Before COVID, the Asian session had like zero vol, but with VIX so high (relatively) every session is tradable.

ES has a micro for scaling, averaging, or to trade against. I've never traded EUREX through my broker (IBKR) and don't subscribe to the data feeds. I'm so used to US markets, that for me there's really no point in moving over to EUREX. ES is liquid and you can check FDAX, MDAX, Eurostoxx, FTSE, or NKD for comparison.

Trading the London session before the overlap, cuz I had to get a job again after a big drawdown.

Market hours are the same for all instruments (FX, Stocks, Bonds).

 

[qlai]

Well, at 1 you at least had a good scalp entry and at 2 you could easily scratch it. So, not too shabby, IMO.

Not too shabby indeed!

 

[M4-1]

Yes, I know all that. But if you look at the action in volume there is a disconnect. So the questions is something like:

2500 contacts trade on ES.
XXX contracts trade on MES

Both happen in the same direction and pullback. But when you look at the volume, they of course do not match up, proportionally. A more interesting example is you see some 250-500 contract blocks go off on ES spaced apart by some regular but slightly different intervals. Then watch the MES. Some of the times it appears it is just following. Are there arbitrage situations going on at the HFT level between the index minis and micros?

For me it is moot, since I do ES and never use MES (because I suspect there is). But the bottom line, to take a stab at answering my own question, is no (hardly any) market price moving block trades takes place on MES, simply because there notional amount is too small to bother for the volume-commissions impact AND there are some HFT shenanigans going on when there is. But too much off topic. Apologies to OP

i assumed you knew..that was for my future students ..yes..it is moot..in fact it doesn't really matter to the small retail trader who is doing what..or why they are doing it..the only thing that matters is the bottom line..can i make some money spending my precious time trading this market..and..the answer is definitely yes..once a few simple rules are followed..and some basic knowledge of chart reading and order entries are understood..and more importantly..practiced beforehand

jees..the previous posts remind me of the many many hours i spent gathering "data" and drawing fancy graphs and exquisite excel sheets..all a total waste of time..the old saying will always hold true..KISS..but unfortunately it takes a longgggggg time to really understand and practice it..

it was nearly 19 years ago i took up Ken's stuff..just remembered as it was a year that several big things happened to me..which of course mean nothing..just showing that it took me the best part of 15+ years to cop on..but hey..that is why old people are always wiser than the young hot shots

oh..does anyone know what happened to Redneck..aka RN..as i really do hope he is alright and still above ground!

M3

 

[Laissez Faire]

I trade the London session and stop before the NY open / premarket. It's a lower volatility session (usually) for rate and index futures. Before COVID, the Asian session had like zero vol, but with VIX so high (relatively) every session is tradable.

ES has a micro for scaling, averaging, or to trade against. I've never traded EUREX through my broker (IBKR) and don't subscribe to the data feeds. I'm so used to US markets, that for me there's really no point in moving over to EUREX. ES is liquid and you can check FDAX, MDAX, Eurostoxx, FTSE, or NKD for comparison.

Got it. I imagine the European indices and ES track each other fairly well in the European session.

I use a lot of statistics and non-chart based data for my trading which is built on the RTH template, so I couldn't easily just start trading the European session as that would mean 'charts only'.

Trading the London session before the overlap, cuz I had to get a job again after a big drawdown.

That sucks.

What happened?

 

[MarkBrown]

ES on data 1 and $TICK of the NYSE on data 2 - 1 minute chart.

 

[syswizard]

Very nice Mark. Is the Oddball system working in this environment ?

 

[MarkBrown]

ES 1 Lot - 95k in the past 5 years but it takes some heat.