Order Flow Trading In 2022

$TIKI tells you where (bid or offer) the DJIA is trading at any time during RTH
$VOLD (up volume/down volume difference) tells you about aggregated order flow

You can watch (ES + 10*SPY) - (2*SPX) which is a basis spread (PREM).
For Nasdaq it's (NQ + 40*QQQ) - (2*NDX).

You can also price a front month synthetic index, e.g. (100*ES - 20*NQ) (synthetic ES).
This is a hedged index trade (overweight SPX with an NDX hedge), which is being monitored by countless volume/price algorithms. Heavy flows coming out of this trade.

Ultimately, if you want to get on top of, or understand flows, it's the US treasury market you need to learn.
 
tiddlywinks said:
Limit orders can be seen on a DOM, whereas market orders are
seen only as actual and executed volume.
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Market orders are matched with resting orders on the order book, no? Even if two market orders of the same product and quantity, one buy, one sell, arrive at the exact same time, one is filled at the ask and the other at the bid.
 
qlai said:
Correct me if I’m wrong, but before such info goes public, it’s disseminated to their prime customers. So once it becomes public (after 45 days?), all the smart money is already in and possibly getting out?
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no lol
 
longandshort said:
That’s a good start. 144s, 13d/g are also good.
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@longshort, I read your other threads and I am pretty sure you know what you are talking about. So I’m not arguing with you, but it would make no sense for a large market player to make his/her intensions known ahead of time. My understanding is that if they want to enter into a position quietly over time, they can utilize their prime broker to accumulate the position under broker’s name so they don’t have to report it until they are done. Are you saying that you can find out their intentions/actions prior to them having to disclose it? Or are you just saying that once it’s disclosed, there’s still an effect on the price that can be taken advantage of?
 
qlai said:
@longshort, I read your other threads and I am pretty sure you know what you are talking about. So I’m not arguing with you, but it would make no sense for a large market player to make his/her intensions known ahead of time. My understanding is that if they want to enter into a position quietly over time, they can utilize their prime broker to accumulate the position under broker’s name so they don’t have to report it until they are done. Are you saying that you can find out their intentions/actions prior to them having to disclose it? Or are you just saying that once it’s disclosed, there’s still an effect on the price that can be taken advantage of?
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that's not how it works.

Fund managers publish their mandates all the time. Think of the name of many of these funds -- "Vanguard Small Cap Growth Fund" etc. Furthermore, in their summary prospectus they'll often include more information about what they look for in companies. Funds don't have to disclose until they reach certain thresholds, so typically when they report a holding, they may have actually been in it for some time.

1) yes you can find out their general intention by reading their fund strategy and reviewing their historical holdings
2) there's no edge to this information YET
3) for there to be an edge, you have to be good at figuring out what stocks they will buy (not so hard to do) and then buy those stocks before they do (quite hard to do)
 
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