Order Flow Trading

[qlai]

Don't want this thread to die so soon ...

To me, all TA is mostly a self fulfilling prophecy. It seems to me many indicators were born in the pits and I assume went something like this:
Trader X is Large trader and can easily move the market (at least a few ticks anyway). He uses whatever indicator he wishes or none at all as it doesn't really matter.
Others notice that trader X follows some rules. Trader X doesn't mind sharing generic rules as most of the time there's a benefit to knowing what the crowd is likely to do.

So now as price approaches, everyone is on high alert. What is going to happen around here?

Maybe someone who was actually in the pits can explain where pivot points came from and why they are meaningful!?

"Pivot point, support and resistance calculations are widely accepted as the simplest yet most effective trading strategy. They are well trusted by traders, banks and all financial institutions as clear indicators of the strength or weakness of the market. They are used as the basis for most technical analysis. The pivot point is the point in which the market sentiment changes from bearish to bullish."

https://www.investing.com/technical/futures-pivot-points

 

[bone]

Don't want this thread to die so soon ...

To me, all TA is mostly a self fulfilling prophecy. It seems to me many indicators were born in the pits and I assume went something like this:
Trader X is Large trader and can easily move the market (at least a few ticks anyway). He uses whatever indicator he wishes or none at all as it doesn't really matter.
Others notice that trader X follows some rules. Trader X doesn't mind sharing generic rules as most of the time there's a benefit to knowing what the crowd is likely to do.

So now as price approaches, everyone is on high alert. What is going to happen around here?

Maybe someone who was actually in the pits can explain where pivot points came from and why they are meaningful!?

"Pivot point, support and resistance calculations are widely accepted as the simplest yet most effective trading strategy. They are well trusted by traders, banks and all financial institutions as clear indicators of the strength or weakness of the market. They are used as the basis for most technical analysis. The pivot point is the point in which the market sentiment changes from bearish to bullish."

https://www.investing.com/technical/futures-pivot-points

Pivot points are forward trading range projections derived from historical on-the-run trading range calculations. To take as established fact that PP’s identify market sentiment and other magical properties is a wild overstatement.

 

[Alphafuturestrading]

There is so much “spoofing”, flipping, stacking, order-crossing and gamesmanship going on with electronic order books that only a fool would try to interpret anything from depth-of-market. And big commercials use very sophisticated “Iceberg” order injection algorithms in order to hide their footprints. But if you think that you have an edge with it - by all means ignore me.

Here’s the thing - no one outside of the exchange regulatory compliance department has access to individual order identifier tags - so it’s a myth that some vendor or system has the ability to segregate and identify market participants.

Hi Bone, this is why I was saying that I do not trade the Order book, but on Supply and Demand, watching transacted volumes under various formats (footprint, Volume Profile, vertical volumes, TPO i.e Time Vs Volume at price, Delta, Supply and Demand areas, absorption, accumulation/distribution etc). If anything I feel the DOM does not give me enough and potential misleading info as “gamed”, but just as I have been working this way for nearly 10 years with very reasonable returns, I am aware that there are order books traders out there, who do well, so as I mentioned in previous post, key is to trade with a plan/setup/analysis that makes sense to YOU first and foremost.

 

[Alphafuturestrading]

Don't want this thread to die so soon ...

To me, all TA is mostly a self fulfilling prophecy. It seems to me many indicators were born in the pits and I assume went something like this:
Trader X is Large trader and can easily move the market (at least a few ticks anyway). He uses whatever indicator he wishes or none at all as it doesn't really matter.
Others notice that trader X follows some rules. Trader X doesn't mind sharing generic rules as most of the time there's a benefit to knowing what the crowd is likely to do.

So now as price approaches, everyone is on high alert. What is going to happen around here?

Maybe someone who was actually in the pits can explain where pivot points came from and why they are meaningful!?

"Pivot point, support and resistance calculations are widely accepted as the simplest yet most effective trading strategy. They are well trusted by traders, banks and all financial institutions as clear indicators of the strength or weakness of the market. They are used as the basis for most technical analysis. The pivot point is the point in which the market sentiment changes from bearish to bullish."

https://www.investing.com/technical/futures-pivot-points

Hi Qlai, Order flow is not TA. Whether TA is a self fulfilling prophecy or not, it uses and bases itself on past prices unlike order flow which uses current data.

There are many ways to define “pivot” points. I don’t look at pivot point per say, as defined by TA.

When looking and trading based on some order flow areas/zones, call it “pivot” points if you will, I can assure you that prices or rather Trader who make the market and make the prices move, do react to these areas/zones/“pivots”. They are all volume based and make sense in the way trading works (you need to buy/sell from a seller/buyer and you need to exit a long/short position with a short/long trade).

This is just factual info order flow uses and is not based on what everybody does, or or some percentages or else.

Again, I fully respect anyone’s way of operation if it works for them, I am just explaining here what order flow tends to look at.

 

[sillyw10]

Sorry Sillyw10.. I made this confusing when all I meant was that “when you do not close an open position”.. I like to work an average price rather than “be short” or “be long” all in. I would slice an overall order, according to the type of day, previous days, and order flow in general, and work on a weighted average. This takes a number of contracts and can spread on several hours or more rarely days and some overnight open positions. This is often what Institutional Brokers do as they may guarantee “best of VWAP”. This requires more to have a sense of where the day or days might evolve as opposed to scalp in and out within minutes, and means that algos and other potential influential market movers are far less of a concern.

more clear now..I have to agree with last few posts by bone..I have traded ES in the past but the new buzzwords are just more of the same crap put out there by those who sell the shovels..if one takes the time to sum up the ES delta volume for the regular trading hours it will show that the overall change in OI is very small..the majority of trades are opened and closed by algo and HFT trades

I have spent many hours trying out various configurations of Dom and delta volume on the charts..from range bars to time bars..and from what I have seen these BIG traders don't even know what they are doing..they just plug in a few mathematical equations and keep firing off trades based on the outputs of the maths..the idea is..as we all have been told by the "experts" is to try for a 1.5 win rate..which.. any idiot who ever gambled knows that the more times you trade the more likely you will hit a small win rate like 1.5

it's a mugs game..but only if you are a mug of course..the big winners are the CME and the brokers..and of course the big banks that use OPM to pay themselves and their cronies large salaries at the expense of the plebs

that said..I do believe that the volatility in the ES and MES offer very good opportunities for the pleb trader to make some nice "small" money..once the pleb doesn't get sucked into all the hype and waste all their time and effort looking at and paying for things that really do not matter when it comes to making money

the old saying will always hold true..

" a fool and his money are easily parted "

 

[Alphafuturestrading]

more clear now..I have to agree with last few posts by bone..I have traded ES in the past but the new buzzwords are just more of the same crap put out there by those who sell the shovels..if one takes the time to sum up the ES delta volume for the regular trading hours it will show that the overall change in OI is very small..the majority of trades are opened and closed by algo and HFT trades

I have spent many hours trying out various configurations of Dom and delta volume on the charts..from range bars to time bars..and from what I have seen these BIG traders don't even know what they are doing..they just plug in a few mathematical equations and keep firing off trades based on the outputs of the maths..the idea is..as we all have been told by the "experts" is to try for a 1.5 win rate..which.. any idiot who ever gambled knows that the more times you trade the more likely you will hit a small win rate like 1.5

it's a mugs game..but only if you are a mug of course..the big winners are the CME and the brokers..and of course the big banks that use OPM to pay themselves and their cronies large salaries at the expense of the plebs

that said..I do believ that the volatility in the ES and MES offer very good opportunities for the pleb trader to make some nice "small" money..once the pleb doesn't get sucked into all the hype and waste all their time and effort looking at and paying for things that really do not matter when it comes to making money

the old saying will always hold true..

" a fool and his money are easily parted "

Can’t disagree with you! As long as whatever you do works for you, this is good enough I should think. Win ratios are meaningless. I take one the market can give me, with what I have and can do, I don’t decide what I want, I don’t make the market. And yes institutionals might not know what they do and why and ultimately have size and leverage and this is pretty much what makes it happen and work..!

 

[qlai]

Order flow is not TA. Whether TA is a self fulfilling prophecy or not, it uses and bases itself on past prices unlike order flow which uses current data.

Orderflow is only meaningful around areas of interest, imho. Volume Profile is nothing more than areas of past activity which may or may not be relevant in the future. That's why I put it all in TA bucket - it only has value if enough people subscribe to it. You are not trading orderflow on its own(unless you are automated and fast), you are trading orderflow at key levels as identified by whatever is "popular" at the time. Why is it "popular?" Don't care.

 

[Alphafuturestrading]

Orderflow is only meaningful around areas of interest, imho. Volume Profile is nothing more than areas of past activity which may or may not be relevant in the future. That's why I put it all in TA bucket - it only has value if enough people subscribe to it. You are not trading orderflow on its own(unless you are automated and fast), you are trading orderflow at key levels as identified by whatever is "popular" at the time. Why is it "popular?" Don't care.

Everybody has their opinion yes, fully respect that. Happy to share with anyone who finds that it works well and suits their style. Areas of past horizontal volume activities are always very relevant, according to my experience at least and as long as it generates money, I care no further!

 

[bone]

Hi Qlai, Order flow is not TA. Whether TA is a self fulfilling prophecy or not, it uses and bases itself on past prices unlike order flow which uses current data.

“Order Flow” as you term it is also historical in nature - it’s no fresher than a time & sales ticker or a tic chart.

If you’re going to delve into the micro structure of markets you would be well served to study the rules-based hierarchies found in Algo and HFT designs.

I wish you good fortune!

 

[Alphafuturestrading]

“Order Flow” as you term it is also historical in nature - it’s no fresher than a time & sales ticker or a tic chart.

If you’re going to delve into the micro structure of markets you would be well served to study the rules-based hierarchies found in Algo and HFT designs.

I wish you good fortune!

Thank you! I am serve well though. I feel I need to justify what I do and works fairly well as it is. I only want to share with like-minded people, I have nobody to convince, those who don’t think it is any good and do otherwise and do well, best of luck, I just intend to share with those who operate in the same way and fully respect there are other ways to operate.