Question for Grob/Hershey...

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Dantheman,
I´ve tested the same thing as you did. I think it´s a good way to time your entries but the problem is if you enter at the market you gonna loose one tick. If it´s jumping between 1262.75 and 1263 and your looking for a short entry when it jumps back to 1263 you probably gonna get a fill at 1262,75 anyway. And my limited experience trading ES with real money showed me it´s difficult to use limit orders. It´s much more likely that you get filled on the losers then on the winners, cause the market often has to move through your order with one tick for you to get filled.
Maybe it´s easier to do this on YM, since the tick increment is smaller, but it´s probably a tough scalping strategy.
Anyway, I believe it can be very useful to time entries.

/Stalker
 
I´ve been following stretch/squeeze, t&s and dom for two days. To me it was really mindblowing just watching the orders going off, cause for months I´ve been watching bars jumping up and down but never really had a feeling for what´s actually going on under those price-volume bars. Not implaying you have to watch t&s to be successful, just that it made things clearer for me.

Mak - everything you said about bid/ask seems to make perfect sense to me. I just got some questions/considerations.

- Watching the caveout of the bid/ask on either side of the current price is - to put it mildly :) - tough to do with eyes only. I don´t know, maybe you have to program this. Have you looked at the caveout of the cumulative bid/ask size to see if there is a pattern there too signaling a bigger move than one tick? Then of course the equation becomes more complicated cause you have to let price tick up and down without taking action, and it will change the cum bid/ask size. Gonna pounder this next week.


- When I watched the orders going off on t&s I was focusing on the big orders. I don´t know if this is what you meant by the minority report? Anyway, my thinking was that one order for 500 contracts hitting ask is more worth then 10 orders for 50 contracts hitting bid, cause the guy with the 500 contracts has the power to move the market temporarely. So when the big orders where going of at ask, but price was dropping anyway because a lot of small traders were hitting bid, I assumed that the markets going up even if it retraced down a couple of ticks. This seemed to be a valid assumption, but I think I have to look at this for a longer time.
Also, some of the big traders are not to be trusted so to speak. For example I saw this guy who over and over again hit the tape with 400 contracts but only stayed in for 1-2 ticks, so the market moved back to the original price when he closed his positions.

Is my interpretation of the minority report valid, that you look at the size of the individual orders rather then the total volume hitting bid/ask and try to stay on the same side as the guys with lots of contracts?


Stretch/squeeze - I have some problems with the datafeeed from NYSE, both my charts for TICK and INDU is behaving weird, so I had to watch the offset directly on tws. This doesn´t bother me though cause I tend to like to watch numbers. One advantage watching the pure price is that you soon starts to remember certain levels of temporary support and resistence. I believe you have to take this into consideration. You can see stretch/squeeze, but if ym is not passing through areas of s/r this change in offset is not to be trusted.

Just some thoughts and questions. Your posts really inspired me Mak. I know it´s not good to get stuck on the micro level, so I´m trying to work out a sequence order, that is when to look at what.

If I remember correctly you americans are sitting with your mouth full of turkey today. Or was that at christmas?

/Stalker
 
When you see a big order go off what does this tell you? It tells you a big order went off. One big player buys 500 and another big player sells it to him. Trading that size you would think that both know what they are doing but they are taking opposites sides. Who's right? Im watching thousands of contracts go off at the ask for 5 minutes so all these people think its going up but somebody is sellling all these contracts to them who thinks its going down and often it will. I see no rhyme or reason to it but I know there must be some pattern because some people I respect say there is. I just cant see it. When you remember that for every buyer there is a seller you realize how delicately the market is balanced.
 
Quote from aweissen:

Easy, where are you getting your historical data? Perhaps I misread, but QT doesn't look like they have hist. data for futures...

Anthony
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They do not provide historical charts for ES but there are lots of places to get historical charts.
 
Quote from easyrider:

When you see a big order go off what does this tell you? It tells you a big order went off. One big player buys 500 and another big player sells it to him. Trading that size you would think that both know what they are doing but they are taking opposites sides. Who's right? Im watching thousands of contracts go off at the ask for 5 minutes so all these people think its going up but somebody is sellling all these contracts to them who thinks its going down and often it will. I see no rhyme or reason to it but I know there must be some pattern because some people I respect say there is. I just cant see it. When you remember that for every buyer there is a seller you realize how delicately the market is balanced.
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Don´t worry easyrider, by now I realize that there are people who don´t understand that the markets supposed to go up when I go long. But if the market is not totally random, then there IS a pattern in t&s and dom, because what you see on the chart is the same thing. Of course the chart smooth things out with a longer timeframe.

The only thing I´m actually looking for is a way to get to break even or +1 tick right after I enter with a market order, which would be tremendously usefull if you use it together with the channels.

/Stalker
 
Quote from easyrider:
When you see a big order go off what does this tell you? It tells you a big order went off. One big player buys 500 and another big player sells it to him. Trading that size you would think that both know what they are doing but they are taking opposites sides. Who's right? Im watching thousands of contracts go off at the ask for 5 minutes so all these people think its going up but somebody is sellling all these contracts to them who thinks its going down and often it will. I see no rhyme or reason to it but I know there must be some pattern because some people I respect say there is. I just cant see it. When you remember that for every buyer there is a seller you realize how delicately the market is balanced.
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This is two very different types of buyers/sellers. On one side of the transaction was a single buyer willing to pay Ask for 500 contracts. On the opposite side is one large or many small limit sellers. The limit sellers made their decision in the past, submitted their order, and have been waiting in the queue for a fill. The 500 lot buyer made his decision immediately before you see it printed on the tape.
 
I'm not saying theres no patterns. Im saying I dont see them and Ive been trying for quite awhile. I see patterns in the charts and I trade them but I get no help from the fine sweeps and its very frustrating. I am sure it is my own limitations that are the problem.
 
Quote from txuk:

This is two very different types of buyers/sellers. On one side of the transaction was a single buyer willing to pay Ask for 500 contracts. On the opposite side is one large or many small limit sellers. The limit sellers made their decision in the past, submitted their order, and have been waiting in the queue for a fill. The 500 lot buyer made his decision immediately before you see it printed on the tape.
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That´s exactly what I´m thinking to, it´s a huge difference.
 
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