Scalping_My Way with ACV

Quote from ishallreturn99:

Dcraig,
thanks for the chart.
THIS is what we need more of.
For any NeoTicker users, I have posted instructions on setting up ACV in Neo at http://forums.neoticker.com/showthread.php?t=1618

I have no connection with NeoTicker other than as a happy user.

It is *always* helpful to add another data dimension to be able to analyze, and this is a valid and unique data point to utilize. The key issue now is just HOW to use it, how to interpret what it tells us. To just say "I do this to scalp for 2 ticks when the ratio is 2:1" may in fact be valid, but it barely scratches the surface of what COULD be done.

Let's keep the ideas coming!
W
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Thanks for your input 99'...

thx w. and to bill for starting thread. i'm re-reading all posts a few times so i can better understand this concept.
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There is a a number of posts on this subject - ACV - in depth by a poster - called Scientist...

cj...

__________________
HAVE STOP - WILL TRADE

If You Have The Vision We Have The Code
 
Quote from dcraig:

As I said in previous post some of the order book volume may not be from directional traders. Perhaps arbs of various types. Maybe somebody with more knowledge could expand on this or tell me it's a lot of nonsense. That this stuff seems more applicable to SIFs than currency futures is a clue here.
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So, after a few days my question still hangs in my mind.

Again:

1) why would a big ask/bid ratio imply you get long?
2) why would a big sell limit(-2) order mean the 'sellers are trying to stop the downtrend'?

These, and similar observation are made in threads on scalping. Is there no one that can explain these phenomena to me?
If so, what happened to the adagium that you only know you fully understand something when you're able to explain it to someone else? Are you really trading these things without understanding why they happen?

Ursa..
 
Quote from MajorUrsa:

So, after a few days my question still hangs in my mind.

Again:

1) why would a big ask/bid ratio imply you get long?
2) why would a big sell limit(-2) order mean the 'sellers are trying to stop the downtrend'?

These, and similar observation are made in threads on scalping. Is there no one that can explain these phenomena to me?
If so, what happened to the adagium that you only know you fully understand something when you're able to explain it to someone else? Are you really trading these things without understanding why they happen?

Ursa..
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I most definately don't claim to fully understand it. But here's one possible scenario that MAY be part of the picture. When a SIF gets 'too far' out of wack with the cash market arbs will sell the future/buy a basket of stocks (or the other way round). To do this in the futures market you will need to be trading a fair bit of size, so you need liquidity ie selling into strength or buying into weakness. Taking a simplistic view, these trades are hedged, so direction is not important.

Another possibility - high frequency automated trading systems executing some sort of reversion to mean strategy. Also consider that although size is showing in the order book some of these orders may be pulled by an ATS and not executed.

And another - arbing between the future and an exchange traded spread. I have seen it suggested that a significant portion of the YM book is due to this strategy.

Also consider hedgeing of stock portfolios.

A lot depends on the time frame of the various market participants. Large longer term players may need the liquidity of trading against the short term trend. And so on.

As I don't know (and have no easy way of finding out) the ins and outs of these sorts of things, some comments by those who have more knowledge would be appreciated.
 
Quote from dcraig:

I most definately don't claim to fully understand it. But here's one possible scenario that MAY be part of the picture. When a SIF gets 'too far' out of wack with the cash market arbs will sell the future/buy a basket of stocks (or the other way round). To do this in the futures market you will need to be trading a fair bit of size, so you need liquidity ie selling into strength or buying into weakness. Taking a simplistic view, these trades are hedged, so direction is not important.

Another possibility - high frequency automated trading systems executing some sort of reversion to mean strategy. Also consider that although size is showing in the order book some of these orders may be pulled by an ATS and not executed.

And another - arbing between the future and an exchange traded spread. I have seen it suggested that a significant portion of the YM book is due to this strategy.

Also consider hedgeing of stock portfolios.

A lot depends on the time frame of the various market participants. Large longer term players may need the liquidity of trading against the short term trend. And so on.

As I don't know (and have no easy way of finding out) the ins and outs of these sorts of things, some comments by those who have more knowledge would be appreciated.
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I think Sceintist goes into this in depth in this thread (or one of his long threads)

http://www.elitetrader.com/vb/showt...26299&perpage=6&highlight=volume&pagenumber=1

he talked about it extensively <b> 2 to 3 years ago...</b>

as in: Price goes to Size... i think...

cj...

:)
________________
HAVE STOP - WILL TRADE

If You Have The Vision We Have The Code
 
Quote from EdgeHunter:
I think Sceintist goes into this in depth in this thread (or one of his long threads)

http://www.elitetrader.com/vb/showt...26299&perpage=6&highlight=volume&pagenumber=1

he talked about it extensively <b> 2 to 3 years ago...</b>
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That sure is an interesting thread and I did find that specific quote. I only read half of it yet, but it seems that in that thread too these kinds of wisdom are taken for granted, without really explaining the origin. Oh well, I'm getting used to it :). It seems that scalping is a true expertise, that can only be acquired by training patterns.

(Btw, are there neural networks used for scalping yet?).

I'll keep on reading then and see what I'll understand in a few months. Thanks for now, dcraig too. Your listing of possible 'causes' does indeed make sense and might explain some of the strange effects. especially the stock/hedge could cause contrarian issues.

Ursa..
 
Has anyone else tried this method for scalping? Seems like Bill took his ball and went home. Would really be interested to pick up the discussion.
 
I spoke with Bill, just a couple of weeks ago...Great Guy!!
You should check out his website, and or Email him...

He stays busy...
But He is Down to earth...

Sicnerely,

JC
 
If anyone can get coding for the ACV for Investor R/T, I will compare the ACV activity in concert with market delta fundamentals and see if I can find any correlations.
 
Quote from MajorUrsa:

Is this just an observation based on experience, and/or standard lore amongst scalpers, or is it based on some explainable mechanism in the market. If so, please do (explain).
I mean, you're saying that when at the market and someone comes in with a truckload of oranges I should start buying oranges, because the price will probably rise?? ? ?? :confused:

...

Ursa..
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it's not just 'someone', since it's a truckload size it must come from a big guy and big guy is the guy that definitely can move the market. OK so now we know who is that someone, the next logical question is, is he seller or buyer? if he is seller does he want to sell at lower or higher price? if he is buyer does he want to buy at lower or higher price? what would you do if you are big guy, what would you do if your name is Don Corleone :cool:
 
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