Spydertrader's Jack Hershey Futures Trading Journal
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Hi MB:Quote from Mr_Black:
This is small chart I made to represent How the Price is moving...
THanks for the chart. I can see the chart jumped 2 ticks because the bid size was larger than what was offered.
Can you further explain the significance of this event?
The DOM will momentarily show 1415/1414.50? Right?
Does the next trade foretell the hidden sentiment? I mean if there is an upside bias in the market, the next trade would naturally follow in that direction.
But the exchange receives market orders all the time, the next trade might well be a hit on bid. And the chart will appear a price drop to 1414.25?
This is a great illustration of how when one side gets eaten up, price moves in that direction. The details on the DOM is a few months down the road. In the meantime, what's interesting in MB's diagram is the relationship of the price bar's volatility to the bid/ask size. Price jumped 2 ticks quickly because of the size.
This may seem a bit off topic but it's directly related to the price/volume relationship. Take a look at MAK's "volaility spreadsheet"
http://www.elitetrader.com/vb/attachment.php?s=&postid=1319868
This drill was suggested by Jack. Go through a day, actually do several days with different ranges, and circle on the spreadsheet where each of the 81 daily bar's volatility is located. You will see an obvious relationship, among several. Higher volume = larger range, etc.
What may not be as obvious is on certain days all the ranges are skewed toward either the larger or smaller volatility range for a given volume. For example, today volume of 10,000 on a 5min ES bar may give you a 1.75 point bar, and tomorrow or next week you only get a .75 - 1 point bar.
The reason is most likely the size of the Bid/Ask vs the size of the orders hitting them.
FWIW, (and hopefully to head off the thread going into a DOM discussion) on every tick change up and down the DOM is changing, or you could say the controlling side is changing. Think of how many times it changes during a single bar. If you try to use it to trade off of at this level it will whip saw you to pieces and things will get ugly real quick. Spydertrader will cover it at the appropriate time.
Regards - EZ
Quote from PointOne:
Yes it was a wise decision.
I think I am reading volume a lot better now (I thought I had it down before but clearly I still have more work to do in real time).
There is just no missing the context for me any more. My Nikkei experience one day this week forced me to really look at the volume bars to see why I was fooled - the trends within trends - and it was as clear as day what was dominant at all times (long all day; I kept trying to short off FTTs) and what I misidentified as the FTTs were all tree level flaws (declining red in the larger context).
Looking at your ES chart you know by 11:30 that the long blue channel is likely just a retrace within the larger short context which continues until 14:30. Price increases again from 12:15 to 12:25 on apparently increasing black volume (on the trees level) but decreasing black (forest level - as compared to the 11:30 peak volume bar).
So you know this is a retrace (up on decreasing volume, on the Forest level) and the inevitable FTT is likely to be a Pt 3 of a bigger short channel (not shown on your chart) and an excellent short trade.
12:30 gives you the pause for the R2R and break-out down (DU -> FRV again).
14:30 then becomes a much more important FTT in this short context and indeed price does continue up to break-out from the channel Spyder decided not to drawat around 15:30.
(If my times are slightly off its because I'm just eyeballing Spyder's chart and enjoying my Saturday with a nice Australian).
Good w/e all.
Excellent post.
This is an fridays chart on ES compared to Advancing issues and Declining issues on NYSE...I drown the 1,2,3 channels only and the Gaussians on ES Volume...It is obvious how closely correlated is ES whit NYSE stocks...I am sorry but 2 min YM chart it can not be drown using Prophet Chart stream...It will be great to have this all together to see the market influences .....
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