Spydertrader's Jack Hershey Futures Trading Journal

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Hi,

Here is one example of Walls at ES. Go to http://pepe.4shared.com/ and download ‘Wall.avi’.

It has some nice things. It’s important to see that Walls (at ASK) were never ‘eaten, only moved (you can see this in T&S). It started to be at 1548.50 then moved to 1549.50 and then again to 1548.75.

Sometimes walls at BBid or BAsk are fast ‘eaten’ like someone wanted to create liquidity for someone else fills. It’s strange that sometimes +2000 cars fills the BBID only to see moments later sells of +1200 on T&S.

This is why I think this period was very interesting, because all ‘Walls’ were never eaten.

This all period could be one of two cases, imo:

1. It could be several attempts from someone to push the market higher failing to succeed as for what I often see, the market tends to follow the path of the highest cumulative volume. In this case there wasn’t anyone interested in buying all this liquidity at Ask. There is one moment (at minute 05:39 of the video), where there are two walls of 4500 cars at 1548.25 and 1548.00, it was the last failed attempt for market go higher

2. It could be some kind of ‘game’, holding the market by offering liquidity to buyers and selling at the same time, getting better fill prices until their orders are all filled.

Best Regards,
 
Quote from TIKITRADER:

Pr0crast, Would I view the 15:18 through 15:24 bars as my ccc based on the volume ? I should be aware of the channel of ccc and watch for its b/o? or what I should be saying , looking for continuation? . . . I think I just answered myself. Thanks Pr0
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LOL, no idea what you are asking... but I'm glad you answered your own question :-)

HVS often ends in CCC, nothing to worry about or treat differently.

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=1504605">

Also, probably more important to worry about flaws on the ES than on the YM, since you are only looking to the YM when the ES is at a trendline.
 

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Quote from Pepe:

1. It could be several attempts from someone to push the market higher failing to succeed as for what I often see, the market tends to follow the path of the highest cumulative volume. In this case there wasn’t anyone interested in buying all this liquidity at Ask. There is one moment (at minute 05:39 of the video), where there are two walls of 4500 cars at 1548.25 and 1548.00, it was the last failed attempt for market go higher

2. It could be some kind of ‘game’, holding the market by offering liquidity to buyers and selling at the same time, getting better fill prices until their orders are all filled.

Best Regards,
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Pepe,

Not sure what you meant when you said price follows the highest cumulative volume. So I apologize if I misunderstood. The path of least resistance is the smaller side. The price never moved up much as there was a lot of cumulative orders on the ask, lots of supply. Even if nearby orders got pulled there wasn't very far to go.

The actual control point is at the BB/BA. Which side gets eaten first. The walls farther away don't have an effect yet. You'll notice the volume picked up quite a bit after the 4500 walls appeared at BA.

If someone is playing games, they won't do it at the BB/BA, it will be back a level or two, lest someone hit their orders.

In the video, you could be pretty confident price wasn't going up, unless a lot of size started coming in hitting the ask.

Thanks for posting the vid. - EZ
 
Ezzy,
This has always created confusion for me. I agree with the control point being the inside bid/ask but as for the cumulative and path of least resistance this is where I get confused. It would make sense for the market to take the path of least resistance. However the markets job is to facilitate trade and often seems to move toward the side of higher cumulative volume. On trend days it seems like it continuously is moving toward the side with higher cumulative volume. I only know this from failed attempts fighting trend days using the cumulative volume as a reason to enter.
There are successful scalpers that wait for a 2:1 ratio and enter anticipating price going to the larger size. I don't understand the dynamics of this stuff that well and am thankful that the method Spyder has taught us the cumulative doesn't appear to be a factor as price/volume keep you on the right side.
Hope to someday understand this stuff better and would like someone to explain it to me but realize it is a little off topic.

Quote from Ezzy:


Not sure what you meant when you said price follows the highest cumulative volume. So I apologize if I misunderstood. The path of least resistance is the smaller side. The price never moved up much as there was a lot of cumulative orders on the ask, lots of supply. Even if nearby orders got pulled there wasn't very far to go.

The actual control point is at the BB/BA. Which side gets eaten first. The walls farther away don't have an effect yet. You'll notice the volume picked up quite a bit after the 4500 walls appeared at BA.

If someone is playing games, they won't do it at the BB/BA, it will be back a level or two, lest someone hit their orders.

In the video, you could be pretty confident price wasn't going up, unless a lot of size started coming in hitting the ask.

Thanks for posting the vid. - EZ [/B]
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IMO, the bigger cum. vol. on the DOM represents a big liquidity pool which attracts the vol. players for profit taking or Arbs activity which consequently causes the price to move towards it. It seems cntrary to the supply & demand if looked at from a very close distance but the big picture is quite in harmony with the S&D.
 
Quote from Cy_M:

IMO, the bigger cum. vol. on the DOM represents a big liquidity pool which attracts the vol. players for profit taking or Arbs activity which consequently causes the price to move towards it. It seems cntrary to the supply & demand if looked at from a very close distance but the big picture is quite in harmony with the S&D.
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How big is this big picture?
 
Hi,

I often see two things on DOM:

1. It often moves towards the side of highest cumulative volume
2. At BBid/Bask it follows the path of least resistance (i.e. the smaller size)

Why markets move towards the side of highest cumulative volume, is one thing that maybe it’s counter-intuitive, but try to think how one makes money in the market? The answer is easy. One must profit from someone loss. Now, if there are 5000 cars at Bid and 15.000 at Ask where do you think one can target the largest loss to someone (and the largest profit to him)? Remember, majority can never be right, if that happened it will be impossible for one to make money in markets as there were too many people on one side and no one to fill that supply.

Of course, we only need to watch DOM near RTL and LTL, which because of the nature of channels and what they represent, one can stay alert (at the right moment) to detect subtle details not available to anyone that doesn’t use channels.

At LTL for instance, as this is one extreme of price range one may see if a ‘Wall’ will be eaten or not, giving one important clue that there aren’t sufficient buyers or sellers to make price head higher or lower, making this a signal of “change”.

Best Regards,
 
My two cents, based on my limited knowledge...

I think its important to keep in mind that the DOM just shows the supply, while the T&S shows the demand.

If there is a big wall underneath, this simply means that a lot of people, by their own methods, are long have decided to place protective stops there. This creates a supply that seller-demand eats from. If DEMAND is such that the wall can be defeated, this reveals that at this moment in time, the sellers are a force to be reckoned with.

If there is a big wall above, this simply means that a lot of people, by their own methods, are short and have decided to place protective stops there. This creates a supply that buyer-demand eats from. If DEMAND is such that the wall can be defeated, this reveals that at this moment in time, the buyers are a force to be reckoned with.

I really don't see how the mere existence of a wall can possibly "attract" demand, but if you can provide some evidence of this I would certainly consider the possibility. In our timeframe, I haven't witnessed any usable phenomena other than:

1) the minority supply rules
2) especially strong demand creates a new minority supply

Thanks for taking the time to comment...

Regards,
Pr0crast
 
Quote from Pr0crast:

My two cents, based on my limited knowledge...


I really don't see how the mere existence of a wall can possibly "attract" demand, but if you can provide some evidence of this I would certainly consider the possibility.
Regards,
Pr0crast
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The Hedge fund who needs to pick up 30k ES , is not going to miss the opportunity to not pick up a few k,s there from the big pool and wait for the price to drop a few ticks more down where there won't be any liquidity!
 
Quote from Cy_M:

The Hedge fund who needs to pick up 30k ES , is not going to miss the opportunity to not pick up a few k,s there from the big pool and wait for the price to drop a few ticks more down where there won't be any liquidity!
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Certainly that explains some some of times when those big orders go through, but are you saying that there tends to almost always be a hedge fund that will take advantage of these supply excesses that materialize multiple times an hour? What about the times when the wall holds, with no attempt to take it down? This seems to happen just as often.

Thanks for your patience in addressing my questions.
 
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