Spydertrader's Jack Hershey Futures Trading Journal

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Quote from dkm:

The following link is a short video showing how 4k is added below the bid (at 1468.75 @11:19:43) and then removed 6 seconds later. After studying the DOM for a few days, I have noticed that this occurs frequently, where walls are created and then removed very quickly, several ticks away from the current price. Is there something that can be anticipated when seeing this?

http://rapidshare.com/files/52339345/dkm2.avi.html

When you get to the rapidshare screen, scroll down, click on "free", enter the given code, and download.
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Dkm,

In your video you noticed a wall on bid, it is at 1468.75 at 11:15 bar.
If you look at the 11:30 and 11;35 bars, that price level, is present.

Not seen on video is the 11:20 bar through 11:50 bar.
Your channel will have a volatility expansion on bar11:20.

There will form an FTT at 11:40, and start a retrace of the channel.
If you have the video for those minutes, look to see if wall returned at these times, and what took place at 11:50.

Chart attached with those times, and the price level of the wall.
 

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Quote from TIKITRADER:

Dkm,

In your video you noticed a wall on bid, it is at 1468.75 at 11:15 bar.
If you look at the 11:30 and 11;35 bars, that price level, is present.

Not seen on video is the 11:20 bar through 11:50 bar.
Your channel will have a volatility expansion on bar11:20.

There will form an FTT at 11:40, and start a retrace of the channel.
If you have the video for those minutes, look to see if wall returned at these times, and what took place at 11:50.

Chart attached with those times, and the price level of the wall.
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very cool... What would cause those tails to poke through if there was a wall there? I see that the bar didnt close below there, but it seems a true wall would prevent price from eating through it..

On another note, it was fun to watch those 2/4K lot orders jump around the DOM today. Dont really understand the mechanics behind this, but interesting nonetheless. Funny when they just cant move it in time and it gets picked off
 
Quote from jack hershey:

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4. He is reading the "reaction to his play that is "out of the market". See chapter 4 of Harris. Then look around page 200 or so.
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Hi Jack,
is this the book?
<img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=1587683/>
 

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Quote from Jander:

very cool... What would cause those tails to poke through if there was a wall there? I see that the bar didn't close below there, but it seems a true wall would prevent price from eating through it..
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I am curious myself, as to what happened during that time.
Just wanted to point out that I did notice a wall at 1468.75, and then it disappears.
I am wondering if the wall reappears around that price level or close. At the start of the video 1468.75 is on tape.

That" price level" itself reappears on bars at 11:30 to 11:35 and shortly after, price trades down through it and closes below.

Although DKM's question goes beyond this. . . for learning , I would like to see what happened at this time.
 
Quote from jack hershey:

For me, I deal the opposite way than Doyne Farmer's paper, recently misquoted by surfer. Read the humorous recitation by Bass on Predictor Corporation for more flavor.
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I had a quick look at some of Doyne Farmer's papers. He characterises market orders as "impatient" and limit orders as "patient". He treats the DOM as a proxy for demand (whereas it makes more sense to me to view it as supply). He models the DOM as monotonically increasing in size with depth (no observations of the walls that appear or games being played for him then). He attributes large price moves to a lack of liquidity (a thin DOM in other words) and not to large market orders - well the volume doesn't have to be big in those scenarios (that's rather the point!). He sounds like he is a very highly educated and clever man but jeez, he's missing what's in front of his nose. Please someone tell me I've got him all wrong.


These days it "feels" like everyone moved left a significant digit with their games. So we can cound on the "minority control" being more rapidly eliminated to move price. So always keep your eye peeled on which place holder is the one evaporating on the minority side the fastest.

What we are doing is prepping to anticipate the TIME the wal is going to be hit and a reversal trade can carve the turn.

You may see people playing "out of the market" with big add/deletes, but when the wall moves to the BBid/BAsk they are no longer playing one of the games. You, then, do know who is sponging up the limits at the wall though, since your eyes on peeled on that place holder level. It is never the units place holder. You only look there during cascading to watch the accounts getting wiped out.
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We simultaneously watch for the Wall and the pulling of spoof orders (which are probably an order of magnitude larger than the actual trades going off at the wall), confirmed by T&S. The sudden change in balance shows up clearly in what Farmer thinks is an inexplicable or random reduction in liquidity.
 
First its nice to see Pr0crast back.

Second, I to got suckered into frustration and bewilderment with the dec. volume and inc. price starting at 12:25 only to figure out the problem while at the grocery store :).

Third, I wonder if I am misinterpreting the concept of even harmonics with the 15:20 and 15:25 bars. I recognize the price and volume sequences during this time indicated an FTT. However, since we had what I thought was an even harmonic situation, I anticipated continuation of the uptrend. I know a flaw will invalidate harmonics but I don't recognize one at this point unless the Dip at 15:15 invalidated the EH. The YM also echoed the information on the ES.

Did any one else experience this?
 
Quote from guavaman:

First its nice to see Pr0crast back.

Second, I to got suckered into frustration and bewilderment with the dec. volume and inc. price starting at 12:25 only to figure out the problem while at the grocery store :).

Third, I wonder if I am misinterpreting the concept of even harmonics with the 15:20 and 15:25 bars. I recognize the price and volume sequences during this time indicated an FTT. However, since we had what I thought was an even harmonic situation, I anticipated continuation of the uptrend. I know a flaw will invalidate harmonics but I don't recognize one at this point unless the Dip at 15:15 invalidated the EH. The YM also echoed the information on the ES.

Did any one else experience this?
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Either you are a bit confused here, guavaman, or else I am (no doubt those two possibilities are a toss-up ... heheh). I'm thinking that the double top seen @ 15:20 - 15:25 represents an odd harmonic situation, in which case it is also suggesting reversal.

An example of an even harmonic could be a 4 bar lateral. As Spyder suggested before, one can think of that scenario as two pairs of double tops (or bottoms) and that two odds equals an EVEN, which would be indicative of continuation.

Hope I'm not spewing erroneous info :)
 
You have an FTT when a traverse (a faster fractal channel, or a tape) doesn't reach the left trend line of its channel, before the following retrace reaches its right trend line. It doesn't refer to every bar that doesn't reach the LTL. In the thin yellow tape (see my chart snipet) started at 11:35, the 11:45 bar is an FTT.
Quote from ericta:

in that case, why 11:45 black bar is not a FTT?

<img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=1587534>
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