Tape Experts

Lucrum · Mar 27, 2008

Quote from speculatus:

Tape Reading is spotting an aggressive buyer or seller by looking at the price/volume action and recognizing some patterns. It's relevant for listed stocks where specialist/floor brokers still play a role, and one can spot their hands on the tape (even with Hybrid).

You cannot do that in futures where you have thousands participants that can play with size (say 1000+ contracts) just for a couple of ticks profit, and dump the position once index starts going another way. You cannot read it (because there is nothing to read). Size orders and aggressive orders are not the same. It's just a completely different game.

I'm no expert on the subject but I'm inclined to agree with you. I would certainly welcome any other experienced opinions on this.

CONR · Mar 27, 2008

Quote from speculatus:

Tape Reading is spotting an aggressive buyer or seller by looking at the price/volume action and recognizing some patterns. It's relevant for listed stocks where specialist/floor brokers still play a role, and one can spot their hands on the tape (even with Hybrid).

You cannot do that in futures where you have thousands participants that can play with size (say 1000+ contracts) just for a couple of ticks profit, and dump the position once index starts going another way. You cannot read it (because there is nothing to read). Size orders and aggressive orders are not the same. It's just a completely different game.

I'm surprised that you say that about the futures. I've read quite a bit from those who trade futures only and the only thing they use is the tape.

Don Bright · Mar 28, 2008

Quote from minoritywin:

After NYSE got hybrid, Don, do you think tap reading becomes much tougher and uncertain?

Not really much difference. We see al the depth of book (ARCA, NYOB, L2 etc.). We get "sweeps" to make up for trade-throughs, etc. The other factors haven't really changed at all.

Don

NY0BScalper · Mar 28, 2008

Quote from speculatus:

Tape Reading is spotting an aggressive buyer or seller by looking at the price/volume action and recognizing some patterns. It's relevant for listed stocks where specialist/floor brokers still play a role, and one can spot their hands on the tape (even with Hybrid).

You cannot do that in futures where you have thousands participants that can play with size (say 1000+ contracts) just for a couple of ticks profit, and dump the position once index starts going another way. You cannot read it (because there is nothing to read). Size orders and aggressive orders are not the same. It's just a completely different game.

Would you characterize the game of trying to tape read futures as being similar to trying to tape read extremely liquid dow stocks? Something like GE probably has as many Swifties willing to go in/out with 50-100k shares as the ES has people scalpers throwing 50-100 contracts around. I guess you can still get floor broker and specialist participation in a stock like GE, but do you believe that is what differentiates the ease of profitability in scalping that market vs. the ES?

speculatus · Mar 28, 2008

Quote from NY0BScalper:

Would you characterize the game of trying to tape read futures as being similar to trying to tape read extremely liquid dow stocks? Something like GE probably has as many Swifties willing to go in/out with 50-100k shares as the ES has people scalpers throwing 50-100 contracts around. I guess you can still get floor broker and specialist participation in a stock like GE, but do you believe that is what differentiates the ease of profitability in scalping that market vs. the ES?

When I read the tape, I look at every quote and every print trying to recognize some patterns. Every bit of information counts. For liquid stocks or futures you simply cannot do that by the speed of the quote and trade tapes. It's only doable for small/mid cap stocks.

Gonz · Mar 28, 2008

feel the flow... i.e. instinct

CONR · Mar 28, 2008

What, no futures guys have anything to say?

greddy · Mar 29, 2008

Quote from CONR:

What, no futures guys have anything to say?

I used to subscribe to Hubert' s newsletter at Tradethemarkets.com. He tape reads the YM.

He brackets the trading range and either buys the pull back
or trade the breakout. Gauges the intesinty of buying / selling
by listening to pit noise and speed of trades going through.

Also looks at patterns in tape. Does not look at the depth or Lv2
type info as he feels it is useless.

What you see is what you trade. No garbage like oh, SP futures
going up but the stock I am watching is not.

I highly prefer trading YM futures over daytrading stocks. I
don't have to monitor a gazillion stocks, just watch YM every
day. You will eventually obtain a feel for how it moves.

Another benefit, preparing your tax return is much easier since you don't have to break out your trades on the tax return. Just put the net amount, not 500 pages of detail.

In the end, each trader is different, so trade what fits your style.

EdgeHunter · Mar 29, 2008

Quote from Don Bright:

We get "sweeps" to make up for trade-throughs, etc.

Anybody??... Is there a way... at the end of the day... to get data on how many 'Sweeps' each stock had in any particular index...

For example:

1. How many ISO orders took place in GE during the trading day of March 27, etc..

2. Where they up or down.

3. What time did they occur.

<img src="http://www.enflow.com/p.gif">

speculatus · Mar 29, 2008

Quote from EdgeHunter:

Anybody??... Is there a way... at the end of the day... to get data on how many 'Sweeps' each stock had in any particular index...

For example:

1. How many ISO orders took place in GE during the trading day of March 27, etc..

2. Where they up or down.

3. What time did they occur.

<img src="http://www.enflow.com/p.gif">

There is no such statistics. Get historical tick-by-tick data and figure that out, which is not trivial given the fact that quote and trades are different feeds. Sweeps occur every day in almost every. Here is an example (very very nice buy sweep ):

Code:

09:36:58  106.13 x 106.19  1 x 2   
09:36:58  106.04 x 107.00  1 x 103   
09:36:58  2s106.19  @ B0=/0+ 
09:36:58  4s106.28  F B1/+/csz b/sw.deep(+0.09,6) 
09:36:58  1s106.31  F B2/+ b/sw.deep(+0.12,7) 
09:36:58  2s106.36  F B3/+ b/sw.deep(+0.17,9) 
09:36:58  1s106.41  F B4/+ b/sw.deep(+0.22,10) 
09:36:58  4s106.42  F B5/+/csz b/sw.deep(+0.23,14) 
09:36:58  1s106.46  F B6/+ b/sw.deep(+0.27,15) 
09:36:58  1s106.51  F B7/+ b/sw.deep(+0.32,16) 
09:36:58  5s106.65  F B8/+ b/sw.deep(+0.46,21) 
09:36:58  5s106.72  F B9/+/csz b/sw.deep(+0.53,26) 
09:36:58  5s106.80  F B10/+ b/sw.deep(+0.61,31) 
09:36:58  1s106.85  F B11/+ b/sw.deep(+0.66,32) 
09:36:58  3s106.92  F B12/+/csz b/sw.deep(+0.73,35) 
09:36:58  5s106.95  F B13/+ b/sw.aggr.deep(+0.76,40) 
09:36:58  5s107.00  F B15/+/HI/csz b/sw.aggr.deep(+0.81,45)