Trading the DOM/Tape/Order flow

[beerntrading]

why would anyone other than market makers want to publicly announce their pending orders by putting it on the order book

Lots of reasons. There's reasons to show and hide your hand. But there's nothing inherently wrong with announcing your intentions to buy or sell at a given price.

if i were a big institutional trader i would use iceberg to hide my big orders from BOTs and other traders, they won't show in the market depth but they'll be visible when executed, if i wanted to get more stealthy i would spread those orders across multiple prices, nobody would see a damn thing.

Most of these orders go to the pit or are traded during open/close auctions. If you watch the depth enough, you'll see out-of-spread prints for large orders. These are typically institutional orders with a reporting lag.

And just a general thought on automation / bots / algos / etc... Why does everyone hate this? The tape is nothing more than a representation of the behaviors of people in aggregate. That something was programmed previously does not mean that it doesn't reflect human behavior. The only difference is, the algo decision making process as already been completed (which means this can in fact be predicted, unlike nearly everything else market related), so you're not up against human emotion. So to my mind, you're up against a trader who is perfectly cold and rational, will pervasively adhere to their pattern, and isn't changing their mind based on emerging information. How does that enhance the readability of the market?

 

[Sprout]

The more i think about it the less sens it makes.

if i were a big institutional trader i would use iceberg to hide my big orders from BOTs and other traders, they won't show in the market depth but they'll be visible when executed, if i wanted to get more stealthy i would spread those orders across multiple prices, nobody would see a damn thing.

Now, as a retail trader you have no way to know where/when those icebergs will hit nor if there will bigger orders to flip them, it happens regularly.

pending orders are notoriously fake and have very little predictive value.

What you know for sure is that some big guy(s) sold/bought at certain levels, not knowing if they're short or long term traders who could afford to have the price move against them by a margin way larger then yours, there could also be "bigger" fish in the sea that could get in with zero warning and turn the table around.

Bottom line is, i don't think orderflow has any predictive value.

Standing limit orders are not fake. They can be executed at market when the opposite side is time-sensitive and takes the liquidity offered. A trader has to have the BP to submit the order. It's true that the aggregate of limit orders on both sides of the bbid/bask are constantly in flux. Participants are active in opening/closing their positions with the strategic placements of their stops and targets (if they are contextually relevant to the TF of the trader.)

There is a flow, and there are interruptions to the flow, resumptions of flow and reversals of flow.

If you can't see footprints of larger players, you are not gonna see the 'stride' the combinations of footprints make, nor believe such a thing exists. If it were so easy to discern, everyone would see it clearly. Some moves are like that.

Regardless, all moves have their beginnings in the prior. Whether those moves follow through or not is interpreted differently by someone who 'predicts' vs 'anticipates'.

As it stands, you have a belief that limits your ability to perceive what's right in front of you.

 

[777]

Lots of reasons. There's reasons to show and hide your hand. But there's nothing inherently wrong with announcing your intentions to buy or sell at a given price.

Most of these orders go to the pit or are traded during open/close auctions. If you watch the depth enough, you'll see out-of-spread prints for large orders. These are typically institutional orders with a reporting lag.

And just a general thought on automation / bots / algos / etc... Why does everyone hate this? The tape is nothing more than a representation of the behaviors of people in aggregate. That something was programmed previously does not mean that it doesn't reflect human behavior. The only difference is, the algo decision making process as already been completed (which means this can in fact be predicted, unlike nearly everything else market related), so you're not up against human emotion. So to my mind, you're up against a trader who is perfectly cold and rational, will pervasively adhere to their pattern, and isn't changing their mind based on emerging information. How does that enhance the readability of the market?

All of your ideas about Algos are not accurate.

Algos make trading harder and they rule micro-trading.

Algos will get better and better and one day they figure to do almost everything better than humans in most areas of life.

It would make no sense that Algos have no detrimental effect on daytradin for profit if one is clever enough. All the pros I know believe this.

 

[greg500]

Hello,

I read the DOM to scalp enter for an impulse move.. ES

51% of the ES volume is doing a (1) lot...

I hate HFT.. ES rotations that would bring nice daily profits are simple reversed or faded...

Seems like no one or thing will let the contract break either way..

I’m tape reading to attempt an entry that has a high probability of being near the Impulse.

Only my opinion, from 20 years of day trading.. If you attempt to read the DOM and/or scalp, most likely you will go insane..

Too many opposing trades...

Iceberg orders do not offer ‘me’ any tradable information.. many times you will see icebergs on the bid and ask,, just posting large volume.

I’ve carefully read each post on this thread..

No one is wrong.. If you are so dedicated, then with a lot of screen time you will get a small edge on the DOM,,, mostly with reading the Pace..

Hft’s do not want the market to run,,, I, as a small trader do want it to run..

The order flow gurus are annoying.. A large sell hitting the bid.. guru(1) get short it’s reversing... guru(2) get long on the bid, someone’s buying ..

This is what I say.. not a guru... you’re either in this trade from 4 points ago or watching in a confused state...

 

[greg500]

I think the price is a fight between sellers and buyers, watching the Order flow will only show you the current status of the fight not the outcome.
A bit like watching a football match, anything can happen till the last minute but by then it will be too late to place your bet.
It get even worse when you take into account the noise generated by bots

Hello tylerbose,

You are so correct with your wording... "the current status of the fight"..

Throughout the day, I have coined phrases... "Stupid Fight" is one phrase when the action on the DOM is choppy back and forth and within a few ticks..

A question and with much respect..

Do you think there is a trading tool that would have a positive predictive value?

p.s.

I am willing to stay on this thread and discuss tape reading with any reasonable member.

Greg

 

[greg500]

Depth of market... Very little value for the trader outside of "maybe 3 levels". Some spoofing combined with actual Pulling of orders.

Notice the depth in the ES becomes heavier on the opposing side of the move. Usually doesn't stop anything..

There's probably no static way to trade it. Most likely determined by the individual who is reading the price ladder.

I'm watching for the speed of movement and lack of it, or in my mind, is the price just getting stuck at this level...

In addition, I group the price action on my chart... Is price staying within this range, can I scalp enter long/short and **** do I have a place to exit without getting hammered

There is a video of a so-called guru, he makes a good point... Trading the ES, how many times can you enter and not have the price move against you!!! He's correct..