What creates spikes?

[lucysparabola]

Now rethink how wide your gaps are between the periods you just listed. You're using a multiple of what, 24? 60? (1m x 60 = hourly; 60 x 24 = daily)?

Is that logical? Does this give you precision? These are the things you need to be asking yourself. If the answer is yes, then OK. If not, then find what is.

 

[Ferdinand]

We’ll never know for sure in a specific situation, but in general, at a key level, you’re not the only one looking at it -- everyone knows. So it doesn’t just move at a normal rate from/through a level. If something is breaking up, you have a bunch of buyers, and very few dummies selling just AFTER the level -- they are pulling what little offers were there to begin with and putting them higher AS people are sending aggressive buy orders.

When you get good followthrough, probably someone (or some people) were VERY wrong and holding a big WRONG position -- and if they are short term or daytraders, they are likely trying to cover, which gives a huge additional boost as other people are buying and people are pulling offers.

I think this is all exaggerated by HFT, who make it happen faster, and more dramatically.

 

[monoid]

Sure enough, it does look like price is spiking down right when you say you went long, and, even though we don't know your exit, it looks liked price stopped within ticks of our entry and went higher.

My stop on that trade was 4-ticks. It was not hit. Don't assume I entered using Limit order.

Zooming out even further, it does look like a range was beginning to form around the time you said your context was set in motion, but my gosh, that entry to go long is certainly not all that apparent based on what I've been looking at.

We are talking about ES here. One of the, if not THE, most competitive markets to trade in the world. If the levels are "apparent", it wouldn't be a level for big money to necessarily participate.

When you say raw data, do you mean watching the T&S window? How on earth can you keep the levels in your head without having a chart to look at?

You are assuming things that I did not say. Remember, all I said earlier was "For my style of trading, I require raw data". I never said I do not look at charts -- it is just that my charts look different (one I developed myself and coded up) and are not time or volume segmented. I do not look at time/volume bar charts for my trading.

I don't look at T&S window, but the data I am interested in is captured and displayed in my chart, along with certain manipulated data from the DOM.

Also, I write all my levels down in my notebook as the market evolves. I have learned thru' experience that I cannot trust my mind when it comes to remembering my levels!

So how else to analyze the market if not via time/volume charts?

Be creative, have an idea, test it out, repeat the process until you find a framework for analysis that works. It certainly helps to have a theory that you subscribe to as a starting point, which you can then modify as you gain more experience.

Regards,
Monoid.

 

[monoid]

We’ll never know for sure in a specific situation, but in general, at a key level, you’re not the only one looking at it -- everyone knows.

This is very true. Also, before that key level is hit, those same "everyone" have already made their decision on how they want to play that level.

Regards,
Monoid.

 

[xandman]

Stops (mental mostly) becoming market orders at obvious support/resistance lines, overwhelming the thin bid/ask at the top of the book.

And if there is no meat in that book, it runs thru the orders to hit the big parked order in the back. Which makes the dominant market maker all too happy.

 

[panzerman]

We’ll never know for sure in a specific situation, but in general, at a key level, you’re not the only one looking at it -- everyone knows. So it doesn’t just move at a normal rate from/through a level. If something is breaking up, you have a bunch of buyers, and very few dummies selling just AFTER the level -- they are pulling what little offers were there to begin with and putting them higher AS people are sending aggressive buy orders.

When you get good followthrough, probably someone (or some people) were VERY wrong and holding a big WRONG position -- and if they are short term or daytraders, they are likely trying to cover, which gives a huge additional boost as other people are buying and people are pulling offers.

I think this is all exaggerated by HFT, who make it happen faster, and more dramatically.

If market data is at all fractal, shouldn't spikes be tradable at all times frames? Why not look for the pattern at weekly, daily, hourly timeframes and play for larger absolute moves?

 

[monoid]

I think this is all exaggerated by HFT, who make it happen faster, and more dramatically.

Assumptions .... assumptions .... assumptions ..... Our minds are just fascinating, seldom ceases to amaze me!

Regards,
Monoid.

 

[k p]

This is very true. Also, before that key level is hit, those same "everyone" have already made their decision on how they want to play that level.

Regards,
Monoid.

All very interesting points Monoid. Its a shame you don't have more of a posting history as you've clearly been around for a while. (perhaps you're on ET under a different name...)

What you mention just above here really strike me because I was always the reactive trader. I would buy after a level broke, hoping to get in right away onto the next move down, and since I've consistently lost money, this is clearly not a good strategy. So being reactive is wrong, and as you say, those "everyone" have already made their plays, which is how I'm trying to look at it now as well.

 

[monoid]

I would buy after a level broke, hoping to get in right away onto the next move down,

Misspoke may be?

"everyone" have already made their plays

Correction: I said "those 'everyone' have already their decision on how they want to play that level.". They have not made their plays, but have made their decision on how they want to play -- big difference!

Regards,
Monoid.

 

[i960]

Even if one immediately bought at the break of those levels I don't understand how they would even have come out with a loss unless they're using a ridiculously small stop loss.