What kind of techniques do heavy scalpers use?

Lest anybody think that the SPI charts I posted are not representative of "price moves towards size" because the SPI is relatively illiquid compared to some of the major SIFs, here is today's Kospi morning session. The Kospi is very liquid.

Notice how the ACV which I call order book delta averages above the 0.5 level for the uptrend.

Each bar 1500 contracts wide.
 

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OK, so there are cases when large sizes below/above closest bid/ask are fake "games" and cases when they are a "wall", what means they are real and support/resistance is going to cause price reversal more likely than breakout.

Now the question comes: how to distinguish one type from another?

I know one way - wait for confirmation of execution on T&S, but it may be already late then...
 
Jack,
Those chart and graphs you showed were interesting and your long post on the different colored jerseys was interesting as well. A post that most wouldn't understand.

Size doesn't move price.

FEAR MOVES PRICE.

bids can be dropped and offers can be raised.
 
Quote from CFerret:

OK, so there are cases when large sizes below/above closest bid/ask are fake "games" and cases when they are a "wall", what means they are real and support/resistance is going to cause price reversal more likely than breakout.

Now the question comes: how to distinguish one type from another?

I know one way - wait for confirmation of execution on T&S, but it may be already late then...
More...

Here's my take FWIW. I'm not sure I like the term "fake" a lot. I'm sure there are fakes and flipping, but there are almost certainly cancelled orders that are left resting in the book to get a good position in the queue that may or may not be pulled or executed. They might be pulled according to some plan by the trader (human or computer) triggered by order execution activity. Is it useful to call such a situation a "fake" or is it normal market behavior ?

Anyway, to get to the point. One might be interested in cancellations, but it's not going to be easy to see them in a DOM price ladder. Much better to use computerised analysis and possibly chart them to get a feel for things. I tried this using IB feed, but didn't get anything useful, possibly because IB doesn't explicitly report cancellations in the Level 2 feed and trying to match up executions with changes in DOM is a bit tricky. I'm working on a different feed at the moment that supplies explicit cancellation events in the L2 stream. If I get anything useful, I'll consider posting something.

T&S doesn't necessarily have to lag. Two things to look out for:

* If price is moving up volume executing at ask dropping off. Converse for price falling.

* Volume dropping off.

You can see these on very short timeframe charts. No doubt a good scalper can see these on DOM display.

Here is chart of DAX, each bar just 10 IB "ticks" wide. Second plot from top is "market delta". Order book plots as before. Notice some rapid changes in book marked by crosses.
 
Quote from VSTscalper:

To all who have sent me a PM about the Webinar....all I can say is....I am working on sending PM's to everyone. I blows me away at how many PM's I have received. Going thru each one....but it is taking time. Will get to all of them....ASAP.

I am still working on the Webinar presentation....plus trying to trade some. Actually didn't think there would be that much interest.

VSTscalper
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Hopefully someone can record the Webinar and post it in U tube. It sld be a great reference.
 
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