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What kind of techniques do heavy scalpers use?
- Thread starter CFerret
- Start date
Quote from skippy:
Thanks for this beautiful, lucid explanation. I do have one question, though.
You write, "when a big 500 contract bid shows up 3 ticks below the current price on an ACV, it is a 500 contract SELLER than is pushing the price down to meet that offer". But wouldn't such a hypothetical order represent a standing BUY order? After all, if this individual has a standing bid three ticks below the market, isn't s/he, in effect, your proverbial supermarket purchaser saying, "i'll buy 1000 crates of grapes for three ticks below the last transaction price?"
This would explain why markets often "run to size". Here's a guy offering to buy 1000 contracts. Someone/someones are gonna want to do business with him. So, do I have it right here? Or am I missing something?
Thanks again..
Skippy, your thinking in the right direction, but let me try to fill out the picture for you. When a potential 500 lot buyer shows up 3 ticks below the current price, he is saying
"I'm a big swinging dick, and if you guys want me to make a HUGE sale, you need to come down to me."
Now, if you have 500 lots to sell, and you want to get out, you will likely need to meet his price. So, it is this SELLER that is, in effect, pushing the price down with every sell order he puts through, until it drops 3 ticks to meet the "big swinging dicks" buy order.
Mind you, this probably isn't the sellers favorite thing to do. I mean, he wants to sell as high as possible...but in a weakening market this may be the best chance he can get before the market drops lower.
In other words, big sellers and buyers have to find each other to make big exchanges. Small sellers and buyers can fill in the gaps wherever they want. The one who has the luxury of waiting on the bid/ask, rather than needing to get out/in right away, is the one that the price will go to.
So, when the DOM shows a big bid or offer hit...it is an rather larger seller/buyer that is selling/buying until they can match the price there.
And again, this is because they can't get out just anywhere, because they have more to sell/buy at any given moment than the market can usually absorb.
Just a theory anyway... but it seems to gel in my mind in regards to several accepted concepts:
1. Big players move markets...the rest of us work around them. Pretty commonly accepted knowledge
2. Basic supply/demand laws. You hit the offer with a boatload of contracts...price will be pushed down, unless there is equal demand to buy. Hard to refute this.
3. Price DOES indeed move to size, and this is the only logical explanation I've found for this phenomenon.
Sorry for the incredibly long winded answers...trying to be as complete as possible, hope this helps.
Greg
Quote from john99:
alorainc,
That makes it sound like the market revolves around 1 large farmer who is only selling 1 product. Your example would sound better if we said there are hundreds of large farmers all wanting to sell their product at a better price relative to where they bought it, hence open auction price movement. If you use volume based market profiling and software tools like marketdelta, you can see where the majority of the large farmers have accumulated positions. This information is useful on the longer time frame.
John, I DO agree that on a longer timeframe, and in the bigger picture, market profile and market delta can show you this information, but on a moment to moment basis, if a big buyer senses weakness in a particular futures market, he may well put in a bid 4 ticks below the current price, believing that a large trader may well feel the NEED to get out, and be forced to meet his bidding price.
For scalping done in seconds, the edge comes from being able to sell on the ask and buy on the bid.
I don't necessarily agree. Yes, this is true in some, and maybe most cases, but I have personally met traders who scalp IN SECONDS, and do so basing their plays off primarily off of large changes in the ratio of bids to asks on a DOM.
Mind you, they trade this method with success. I personally know of one trader who has above a 90% success ratio per trade, with almost no drawdown.
If you are a retail trader, don't expect to be able to buy the bid and sell the ask in less then 5 seconds when you only trade 5 contracts on ES. I'm sure everyone has watched the time and sales and seen for example 226 contracts print on the bid and then 2 seconds later the next print is 226 contracts at the ask and then you see the price is back at the bid. What just happened? Was that 1 trader that just scalped a tick or was the 2 traders, 1 that lost a tick and 1 that gained a tick holding 226 contracts? How many retail traders do you know that trade over 100 contracts per trade and at the same time don't lease a seat with CME? Ask yourself, who are the guys that get fills on the bid when the price is on the ask?
I'm going to have to say there is more than one way to skin a cat...in fact, there is more than one way to skin a cat EFFECTIVELY.
Lets assume for just a minute that my hypothisis is true. Given that...if you were a big player, and had the luxury of testing the market before you got in, you might put in a big BID 3 ticks below the current price, to see if you can get a good fill.
If you get the fill, you might reverse your position, to see if you can make a quick point or so.
Or, you might reverse your position, and keep pulling it up as the market moves to you, to make even more when you sell your contracts
Or say you DIDN'T get your fill...you might throw up a big SELL order 3 ticks above current market price, becase you think "hey, the market didn't want to go down much...lets see how much it wants to go up"
So you see, the big boys will play this game, push the market, pull the market, see where it is strong or weak on a moment to moment basis. But essentially, if you are a big player, and want in or out now, you may need to wait for another big player to come along to play your game.
This does NOT contradict using Market profile or market delta...it is simply ANOTHER way to test the market, and it works better on a moment to moment basis...delta/profile is optimal at a longer time frame (minutes to hours)
You can use a set of binoculars to see far away, and you can use a telescope. depending on your goal, will alter the tool you decide to use. But, they both are useful for the same general purpose.
So now, poke away...lets see if we can pop this idea. At the end of the day, I'm just trying to improve my methods using superior information...and if i'm wrong/flawed in my thinking, I want to know.
Greg
Attached is a display. for the fine part of display. Scalps take place on this part of display.
The reversal (scalp exit and reentry) is pink time.
You see the cluster of "boxes" that are SWEPT using MADA the equiv of the OODA for military honing of performance.
the leading indicators of the pink entry were.
1, 2, 3, 4, and 6.
The additional leading indicators are:
R2G gausians on the YM and R2B gaussian on the ES
No wall on the ask
the DU on the volume of the ES prior to the R2B.
On the medium and coarse there are additional leading indicators before these.
Above the two trading boxes you can see the five prior scalp type trades all of which have similar leading signals.
The moment of the snagit the status is HOLD for the sweep; this is the D of MADA.
**********************
A note. When I put the 1 in place on the stretch squeese box I did noy know it was opaque. But you can still see the S/S coming out of neutral.
**********************
Here is the fill in on some other stuff.
The citations and references in this thread are rich in content and demonstrate performance in many ways. They also contain some standard measurement terminology. I used that terminology in my posts up to now.
Greenspoon runs 6 million contracts a year and averages less than 1 tick profit per trade to make several million a year. Lets call it 2.5 million and use 250 days a year of trading at the rate of 50 to 100 trades a day and an average number of contracts workoing as stated (400). He does 10,000 dollars a day using 24,000 contract trades. This is where the average of 60 trades a day comes from for his rate. Kingstree is veery supportive of Greenspoon so he has the capital to make 10,000 a day on average. These are just ball park figures.
On five minute bars this is less than 1 trade a bar.
The clinical study shows the SD/Mean to be .92 for the trading disipline slot where the median account size is 225,000 and the median daily take is 1,792.
I would assume that Greenspoon does better with Kingstree's capital than Linda' student's did with their personal capital. It looks like we are talking a 1% profit per day for where the profits are drained off for other purposes in order to have the same amount of capital in place for trading, risk manangement, etc.
How people feel when they are trading and reporting.
The clinical study determined that emotional reactivity may be counterproductive for trading performance. Greenspoon is a person who is very determined to keep his performance at the levels he has performed at previously and to do better if he can find out how.
To focus on scalping which is the topic of the thread, it looks like the net of doing a lot of trades takes a lot of work and when things aren't going well, then performance suffers and the remedy is to focus on OODA type things. This seeks to have a positive valance and if necessary, keep arousal down.
The 7 strengths and 8 weaknesses that the participants self defined in the study, I feel, are subject to what Lo calls adaptability of the trader. This is the foundation of his views on AMH.
That is why I attached the chart. Making 1% a day on a margin of 2,000 dollars is making 20 dollars net when losses and expenses are subtracted from profits. Scalping can be defined as squeesing out every last nickel of what the market offers.
I feel that the studies, etc show that traders strengths and weeknesses can be dealy with properly by having an excellent trading environment and a purposeful learning regime. The half of the screen display that deals with scalping shows many leading indicators of the actual scalping trading so much so that there is overlap and thus continuity. Secondly, I feel loses occur as a consequence of the environmental vacuum that is shown to exist in a lot of posting. Finally, a diiferent kind of drilling is called for than the OODA type.
OODA enbodies dealing with fear, anxiety and anger. Dealing with support, comfort and confidence is the polar opposite that I advocate.
Anyone can look at what Linda's people see or what Lo's case study participants screen displays held. They are OODA oriented.
Doing MADA on two screens (the rough side, coarse and medium are just YM and ES charts of P,V and indicators is not shown.), I believe continually builds through sweep reps, the support, comfort and confidence. As you can tabulate, there is a difference in trades, and the nets.
For using sweep after sweep to engage with the market was not addressed. I do not really agree with the discussion of the DOM to any extent; it has to be regarded with repsect to the largest inpacting activities as a first order od business. So far these items have not been brought up.
There is a way to use the attached cluster of components by sweeping that yields a positive valence and a nuetral (not measured in the studies activation).
I'll try again on the attachment
The reversal (scalp exit and reentry) is pink time.
You see the cluster of "boxes" that are SWEPT using MADA the equiv of the OODA for military honing of performance.
the leading indicators of the pink entry were.
1, 2, 3, 4, and 6.
The additional leading indicators are:
R2G gausians on the YM and R2B gaussian on the ES
No wall on the ask
the DU on the volume of the ES prior to the R2B.
On the medium and coarse there are additional leading indicators before these.
Above the two trading boxes you can see the five prior scalp type trades all of which have similar leading signals.
The moment of the snagit the status is HOLD for the sweep; this is the D of MADA.
**********************
A note. When I put the 1 in place on the stretch squeese box I did noy know it was opaque. But you can still see the S/S coming out of neutral.
**********************
Here is the fill in on some other stuff.
The citations and references in this thread are rich in content and demonstrate performance in many ways. They also contain some standard measurement terminology. I used that terminology in my posts up to now.
Greenspoon runs 6 million contracts a year and averages less than 1 tick profit per trade to make several million a year. Lets call it 2.5 million and use 250 days a year of trading at the rate of 50 to 100 trades a day and an average number of contracts workoing as stated (400). He does 10,000 dollars a day using 24,000 contract trades. This is where the average of 60 trades a day comes from for his rate. Kingstree is veery supportive of Greenspoon so he has the capital to make 10,000 a day on average. These are just ball park figures.
On five minute bars this is less than 1 trade a bar.
The clinical study shows the SD/Mean to be .92 for the trading disipline slot where the median account size is 225,000 and the median daily take is 1,792.
I would assume that Greenspoon does better with Kingstree's capital than Linda' student's did with their personal capital. It looks like we are talking a 1% profit per day for where the profits are drained off for other purposes in order to have the same amount of capital in place for trading, risk manangement, etc.
How people feel when they are trading and reporting.
The clinical study determined that emotional reactivity may be counterproductive for trading performance. Greenspoon is a person who is very determined to keep his performance at the levels he has performed at previously and to do better if he can find out how.
To focus on scalping which is the topic of the thread, it looks like the net of doing a lot of trades takes a lot of work and when things aren't going well, then performance suffers and the remedy is to focus on OODA type things. This seeks to have a positive valance and if necessary, keep arousal down.
The 7 strengths and 8 weaknesses that the participants self defined in the study, I feel, are subject to what Lo calls adaptability of the trader. This is the foundation of his views on AMH.
That is why I attached the chart. Making 1% a day on a margin of 2,000 dollars is making 20 dollars net when losses and expenses are subtracted from profits. Scalping can be defined as squeesing out every last nickel of what the market offers.
I feel that the studies, etc show that traders strengths and weeknesses can be dealy with properly by having an excellent trading environment and a purposeful learning regime. The half of the screen display that deals with scalping shows many leading indicators of the actual scalping trading so much so that there is overlap and thus continuity. Secondly, I feel loses occur as a consequence of the environmental vacuum that is shown to exist in a lot of posting. Finally, a diiferent kind of drilling is called for than the OODA type.
OODA enbodies dealing with fear, anxiety and anger. Dealing with support, comfort and confidence is the polar opposite that I advocate.
Anyone can look at what Linda's people see or what Lo's case study participants screen displays held. They are OODA oriented.
Doing MADA on two screens (the rough side, coarse and medium are just YM and ES charts of P,V and indicators is not shown.), I believe continually builds through sweep reps, the support, comfort and confidence. As you can tabulate, there is a difference in trades, and the nets.
For using sweep after sweep to engage with the market was not addressed. I do not really agree with the discussion of the DOM to any extent; it has to be regarded with repsect to the largest inpacting activities as a first order od business. So far these items have not been brought up.
There is a way to use the attached cluster of components by sweeping that yields a positive valence and a nuetral (not measured in the studies activation).
I'll try again on the attachment
As far as ooda is concerned jack. I cant speak for Lo or Brett S.
But I can speak from the level of a former pro tennis player (did not make much) who knows what the choke felt like and and as a scalper who went from a year of small loses or break even to very profitable once I adopted an execution approach. (Failure was not an option. I was willing to lose all I had to succeed because I would not go through life as a choke.)
having a routine is not about negativity. It is about being able to strike when volume and volatility are breaking others apart.
Its about "locking in" when everyone else is blowing up. By the way when a Hurricane was approaching - most everyone around me was acting nuts. I went into battle mode. I locked in accomplished tasks and got on the road even though the news was giving out misinformation about traffic.
I never new it was called ooda back in 1997 when I honed it after watching a top trader make serious dollars.
But I did learn to "lock in" after I adapted his routine and setup to stuff I believed.
at first your routine makes you better than average. Later your routine actually makes you engage out of confidence and even love of the moment. You cant wait for tie breakers, critical putts or market disruptions.
You know its your time to seperate yourselves from the Mada men.
By the way I find it humorous you think that your approach is a level higher than ooda.
When I watch top pro golfers lock in or hear them talk about their preshot routines, I wonder if they know that Jack Hershey is out putting them with his ball extraction techniques.
But I can speak from the level of a former pro tennis player (did not make much) who knows what the choke felt like and and as a scalper who went from a year of small loses or break even to very profitable once I adopted an execution approach. (Failure was not an option. I was willing to lose all I had to succeed because I would not go through life as a choke.)
having a routine is not about negativity. It is about being able to strike when volume and volatility are breaking others apart.
Its about "locking in" when everyone else is blowing up. By the way when a Hurricane was approaching - most everyone around me was acting nuts. I went into battle mode. I locked in accomplished tasks and got on the road even though the news was giving out misinformation about traffic.
I never new it was called ooda back in 1997 when I honed it after watching a top trader make serious dollars.
But I did learn to "lock in" after I adapted his routine and setup to stuff I believed.
at first your routine makes you better than average. Later your routine actually makes you engage out of confidence and even love of the moment. You cant wait for tie breakers, critical putts or market disruptions.
You know its your time to seperate yourselves from the Mada men.
By the way I find it humorous you think that your approach is a level higher than ooda.
When I watch top pro golfers lock in or hear them talk about their preshot routines, I wonder if they know that Jack Hershey is out putting them with his ball extraction techniques.
Quote from VSTscalper:
Next week....April 12th....3:30 Central time....after the market closes....I will be doing a Webinar for a Broker out of Chicago. The subject will be Scalping.
If anyone is interested in attending....just PM me....I will tell you where to Register. This Webinar is Free.
Maybe this will provide an insight on Fast Scalping....at least how I do it. Due to time limitations....I can't go into much detail....but at least....you will get an idea of how it is done. There will be Questions and Answers after I finish with the presentation.
While I Scalp....on a high frequency....other Scalpers may Scalp....at a much Slower pace. I consider Scalping in Seconds....while others think in Minutes. Whatever feels comfortable for the individual trader....then that is what he_she should do.
While I prefer Scalping....I also do Trend trades....if I am convinced it is worthwhile. If the Trend....is Smooth....good ACV numbers....I will Ride the Trend. If the Trend is Choppy....I will just stay in Scalping mode. The key is knowing when to Trend trade and when to Scalp. A trader needs to Adjust to whatever the Market offers.
VSTscalper
VSTscalper, I have PMed you a couple of days ago, I'd be interested to listen to the webinar! I'd be glad to hear from you again. Thanks.
Mars
Quote from jem:
As far as ooda is concerned jack. I cant speak for Lo or Brett S.
snip......here and elsewhere.
having a routine is not about negativity. It is about being able to strike when volume and volatility are breaking others apart.
Attached is a volume (pace) and volatility chart of a month's 5 minute bars. What you like is in the upper right corner. The other three quads make for interesting scalping, the topic of this thread. As I understand it, scalping is least done under the upper right quadrant circumstances (See VSTscalper posts here and in his scapling thread.)
Its about "locking in" when everyone else is blowing up.
Do you associate "locking in" with scalping?? What is your term, if any, for staying in a rocket?
I never new it was called ooda back in 1997 when I honed it after watching a top trader make serious dollars.
But I did learn to "lock in" after I adapted his routine and setup to stuff I believed.
at first your routine makes you better than average. Later your routine actually makes you engage out of confidence and even love of the moment. You cant wait for tie breakers, critical putts or market disruptions.
Cool statement. this looks like what Lo calls adaptability. That is, going from one state and orientation to another. I see a couple of postive valence terms lurking in those words, too)
You know its your time to seperate yourselves from the Mada men.
By the way I find it humorous you think that your approach is a level higher than ooda.
I just did a compare and contrast. it is more or less looking at a spectrum and seeing the variety of successful ways.
I showed the display as a simple way to express the continuing opportunity to scalp and it happened to be in a quadrant unlike the upper right one you mentioned.
I'll follow up with a few more charts of volatility and stuff so that the scalping opportunity is better defined.
If I get those up, then going through a day with respect to various levels of scalping (this means contracts sizes) may be something more to put on the table.