DionysusToast
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I was wondering how many people find value in using the delta/cumulative delta in their trading, or consider it has merit.
One of the basics of using the Tape/Time &Sales is you have to be somewhat of a believer in market orders being a sign of commitment/aggression. A series of large market buy orders is interpreted as aggression on the part of buyers. Of course for every buyer there is a seller and those large market orders must have got filled against someone's limit orders. So, you have to be a bit careful about blindly following large orders, if there is no price reaction, someone could be sitting on the offer sucking up all the buying OR it could be that the large buy orders are someone closing a short position. This is where the DOM comes in handy, despite the spoofing.
Still – if you buy into the reds & greens on the tape to some extent, then is there value in tracking that over time? I don’t have the commission structure to be able to scalp for 1 or 2 ticks and so by definition I need to look for bigger moves. That puts me out of the arena of order book scalping (plus I am not sure I could do it anyway) and into the arena of “is the overall flow changing over time?”.
If you look at the image below, you can see that the pullbacks in the 9:50->10:30 move were shallow in terms of delta – not a lot of selling. Then we saw a more significant sell off both in terms of delta and price just after 10:33. In the next move up to the high of the day, we can see that delta didn’t make a new high along with price as all the other moves had done. This also coincided with it being the high of the day. Of course, at that point you had nothing to the right of the chart, just a new high. Only in hindsight can we see it was a swing high without a higher delta. This is where we circle back to T&S/DOM to catch sellers making this a swing high.
Is this just mystical mumbo-jumbo or an actual snapshot of buying/selling pressure over time?
Your thoughts?
One of the basics of using the Tape/Time &Sales is you have to be somewhat of a believer in market orders being a sign of commitment/aggression. A series of large market buy orders is interpreted as aggression on the part of buyers. Of course for every buyer there is a seller and those large market orders must have got filled against someone's limit orders. So, you have to be a bit careful about blindly following large orders, if there is no price reaction, someone could be sitting on the offer sucking up all the buying OR it could be that the large buy orders are someone closing a short position. This is where the DOM comes in handy, despite the spoofing.
Still – if you buy into the reds & greens on the tape to some extent, then is there value in tracking that over time? I don’t have the commission structure to be able to scalp for 1 or 2 ticks and so by definition I need to look for bigger moves. That puts me out of the arena of order book scalping (plus I am not sure I could do it anyway) and into the arena of “is the overall flow changing over time?”.
If you look at the image below, you can see that the pullbacks in the 9:50->10:30 move were shallow in terms of delta – not a lot of selling. Then we saw a more significant sell off both in terms of delta and price just after 10:33. In the next move up to the high of the day, we can see that delta didn’t make a new high along with price as all the other moves had done. This also coincided with it being the high of the day. Of course, at that point you had nothing to the right of the chart, just a new high. Only in hindsight can we see it was a swing high without a higher delta. This is where we circle back to T&S/DOM to catch sellers making this a swing high.
Is this just mystical mumbo-jumbo or an actual snapshot of buying/selling pressure over time?
Your thoughts?
