DTs Day Type Journal

[DionysusToast]

Nice one Rob - what price did you short at ? About 1298-1299 ?

I got a short much later & just got 8 ticks for my troubles.

I'm not sure today is a trending day though. 10 points is about average for the ES & this morning we had a sideways move into the news, we got a sharp move down we are now moving up. I wouldn't be at all suprised if we end back up at the open.

Delta is recovering now too - up to -30k from a low of -57k. At some point those shorts could puke us back to the top.

 

[robster970]

1299.25 DT - it wasn't a great entry for me and it was slightly mistimed as my son came into the room and started distracting me.

I think the little rally is a pullback on a higher timeframe and without getting all fibtastic, it's at about the 50% retracement level too!!! We'll see.

If you're talking about those trending days that just run without stop then I have a couple of other things that alert me to their possibility if you're interested. With those kind of days I always have trouble finding a place to get on the bus and unless the high or low is used as a little pullback in the first hour of the session, I end up missing out on them.

 

[DionysusToast]

Right - I'm off to bed. Let's see how it plays out -I'll explain in the AM my time.

 

[robster970]

That's no trend today now - you're right. I'll post the other trend stuff/thoughts up whilst you're asleep.

e2a - The move today (and it's shape) is the kind of one associated with flushing out weak hands and finding solid support before moving on. Problem is, you never know until later really.

 

[redart]

Hard to imagine a down trending day in the ES ever again, lol.

 

[DashRiprock]

1299.25 DT - it wasn't a great entry for me and it was slightly mistimed as my son came into the room and started distracting me.

I think the little rally is a pullback on a higher timeframe and without getting all fibtastic, it's at about the 50% retracement level too!!! We'll see.

If you're talking about those trending days that just run without stop then I have a couple of other things that alert me to their possibility if you're interested. With those kind of days I always have trouble finding a place to get on the bus and unless the high or low is used as a little pullback in the first hour of the session, I end up missing out on them.

hi robster

something you might like is market profile "opening types". the first hour or hour and half is important in market profiling for clues on the rest of the day.

i made a picture to show you


(for the bottom one its which blue box the open is in)

 

[wackypete2]

Just goes to show you how difficult it is to determine trending or not trending too early in the day. The one thing I disliked about trading ES was too many days where the high/low was only 10 points or so. I found it very difficult to trade on those days.

Peter

 

[DashRiprock]

Hi DT,
Excellent thread.

I have an opinion about delta which is just that - an opinion. I can't back it up with facts, statistics or anything else - so I could be completely wrong. My personal belief is that the 'smart money' trading 50, 100, 200 contracts or more is moving in and out of the market constantly. For the most part, they're big picture players. When they want in - they want in and they use market orders to execute their trades. Ditto for when they want out. A prop' trader at an IB who wants to buy 100 ES contracts isn't going to risk a partial fill or no fill at all by using a limit order just to save a tick or two. A tick or two means nothing to them! Market orders are much more telling than limit orders as they express the conviction of the trader about the direction of the market and are the preferred order type for the pros, while limit orders are used mostly by retail traders. For these reasons, I believe delta is a useful tool to track institutional sentiment and, IMO, certainly isn't 'a load of rubbish'!
Tim.

hi

sorry but i dont agree with this post.

pretend you are a trader at a hedge fund and you have 25m in your book. you want to go long 2,000 ES contracts. By showing, say 5000 lots in the book, a bit of spoffing and bullying, and sneaking your 2000 on through a mixture of limits and market orders, you might improve your price by say 3 or 4 ticks.

on a 25m portfolio that is 0.35% or 35 basis points. if you are a skilled trader you can do this type of thing, so why not?

or of your a bank trader and a client says "buy me 2000 ES", you can quote them a price that includes slippage at, say, 2 ticks above last, and then pull it 3 ticks the other way, netting you $125,000 profit for a few minutes work

(i dont work in a hedge fund or a bank, but this type of thing does go on in the book)

the other thing about market delta is that i think there are four sided to the market - aggresive demand (buys on offer), aggressive supply (sells at bid) but as well passive supply (offers away from best offer) and passive demand (bids away from best bid). so really its a four way thing, not just "buys vs sells".

 

[wackypete2]

In orderly markets thats fine, but if you need to dump those 2000 contracts because the market is crashing, then the "bit of spoffing and bullying, and sneaking your 2000 on through a mixture of limits and market orders" goes out the window faster than you can blink an eye. It's dump ASAP time.

At least it is for my 1 contract :cheesy:

Peter

 

[robster970]

@Dash - the structure of the first 90 mins I understand - the open and drive days are the ones I always miss but oddly I see signs from Asian and European sessions that give me clues sometimes. Most of my 'success' (a term I use quite losely at the moment) is on open/test/drive and open/reject/reverse especially when the previous days high/low are in play for the tests. I do understand (a bit) the context for where the open and what that might mean although it's an undeveloped talent at the moment.

Anyway, it's DT's thread so I'll pipe down for a bit.

@Pete - I see we're both doing size then - LOL

 

[DionysusToast]

hi

sorry but i dont agree with this post.

pretend you are a trader at a hedge fund and you have 25m in your book. you want to go long 2,000 ES contracts. By showing, say 5000 lots in the book, a bit of spoffing and bullying, and sneaking your 2000 on through a mixture of limits and market orders, you might improve your price by say 3 or 4 ticks.

on a 25m portfolio that is 0.35% or 35 basis points. if you are a skilled trader you can do this type of thing, so why not?

or of your a bank trader and a client says "buy me 2000 ES", you can quote them a price that includes slippage at, say, 2 ticks above last, and then pull it 3 ticks the other way, netting you $125,000 profit for a few minutes work

(i dont work in a hedge fund or a bank, but this type of thing does go on in the book)

the other thing about market delta is that i think there are four sided to the market - aggresive demand (buys on offer), aggressive supply (sells at bid) but as well passive supply (offers away from best offer) and passive demand (bids away from best bid). so really its a four way thing, not just "buys vs sells".

Totally agree.

Even more simplistic - targets. I set targets when I get into a trade. I have them there waiting to be hit. Of course I do move them but it's not often. My targets are limit orders. I can't see why a 'professional' would be dicking around with no exit orders and a finger on the button to exit at market.

Then consider iceberg orders. I don't know any retail traders that use them but I see evidence of them all the time. These are pro's.

Order book manipulation - suckering people in, that's a game played with limit orders. The people entering at market are the suckers. Still, I think in runaway days - there probably are a lot of bigger players with market orders.

I think Timsk's description comes from Fulcrum Trader - he's someone a number of T2W staff have PMd me about as we have mentioned similar things. He espouses Tims opinion BUT he sells training/software which is all based around the same theory.

As you know Dash - seeing market orders is just part of the story - it's the reaction to them that is equally important. When thousands of sell orders go through but price doesn't tick down, then that means something very different to thousands of orders going through and moving price down 3 ticks.

If anything - Delta must be considered in the same way - I see it potentially as a long term tape. Like the tape, it's not going to be a panacea. Rather it may be useful in certain scenarios.

 

[DionysusToast]

Anyway, it's DT's thread so I'll pipe down for a bit.

Please feel free to continue.

Wasn't I going to bed???? Jeez...

 

[DashRiprock]

I found a better place for my post

see link its abot es tomorrow and using volume for trading.

http://www.trade2win.com/boards/gen...-charts-you-find-interesting.html#post1412606

 

[DionysusToast]

As much as I don't want to turn this into a trade log, yesterday was a very good day for highlighting why this log exists. Yesterday I traded SPY but all based on analysis of ES. The benefit of SPY over ES is that you can scale out more effectively on the SPY. I was scaling a third of the position 3 times but now am scaling 50%, 25%, 25% - I don't want to trade 4 ES contracts at this point, so SPY it is.

First the ES chart. This follows on from the chart posted before bed last night.

Trade 1 - 09:33 - Market opened at 1298.50 and ticked down to 1298.25 but was immdiately rejected with just a handful of contracts sold at 1298.25. Then we ticked up to 1299.50. On the way down again the levels on the bid were thick and they were not spoofs. They were happy to sit there & get hit. Price moved down to 1298.25 level and rejected again. Next time down I went long. At that point we'd traded 2266 sell market orders at 1298.50 but only 63 at 1298.25. I took a long at this point as this '1 tick down' off the open with a failure to break through often ends up the low of the day. Got first target (50% off) at 9:36 and stopped out on the other 50% at 9:43 - just a small profit because target 1 was larger than the stop. With a third-third-third scaling, this would have been a loser.

At 10am we had news which caused that big down move. This is the kind of move I find hard to play. I don't like to just jump in because you never know how far it will go. I don't trade 15 mins before a move, I don't fade the news & I won't jump in on something like this....

Trade 2 10:11 - I didn't catch the first pullback so was waiting for the second which turned out to be very shallow - but at this point DOM/T&S were showing it was a good short. Went short, got first target at 10:15and then closed out as it came back at 10:17. No loss on the 2nd half, so this more worthwhile.

So - now I'm waiting for an entry and watching it move sideways and hoping the market rew

So - you can imagine at this point I was a bit pi$$ed off. Lovely move in the ES & I'm not getting much for my efforts.

Trade 3 - 11:11 - The market had made an up move and now pulled back to over half of that move and definite sign that it was being held on DOM with large bids not being pulled. I was very happy with the entry on this one. Target 1- below last swing high (hit 11:22), Target 2 - about 70% retracement of down move (hit 11:39), Target 3 - just below high of day (hit 12:02). Note that I moved T3 down a bit so that it wasn't so far into the 'tail' of the high of day.

Actual executions on the SPY are here:

I dont want people thinking I'm making this stuff up. Feel free to question/comment. I'm open to any ideas as I have lots of room to improve.

 

[DionysusToast]

In terms of trend/no trend day - yesterday was a good example of a range day in retrospect. It put in a few nice swings up and down and gave opportunity (in retrospect) to trade back to the other end of the range. We didn't end up that far from where we started.

As you can see my style is - get in when a first target is likely, see if you get more. Still I would like to know if I should be buying or selling the lows...

Going into the news at 10am - all sectors were mixed with the exception of Consumer Discretionary which was moving up. The news saw a big sell off with delta moving down to -5k by 10:15. We then had a grind up and by 10:48, we were -24k delta. The next move down (the one I got in on) saw us go to -42k delta so - we'd done the following:

Big sell off -56,785 for the move
Grind up +30,801
Pullback in new up move -17,347 (where I entered)
next move up +40k

At this point we are almost back to the high of the day both on terms of price and delta.

In terms of sectors/industries
Consumer Staples - didn't get hit hard during the sell off, chopped from open until the sell off was done and then it ground up.
Consumer Discretionary - moved with the market pretty much - sold off & then went back to high
Energy - Sold off pretty hard, made a slower recovery
Industrials - pretty much with the market
Health Care - good sell of & good recovery
Financials - sold off - took much longer to recover
Materials - with the market
Technology - with the market
Utilities - sold off with the market but the recovery was better than market
Semiconductors - swings much larger than the market but moved at the same time
Banks - sold off with the market - didn't recover until much later.

In terms of delta - we can see that it doesn't look like the trend days in retrospect.

The slow start was to be expected because of the news but the big down move could have prompted someone to sell the lows based on the delta. It may have appeared as a longer term trend. Still, I got away with shorting it. Perhaps this is still a good yardstick to use. Nothing will work all the time, after all.

The average volume vs volume yesterday is interesting. We surged ahead of average on the news but by lunchtime we were way below it. Of course, at that point we knew it wasn't a trend day.

Right - no more trades in this log now. Cross my heart.

 

[HowardCohodas]

Without checking the column headings I saw the bottom number of over 1.5M and thought that was your current account value.

 

[DionysusToast]

Without checking the column headings I saw the bottom number of over 1.5M and thought that was your current account value.

LOL ! Sadly, not HC..

Be nice if you could grow your account like that in 1 day though, eh?

103k -> 1.6m in a day... my cup overrunneth... well - my grail overruneth...

 

[DionysusToast]

Just goes to show you how difficult it is to determine trending or not trending too early in the day. The one thing I disliked about trading ES was too many days where the high/low was only 10 points or so. I found it very difficult to trade on those days.

Peter

Interestingly - these are the days I like best. Funny how we are all wired differently trading wise..

 

[DashRiprock]

Hi

trade 3 was a cracker

I have a question about how you are using the sector ETFs for your analysis... are you looking at number up vs number down? or are you looking for sector rotation from aggressive -> defensive (or other way round)?

 

[DionysusToast]

Thanks Dash.

To be honest, I'm only using it to see if I can identify trending days so I don't attempt to fade extremes. I just have a 5 min chart up for each on one screen and I eyeballthem to see if they are all doing the same thing or all doing different things.

2 of the ETFs are not sectors - Semiconductors & Banks. I have those up because they are quite speculative and in theory may act as an early warning.

Remember - I'm just trying this out for now. I don't actually have a firm view on what I should be looking for. Some things seem to be common sense though...