'No indicators' revisited

[SOCRATES]

The Bramble,
No, not because my target was hit. I might have a reasonable target but I don't try to impose that on the market - that would be inappropriate. The market might well have continued down going well beyond my target so that approach would have deprived me of additional profits.
Had it failed to reach my "target" I would have exited when the balance of probabilities told me it was not going to the previous low of the day.
It was a volume blow off.

Howzat Socrates ;-)
Spot on.
Of course.

Plus my personal way of reading level 2 told me buyers were coming in there and then and in the coming seconds and minutes.

I shall now leave this thread to the dark siders ;-)
QED
Richard

Very good, Mr Charts, Very Good indeed, can't be faulted, please come back soon. Hats Off Gentlemen !

 

[Quercus]

These "spoofing" orders on ES are hitting right at the very core of trading IMO. This is the most actively traded futures instrument in the market, coupled with the fact that it is electronic, leads to what to me is an obvious way for size to achieve it's goal.(however small or short term that goal may be!) This size is seen by the vast majority of traders, and it is facile to me to think that a significant number of them are NOT influenced by the appearance of these "orders".
I fail to see how these appearances of volume can not affect the traded instrument. Who or Whatever is producing them knows exactly what they're trying to achieve. Anyone who is thinking about placing a trade, is affected even if only for a split second. Also anyone seeing this size presented against an existing position is also affected.
All of this is psychological, and may or may not influence the decision making process. I for one, have been watching this done and to be honest it has enhanced any contrarian instinct rather than been a threat to it. If 3000 plus suddenly appears on the bid side then more often than not this will lead me to anticipate a sudden down move, and not what would be the obvious initial thought.
But it really all comes down to the mind and how it deals with these thoughts. Everything must be taken in context, and the price action coupled with "printed" volume statistics have already created a picture in the mind as to what should be anticipated next. The big volume orders actually put a smile on my face, and make me think - "oh look here we go again"
I wonder how long it will go on like this, and into what it will manifest itself?
Q

 

[SOCRATES]

These "spoofing" orders on ES are hitting right at the very core of trading IMO. This is the most actively traded futures instrument in the market, coupled with the fact that it is electronic, leads to what to me is an obvious way for size to achieve it's goal.(however small or short term that goal may be!) This size is seen by the vast majority of traders, and it is facile to me to think that a significant number of them are NOT influenced by the appearance of these "orders".

#######################################################################
I fail to see how these appearances of volume can not affect the traded instrument. Who or Whatever is producing them knows exactly what they're trying to achieve. Anyone who is thinking about placing a trade, is affected even if only for a split second. Also anyone seeing this size presented against an existing position is also affected.
All of this is psychological, and may or may not influence the decision making process.
#######################################################################

I for one, have been watching this done and to be honest it has enhanced any contrarian instinct rather than been a threat to it. If 3000 plus suddenly appears on the bid side then more often than not this will lead me to anticipate a sudden down move, and not what would be the obvious initial thought.
But it really all comes down to the mind and how it deals with these thoughts. Everything must be taken in context, and the price action coupled with "printed" volume statistics have already created a picture in the mind as to what should be anticipated next. The big volume orders actually put a smile on my face, and make me think - "oh look here we go again"
I wonder how long it will go on like this, and into what it will manifest itself?
Q

This is why darksiding at the highest level goes beyond what is a tangible concept.
Therefore at the highest level it becomes a game situation and no longer a nasty war.
The enjoyment comes from being able to manipulate numbers at a greater speed that even they could be called out. All this has to be done very very fast without erring, in abstraction. This is what I mean by being a visual mathematician, and as if this is not enough, it is within a flexible theatre not a rigid one. And , to make it even more peverse, suddenly everything changes in a nanosecond, and you have to be able to work through all this and in addition be able to "clock it", relentlessly, and "act" without fail.

If it were not so serious it would be funny.

 

[Quercus]

Perverse as it may sound - it is this challenge which personally appeals!

 

[SOCRATES]

Ah ! And Quercus by the way I have just realised.

Mr Charts presents to a potential audience of 16, 200 plus members worldwide a challenge.
Only 15, including himself dare to dare. This represenst a tiny minority. The percentage is actually
Decimal 092525 %. Of this only 8 get it right. This as a percentage of the total membership is exactly
Decimal 0493827%. And then the dunces grumble and interrupt and are rude to all of us and Naz, and Mr Charts and Skim, and me. And then they say I am pompous and get personal and that I am a self appointed guru and other nonsense. But the statistics do not lie, because the challenge remained open to everyone for 24 hours. You cannot be fairer than that can you ? So there you have it. And even if the gannets are flying upside down where you are it does not change things one bit, does it, my dear Quercus ? Eh ?

 

[firehorse]

Very good, Mr Charts, Very Good indeed, can't be faulted, please come back soon. Hats Off Gentlemen !

Absolutely agree

 

[Quercus]

Well, from your perspective they probably are upside down. But to me from my other perspective they are right side up! It all depends on where your perspective is.
And when they enter the water at such great speed they are heading for the centre of the earth and therefore heading straight for both of us!

 

[growltiger]

But when looking at DOM or level 2 [ which is what we are talking about ] the floor becomes the next level down.

Removing a bid or offer in these circumstances makes little difference to the market

No, it makes quite a lot of difference.

Mechanics: what typically happens is that the spoof bid is held in place long enough to become (part of) the inside bid. It is then withdrawn, cutting the inside bid from a highly supportive looking 3500 contracts to, say, 100 contracts. Normal market flow then overwhelms this, and the floor does, indeed, become the next level down. But it usually goes a few ticks further than that. Sometimes a lot further, when the market is weak. This routine has now been happening several times daily for many weeks.

Hypothesis: spoofer has analysed the behaviour of automated trading systems that are now responsible for (it is estimated) well over half the flow in the eminis. The ultra-large spoof bid tricks the algorithms that analyse and respond to changes in the shape of the order book (they are tricked into diagnosing strength of demand).

Provisional response: When you see the spoof bid (which by definition is a multiple of normal size) assume it will be withdrawn. Close any position that was reasonable before the bid appeared but has now become vulnerable, open contrary position.

Of course, there are other tricks being played by the spoofer, but since the object of the exercise is to provoke the perverse movements, and this can only be accomplished by the spoofing manoeuvre, the provisional tactics seem likely to continue working. But the systematic spoofing changes (indeed, perverts) the way the market behaves. While it is there, the moment you put on a position you are navigating the edge of a whirlpool, and if you ignore the DOM, you risk being sucked into the depths. It is possible to take the view that the overall trend and level of the market will not be changed by all these tricks, so that a more Olympian time scale (and depth of stop) is all that is required to stay afloat. But, at short time frames (5 minute bars, say) the price/volume action has been randomised.

 

[TheBramble]

I shall now leave this thread to the dark siders ;-)

Richard, your charts, trades, interpretations and reasoning have been extremely useful and interesting.

I hope we can look forward to your further contributions and exercises. Not just for your analyses - which coming from a seasoned trader and closet DS are extremely valuable, but as valuable are the interpretations from others who, like myself, are often looking at the wrong things or at the right things wrongly.

And naturally enough, to get Socrates to venture into areas mechanical, even though he may consider it a less important aspect of trading, is of incalculable value.

 

[qaza]

Good post GT

I'll reply a bit later

Got to keep an eye on the dax now

 

[TheBramble]

No, Bramble, you are interpreting this at a mechanical level,
this is not at a mechanical level,
it is at an inuitive level,
and is the result of the rapid detection of a change in intent,
which is an abstract concept,
and that is why the most approximate way of descibing it is intuitive,
but it is not really, it is Biomind Capability on Turbocharge.

Socrates, re-reading your response again this morning, I'm looking at the 'intent' - I think.

If 'the market' intuits the intent then the removal of (say) a large tranche below the Ask - what does this mean?

Well, in purely mechanical terms - there is an implicit and immediate reduction in Supply. So we would imagine pressure on the price to rise.

BUT

If we are looking at INTENT - then we imagine if THAT was their INTENTION in removing the large tranche from below the inside Ask, they WANT the price to go up so they can - DUMP their stock at a higher level?

By intent, are you saying we need to intuit not just the superficial activities of the market and the players actions in it, but also the expectations they have of the response to the surface level activity?

 

[qaza]

If 'the market' intuits the intent then the removal of (say) a large tranche below the Ask - what does this mean?

You cant remove an offer from below the ask, you remove from above

 

[TheBramble]

And even if the gannets are flying upside down where you are it does not change things one bit, does it, my dear Quercus ? Eh ?

...and he's a lot closer to those Penguins....

 

[TheBramble]

You cant remove an offer from below the ask, you remove from above

Thanks qaza - I should have said 'below the inside Ask'.

 

[qaza]

Tony

what is the inside Ask ?

 

[TheBramble]

qaza - the 'inside' Bid is the Highest price anyone will pay for a stock. The 'inside' Ask is the Lowest price anyone will accept in exchange for that stock.

So you were semantically correct in saying for an Ask you remove a level 'below' the inside (as in a level below on a LII screen) but 'above' the value of the inside Ask price.

Does this make sense?

 

[qaza]

qaza - the 'inside' Bid is the Highest price anyone will pay for a stock. The 'inside' Ask is the Lowest price anyone will accept in exchange for that stock.

So you were semantically correct in saying for an Ask you remove a level 'below' the inside (as in a level below on a LII screen) but 'above' the value of the inside Ask price.

Does this make sense?

You make things too complicated. Have another look at what I said

If the last traded price was at 25 and a spoofer wants to remove an offer then the offer can be at a price of 25 or higher ie above the price. The offer can not exist at a level below 25

EDIT ...............apologies I have read your post again , you are talking about the way the L11 screen is configured ? am I warm ?

 

[Rognvald]

GT
"Provisional response: When you see the spoof bid (which by definition is a multiple of normal size) assume it will be withdrawn. Close any position that was reasonable before the bid appeared but has now become vulnerable, open contrary position.
Of course, there are other tricks being played by the spoofer, but since the object of the exercise is to provoke the perverse movements, and this can only be accomplished by the spoofing manoeuvre, the provisional tactics seem likely to continue working. But the systematic spoofing changes (indeed, perverts) the way the market behaves. While it is there, the moment you put on a position you are navigating the edge of a whirlpool, and if you ignore the DOM, you risk being sucked into the depths. It is possible to take the view that the overall trend and level of the market will not be changed by all these tricks, so that a more Olympian time scale (and depth of stop) is all that is required to stay afloat. But, at short time frames (5 minute bars, say) the price/volume action has been randomised."

You are saying that you need to be able to do two things to stay in successfully (all else being equal)?

1 Move your dealing time frame up/down a rung (depending on your viewpoint)
2 Have the resources to do this mental/moral and financial

 

[growltiger]

GT
"Provisional response: When you see the spoof bid (which by definition is a multiple of normal size) assume it will be withdrawn. Close any position that was reasonable before the bid appeared but has now become vulnerable, open contrary position.
Of course, there are other tricks being played by the spoofer, but since the object of the exercise is to provoke the perverse movements, and this can only be accomplished by the spoofing manoeuvre, the provisional tactics seem likely to continue working. But the systematic spoofing changes (indeed, perverts) the way the market behaves. While it is there, the moment you put on a position you are navigating the edge of a whirlpool, and if you ignore the DOM, you risk being sucked into the depths. It is possible to take the view that the overall trend and level of the market will not be changed by all these tricks, so that a more Olympian time scale (and depth of stop) is all that is required to stay afloat. But, at short time frames (5 minute bars, say) the price/volume action has been randomised."

You are saying that you need to be able to do two things to stay in successfully (all else being equal)?

1 Move your dealing time frame up/down a rung (depending on your viewpoint)
2 Have the resources to do this mental/moral and financial

In essence yes to both questions.

But the answer to (1) bifurcates, because if you decide to move up a time frame you have to grit your teeth and expect to ride through gyrations (turbulence pockets) that would not occur without the spoofing; and if you decide to confront the spoofer, as in my provisional response, you will be moving down a frame and adding another dimension to your trading (ie resolving how to handle the movements of the spoofer).

As Quercus has said, the spoofer appears to be offering a free ride in the direction opposite to the spoof order, and this is a challenge. But this brings me to your second point, mental and moral resources: I am not sure whether it is possible to sustain the level of concentration required to accommodate the complexity of the added dimension, nor whether the effort will be net profitable (whereas in the absence of the spoofer price/volume trading clearly can be).

 

[rdstagg]

A mention in dispatches - marvellous!

I still struggle to understand the L2 though.

My original post had this as a short from v early in the morning so I would have put this in the view every 30 min bin with a trailing stop.

As to Mr Charts exit - well I would be out of half at 57.83 as per my previous post and my trailing stop would now be around 58 - thats because I am looking to take this to a swing trade.

I am now in a no lose situation and can move on to manage another trade and let the market decide whether its going to give me more money or not.

I know lots of people will shake their heads at this - but it works (for me)

I thought Socrates observations re the % of people willing to have a go was spot on. [Note to Socrates - I still don't get half of what you say but the half I do get I find strangely warming!]
You remind me of Phantom Of the Pits - that isn't you is it??

It may elicit more response if this were in a board entitled -"Chart lesson of the day" or something.I only found it myself thru Triplepack who kindly pointed it out to me.

Lets have another and see if we can't get more response.

Russell