S&P 500 & other indexes - intraday. Plus chat

DionysusToast said:
Interesting day – it seems that we are balancing around 1262-1282 with Value @ 1281-1271.

LVNS below @ 1264.25 & 1261 LVNs @ 1279 (within value) and 1287, 1295.
I’m still half expecting it to return to 1331 before turning around. So what we have now may be a smaller balance area within a larger one.

You can see the balance areas here:

June5th.png
Click to expand...

The area in the above chart is getting a bit big on that timeframe, so lets go back to the daily:

balancearea.png


We can see that the poke down past 1287 really didn't get accepted. There is very little volume traded down there. My "half expecting" is now half and a but. So I go back to my premise of poking up through 1331 and finding an LVN to bounce back down off.

I don't think we really had a smaller balance area within a larger one as I stated before. I was looking for something that wasn't there. Heuristics, eh? I think this was just a poke down and now we have reverted to value.

We can't stay balanced forever but as wikem showed earlier on (albeit on a smaller timeframe) - find balance, wait for it to push outside of value, fade it back into value. Repeat until it goes back into vertical development.

That's the theory as it was explained to me.
 
tim3 said:
The change he is talking about is something to do with prop trading he explains in the video below.
Click to expand...

His premise is:

- Prop trading accounts for the bulk of the volume in markets
- This volume is facilitated by floor traders like Oscar who are the locals (aka market makers) for this volume.
- If you remove prop, you need less locals and if you have less locals you implicitly have less liquidity
- Therefore if you have less liquidity, HFT activity will exacerbate price movements

What he fails to mention here is that HFT happens in electronic markets and not pit traded markets :rolleyes:

Pit trading has been dying as electronic trading has been increasing. If you want to see how much it has changed, watch 'Floored'

He's part of a dying breed.

That's my opinion.
 
JT_MOT said:
I took a few ticks on the way up, not worth posting a charts or an explanation though. Just thought I'd ride the trend a bit. Being someone who typically likes to swing trade I found it very hard to do and was also watching most the day looking for a pull back. Think DT might be onto something with his ABCD thing!

Good luck in the asian session all, stay alert ;-)
Click to expand...

Think of it this way. It's a skill you have to develop. The 'point D' entry is something that will come with time and so don't give yourself grief chasing it whilst you develop the skills.
 
I now realise I am going to do anything BUT write this bloody manual...

wekim said:
TS is very tough to read. DT's product combines both the DOM/TS so its much much better. Seeing a wall of red on the TS would lead you to believe that theres a lot of aggressive sellers hitting the bid, but unless youre are speedreader, theres no way youre gonna know exactly how many. Yes, you can filter the TS and highlight large orders, but many block orders are broken up (ala icebergs). With DT's depth+sales product, I can see exactly how many contracts have hit the bid. Probably sounds like I'm plugging his product, but its just very good for this purpose. Only CQG's dom offers similar, but they only show the traded contracts for the current inside bid/ask. DT's will show a history until you clear it.
Click to expand...

Yup - the product is called Depth & Sales for a reason, it is DOM & Time&Sales combined. It makes watching Time & Sales for 'flow' redundant.

I keep a T&S by the side showing large orders only.



This is what I most look for. Either a bid or an offer holding and absorbing most of the market orders. I'm probably biased to this because its what the NO BS guy places a good amount of weight on. So this is easiest for me to see.

Let me explain the problem I'm having with this absorption (kinda relates to the iceberg thing I mentioned earlier in the thread), maybe DT will chime in too.

Say the support level is 69. Price is moving down. Suppose on average it takes 500 contracts to move a price. We move down to 71x72 and 1000 have hit the bid, but its holding. It increases to 1500, bid still holds. Then up to 2000 while the bid holds. (On the TS this would be a wall of red). I start thinking, hrmmm perhaps this is the bottom, some nice absorbtion here, two ticks off the low. Say by the time 500 more trade for a total of 2500, price ticks down to 70x71 and the same thing happens. lots of orders at the bid. Again I start thinking to go long. This time it takes 2000 to move price down to the level. Price is down to 69x70. However, the last two prices have shown some nice absorption, yet price couldn't hold. Suppose I start to see the same at 69, maybe 3000+ are absorbed at the bid. So far it hasn't been reliable that it will hold. And all this usually happens ALONG with plenty of contracts hitting the offer as well. As if the buyers are trying to support the price and push it upward. Its not like 3000 go through at the bid and only 400 at the offer. It might be 3000 and 2000. Sometimes that 3000 that was just absorbed is enough to break 69, and then youll see at least 3-4 ticks go as stops are hit, but sometimes the move continues too.
Click to expand...

It's always nice to have more than one reason to enter a trade. Let's say you wanted to build a 10,000 contract position for a short term trade. There's a couple of things you'd want to do:

1 - Not have price move against you too much
2 - Get the best price possible

Now - if you buy all 10,000 in one go - everyone sees it but also, you don't get the best prices. So you buy 2000, then 3000 at the next price, 3000 at the next.

That way, price doesn't run away from you and you are getting in at better prices.

Now - I don't know anyone that trades 10,000 contract so this is my theory only but it makes sense.

So - when you see absorption, you might be reading it right that a reversal is imminent. If you go long on absorption on the bid with a 4 tick stop, then it may well wiggle you out because they may want to add more at better prices.

One thing you can be sure of if someone builds a short term position like this, when they are done, they (and their followers) will start jumping on and this is the reason I keep a T&S of large trades by the D&S - because some signals aren't strong enough on their own. You see the absorption but wait till you see some market buying.
 
robster970 said:
His premise is:

- Prop trading accounts for the bulk of the volume in markets
- This volume is facilitated by floor traders like Oscar who are the locals (aka market makers) for this volume.
- If you remove prop, you need less locals and if you have less locals you implicitly have less liquidity
- Therefore if you have less liquidity, HFT activity will exacerbate price movements

What he fails to mention here is that HFT happens in electronic markets and not pit traded markets :rolleyes:

Pit trading has been dying as electronic trading has been increasing. If you want to see how much it has changed, watch 'Floored'

He's part of a dying breed.

That's my opinion.
Click to expand...

Don't think Oscar floor trades any more.
but agree floor traders are a dying bread and have seen floored (great film )
 
tim3 said:
Don't think Oscar floor trades any more.
but agree floor traders are a dying bread and have seen floored (great film )
Click to expand...

The only way what he says makes any sense is for something where there is a correlated market (like the SP contract which is pit traded vs ES which is on Globex vs NYSE equities session which has some locals for upstairs market stuff but is mainly electronically traded)

You could argue that pulling ES around using HFT would trash SP but to do that you need HFT to be pulling the entire S&P cash market which during RTH is probably not really possible.

Hence my conclusion is that even though he may have traded the floor at some point, he is talking out of his hat.

Floored is a great film. In fact I might watch it again tonight.
 
robster970 said:
His premise is:

- Prop trading accounts for the bulk of the volume in markets
- This volume is facilitated by floor traders like Oscar who are the locals (aka market makers) for this volume.
- If you remove prop, you need less locals and if you have less locals you implicitly have less liquidity
- Therefore if you have less liquidity, HFT activity will exacerbate price movements

What he fails to mention here is that HFT happens in electronic markets and not pit traded markets :rolleyes:

Pit trading has been dying as electronic trading has been increasing. If you want to see how much it has changed, watch 'Floored'

He's part of a dying breed.

That's my opinion.
Click to expand...

What it the volume traded in the pits? A 10th of the electronic trading? Less than that?
 
DionysusToast said:
What it the volume traded in the pits? A 10th of the electronic trading? Less than that?
Click to expand...

At some point in 'Floored' they say that number of PIT participants is down 90% and some pits have closed altogether. I wouldn't like to put a figure on it tbh but I can't imagine it being much these days.
 
DionysusToast said:
So - when you see absorption, you might be reading it right that a reversal is imminent. If you go long on absorption on the bid with a 4 tick stop, then it may well wiggle you out because they may want to add more at better prices.

One thing you can be sure of if someone builds a short term position like this, when they are done, they (and their followers) will start jumping on and this is the reason I keep a T&S of large trades by the D&S - because some signals aren't strong enough on their own. You see the absorption but wait till you see some market buying.
Click to expand...

Yeah funny you mention a 4 tick stop. I think I need to be more liberal on my stops, cause there is quite a lot of wiggle noise on the ES. The examples in the NO BS book seemed to recommend getting out asap when you're wrong, so usually I'm out if it goes offside 2 ticks. But I think its also a byproduct of me having too short of a timeframe reference. Trying to scalp the ES I probably need to be looking at a 10 minute trade instead of 2 minutes.
 
Wekim

I use a 4 tick stop by default, no problem with it per se. Now - sometimes I move my stop to give the trade more room, I'll usually do this as soon as it's entered 'cause it's Ninja ATM strategy putting my stop on - just in case I hit a Bangkok power cut/internet out.

Let's call those point "D" trades "1 reason trades".

A measured move + a point D 'hold' + Some buyers seeing it & rushing in. Let's call that a 3 reason trade.

3 reason trades don't need big stops.

I guess the number of reasons isn't important, it's just an illustration. Some trades should go your way straight away if you are reading the flow correctly. Some things you see on there are stronger than others. You will become more discerning over time.
 
8th June - just me today is it?

Value on the range I’m looking at 17th May -> Today is 1294.25 ->1328.25 and we are sitting in the middle of that.
Shorts 1331-1334, 1344
Longs 1287, 1279

Seems that these LVNs outside value look miles away today.
As always, will scalp the intraday trends as they surface.
Also – as per Robster, I’ll have my eye on yesterdays Naked VPOC @ 1314

8:30 news been & gone
10:00 – Trade Balance
10:15 – Obama speaking

I’m going to be very cautious this AM with Obama talking.
Anyone know where I can get a live feed?
 
DionysusToast said:
8th June - just me today is it?
Click to expand...

Think so Pedro. Me no play today.

NVPOCs at 1320.75 & 1307.75

ON VPOC at 1312.50, profile is quite gaussian.

Selling shelf formed at 1314.50/75 in overnight mkt, gap close at 1316.25, buyers been coming in at higher prices though since European open.

CBAVOL pre-mkt is low. Been sat in a range betweem 1305.50 and 1314.75 since early in asian session.

Probably test upside for sellers first with selling shelf/gap playing a part. Expect it to range trade today.
 
Been busy

12:50am JPY Current Account 0.29T 0.62T 0.79T
12:50am JPY Final GDP q/q 1.2% 1.1% 1.0%
12:50am JPY Bank Lending y/y 0.3% 0.3%
1:01am JPY Final GDP Price Index y/y -1.3% -1.2% -1.2%
2:30am AUD Trade Balance -0.20B -0.92B -1.28B
2:30am AUD Home Loans m/m 0.2% 0.1% 0.8%
4:30am AUD RBA Gov Stevens Speaks
6:00am JPY Economy Watchers Sentiment 47.2 51.2 50.9
7:00am EUR German Trade Balance 16.1B 13.3B 14.0B
7:45am EUR French Gov Budget Balance -59.9B -29.4B
7:45am EUR French Trade Balance -5.8B -5.7B -5.6B
9:00am EUR Italian Industrial Production m/m -1.9% -0.4% 0.6%
9:30am GBP PPI Input m/m -2.5% -1.2% -1.4%
9:30am GBP Consumer Inflation Expectations 3.7% 3.5%
9:30am GBP PPI Output m/m -0.2% 0.2% 0.6%
1:13pm CAD Housing Starts 211K 226K 244K
1:30pm CAD Employment Change 7.7K 10.0K 58.2K
1:30pm CAD Trade Balance -0.4B 0.2B 0.2B
1:30pm CAD Unemployment Rate 7.3% 7.3% 7.3%
1:30pm CAD Labor Productivity q/q 0.1% 0.3% 0.7%
1:30pm USD Trade Balance -50.1B -49.4B -52.6B
3:00pm USD Wholesale Inventories m/m 0.6% 0.5% 0.3%
3:15pm USD President Obama Speaks
 
Last edited:
DionysusToast said:
8:30 news been & gone
10:00 – Trade Balance
10:15 – Obama speaking

I’m going to be very cautious this AM with Obama talking.
Anyone know where I can get a live feed?
Click to expand...

Bloomberg will tell any highlights I expect.
 
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