Something along the lines of this could be cool, like what he is using along the top in this vid. Something with more visual impact so its easier to take in would be a big help.
http://www.videos.traderslaboratory.com/video/236/Tape-Reading-with-Order-Ticker
http://www.videos.traderslaboratory.com/video/236/Tape-Reading-with-Order-Ticker
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If you have access to the API (at least for TT), you can do a whole host of things.
DionysusToast
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I did see one product out there but it was like the dashboard of the starship enterprise. Total nerdware.
Shakone
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I suppose you'd have to know what you're looking for first, in order to represent it graphically in a nice way. Sadly I don't (yet?). If people find candles/bars useful to represent price, there should be something useful for this.
amit1986
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It's a strange thing but hel talks about how you should stay away from forex because of the spread but then he's a scalper. So, he pays $4 or less per contract for a round turn. Let's say he scalped the ES for 4 ticks, that's a $50 profit - well that's 8% paid in commissions. Not that cheap?!
market delta
If I think about it, I can see 8 variables (with two properties each, Price and Size) that you would have to play with:
Bids / Offers IN the orderbook
Bids / Offers ARRIVING at the orderbook
Bids / Offers LEAVING the orderbook
Trades AT the Bid / Offer
They don't have T&S on this platform yet although they are doing it. With some time, I could probably code it myself but haven't looked into it yet.
The second column in the attached video flashes up the number of contracts traded and I can see the total volume change on the right so that will do for the moment - seems to be the same as TT just laid out differently.
In the attached video, you will see the price at 11105 with 1034 contracts traded. 3 then trade very quickly and the total goes to 1037 but the price does not move.
Then all of a sudden the price goes bid with what seems like no contracts being traded at all. Que?
Watch on full screen if needed by clicking on the vid...(the volume is practically non existent this afternoon so that means no trades for me).
http://www.youtube.com/watch?v=raofx3xlfH4
timsk
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Hi Shakone,
Take a look at delta volume analysis. Very simple graphic display - no flashing numbers going by at 100 miles an hour!
see my post #25 on the Orderflow Analytics thread.
Tim.
It's hard to analyse that video, like you said there wasn't really any volume. From the video it looks like the the last volume traded column only shows the last clip and doesn't accumulate...this would be pretty impossible to use as you would be constantly counting the volume in your head.
Here is a video that the No BS trading guy posted on youtube to promote his book, its easier to see the kind of thing that scalpers look for.
With regards to commissions, there is no way you can trade this way with retail commissions...the costs would amount to far to much. I'm sure a lot of you have read the interview with Marc Greenspoon who was a monster scalper. But he says that his edge is less than a quarter of a tick per roundy, so if he was paying retail he would most definitely end the year with a loss.
For those of you that haven't read it...here is the link:
http://traderfeed.blogspot.com/2007/04/marc-greenspoon-visit-with-world-class.html
So basically if you do a lot of round trips, you negotiate the commission down?
I would have thought for a $5 round trip, you want at least a profit of 8 ticks+ per $50 contract? ie 5/100profit = 5% commission (still a lot really but that's the day trading worls).
No, the final volume column adds up throughout the day and resets the next day, that's why it went from 1304 to 1307 but it's very thin - if we're on about the same thing?
The current traded contracts is the second column. There's not much to analyse in the vid, I just wanted to be sure I was looking at the right thing as the bid price seemed to move up without anything being traded. Easier to view on youtube directly on full screen otherwise it's impossible.
If you look at the No BS video I posted you can see that the last column on TT has the cumulative for the whole day and then it also has the cumulative amount that has traded at the current price since the last price change, this is what you need.
Regarding commissions, I pay about $1.50 for ES and do about 4000/month. So if you imagine I was paying retail commissions at $5/rt I would be looking at $20000 in commissions before I turned a profit! Brokers will give you a good deal if you do this many turns.
If you are looking into this seriously, it's also worth looking at the exchanges to see what rebates / discounts they will give. I remember the CME used to have a "european summitorother" whereby their exchange fees were reduced to european traders for the first 6 months (IIRC). Do your homework and make sure you remind your broker about them when you are in discussions.
" They're gonna print 449 at once" - I've been looking at the 120060 level and I cannot see a 449 figure anywhere. I see the total move from 2920 to around 3369 - shouldn;t something show the 449 contracts?
That would be the Time and Sales, although the originating trader could have split it up (you can't see the T+S in that video)
You're right, it should show the 449 when it shows the '4' on the green. Either he has had to reduce the frame rate for the video or the price trades between the bid and and offer so quickly that you can't see it.
Like Gecko said, you would be able to see this on the time and sales.
Like Gecko said, you would be able to see this on the time and sales.
DionysusToast
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Remember boys and girls - don't get caught up in 'order book = scalping". It can be but does not have to be.
Here's a trade from last night. It wasn't profitable (well, a few dollars) but is fairly typcal. My risk was 4 ticks to 1183.00. My target was to get back to the low of the morning at 1174.00. I went 2 contracts short at 1182.00, 2 ticks away from the swing high of that move. One taken off at 6 ticks 'cause that's my usual scale out point standard setting and one left to go for the low. In the end the remaining one got stopped out at 1183, so this one had a tiny profit after commissions.
What it does show is how you can use the order books to refine an entry. It also shows pretty clearly that I wasn't sitting on the DOM every move throughout the trade, if I were, I wouldn't have sat through that retrace.
Commissions are $4 per R/T. I can't get them much lower as I don't do enough volume - I'm doing 1-3 trades a morning only with 2 contracts/trade. The moves are big enough to eat the commissions though.
Here's a trade from last night. It wasn't profitable (well, a few dollars) but is fairly typcal. My risk was 4 ticks to 1183.00. My target was to get back to the low of the morning at 1174.00. I went 2 contracts short at 1182.00, 2 ticks away from the swing high of that move. One taken off at 6 ticks 'cause that's my usual scale out point standard setting and one left to go for the low. In the end the remaining one got stopped out at 1183, so this one had a tiny profit after commissions.
What it does show is how you can use the order books to refine an entry. It also shows pretty clearly that I wasn't sitting on the DOM every move throughout the trade, if I were, I wouldn't have sat through that retrace.
Commissions are $4 per R/T. I can't get them much lower as I don't do enough volume - I'm doing 1-3 trades a morning only with 2 contracts/trade. The moves are big enough to eat the commissions though.
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