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Charting VS orderflow

  #18 (permalink)

Milwaukee, WI
Posts: 88 since Jan 2014
Thanks: 4 given, 43 received

Constant Volume Bars

If you want a chart and DOM together you might take a look at this scheme.

This is constant volume chart (for CL). In this case each bar represents 128 contracts traded. The picture was taken at about 1:30 CT the end of the "pit session" (which doesn't really exist anymore but still has some meaning. The yellow background is there for the last 3 minutes of the seesion because there is a lot of trading activity then. The upper study is price and the lower one is cumulative delta.

Arrow A shows a down price bar with an asterisk and an up delta volume bar. If you zoomed in on the delta volume bar you would see that it didn't end at the high. So someone pulled the bids and price closed 2 ticks lower than it opened at. The program detects that and places the aserisk below the bar. Arrow B shows price not moving at all, yet cumulative delta dropped a lot. Thus the bids came in heavy and absorbed all the market sell orders indicating absorption. The program detects it and places an up arrow under the price bar. Arrow C shows absorption but in the other direction - Asks came in heavy and absorbed the market buy orders. The program placed a down arrow above the price bar.

Arrow D points to a gigantic bid order of 555 contracts on the DOM graph. Arrow E points to the inside Bid and Ask and the bids and asks surrounding them. It is kind of bowl shaped which is typical. Arrow F points to the evolving POC. Arrow G points to a notch in the volume-at-price graph which coincides with a swing high, not shown. Besides the DOM graph I also have the trading DOM and I can initiate trades by right-clicking in the green column to place a buy order and right click in the red column to place a sell order. You can see the bid and ask quantities in those two columns. In between those two columns are (from left to right): bid stacking/pulling, recent bid volume, recent ask volume and ask stacking/pulling. Down in the lower right corner is the tape.

The DOM integrated in with the chart can take some of the pressure off of having to stare at the DOM all the time; and you are able to get recent historical context which might help your trading.

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