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choppy treasuries markets
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choppy treasuries markets

  #11 (permalink)
Market Wizard
Kyoto, Japan
 
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Not for nothing, but I have been trading TLT with options and this year it's been one of the worst trades. Dunno why. I need to adapt.

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  #12 (permalink)
Trading Apprentice
Little Rock, AR, USA
 
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It's summer time - the treasuries behave more like the ES over summer(in my opinion). The liquidity is still there in the order book, but those orders will pull much sooner than the same scenario in non-summer times. EG, instead of taking the normal 300-400 market orders to crack a price on the ZB, after the first 100 orders, the limit orders pull and the price cracks sooner.

If you can correlate volume and price movement as your signal, you should be alright(famous last words!) in the summer months. A really low-rent way to do that is to put take 2 short-term charts(from 30s to 3m, you pick), put a 2 bar and 10 bar EMA on each one, and set one chart to price, and the other chart to cumulative delta with volume calculated from ask/bid traded(NOT uptick/downtick). Then wait for both EMA's to cross in the same direction at the same time - that means both price and volume are moving in the same direction at the same time, which is good for 2 or 3 ticks(even in the summer).

If you are using xtrader/jigsaw DOM to watch the order flow, just realize that the order flow for the summer times looks nothing like the order flow for the rest of the year. It's not that you are doing badly, it's that the thing you have trained yourself to look for has modified it's appearance. Just spend some more time re-learning the flow with the summertime volume/price action, and I bet it will make sense to you again.

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  #13 (permalink)
Elite Member
salt lake utah
 
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Read it somewhere that yield curve effecting the volatility in treasuries (not sure if this is correct or not), if it's true than maybe need to spend more time studying this first.

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  #14 (permalink)
Trading Apprentice
Little Rock, AR, USA
 
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Trading based on order flow poses some additional challenges when the market changes(eg in summer). Your brain has been "learning" the normal flow of orders that makes sense for the season you are in. When the season changes, all those learned thresholds of depth and market orders goes out the window. If this seems to be happening to you - consider visualizing your order flow with a chart.

An example works better here... imagine you are trading the ZB in fall/winter(eg, "normal"), and the order flows comes out to being a +200/+300 delta to crack a price. Summer comes along, and that threshold changes to +125/+150. If you were to chart the delta/price changes as percent-of-threshold, your summer chart and your fall/winter chart look the same - the same trades work out, everything is as you'd expect it. No "re-learning" of the market's new behavior is necessary.

Just a random thought for you if changing markets is throwing off your order flow trading. I trade order flow as well, but I shifted to percentage-of-threshold methods awhile back, and haven't been tempted to switch back since.

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  #15 (permalink)
Seth
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I've found the order flow the past two weeks to be very difficult to trade because there's been big forces on both sides of the trade.

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  #16 (permalink)
Trading Apprentice
Little Rock, AR, USA
 
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TWDsje View Post
I've found the order flow the past two weeks to be very difficult to trade because there's been big forces on both sides of the trade.

Do you have a system you employ to determine which of the two forces is effective? EG, if you have 1000 market sells, and 1600 market buys for a time period(say, 90 seconds), and the price ticks up once: then you have +600 "effective" buy volume. The -1000 sell volume was ineffective volume. If you look at that over a longer period(say, 3600 seconds), you can create mental averages of what quantity of imbalance is necessary before it becomes effective. That can help take out the confusion and constantly switching bias you get with more volatile summer markets.

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  #17 (permalink)
Seth
Salt Lake City, Utah
 
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module0000 View Post
Do you have a system you employ to determine which of the two forces is effective? EG, if you have 1000 market sells, and 1600 market buys for a time period(say, 90 seconds), and the price ticks up once: then you have +600 "effective" buy volume. The -1000 sell volume was ineffective volume. If you look at that over a longer period(say, 3600 seconds), you can create mental averages of what quantity of imbalance is necessary before it becomes effective. That can help take out the confusion and constantly switching bias you get with more volatile summer markets.

I've been using more Cumulative Delta to watch these areas. Only getting in when I see that the market positioning has experienced a significant change. Generally I'm looking more for when one side completely disappears, and price moves away from that spot.

However, right now my win rate on these is still only 50/50. Something frustrating in particular is that we've been seeing 3500+ lots pass through in otherwise calm areas. When it hits, the market goes nuts. I've been on the right side of it twice, and the wrong side of it twice.

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