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The Beast Slayer, Lance's NQ Trading Journal


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The Beast Slayer, Lance's NQ Trading Journal

  #1061 (permalink)
 lancelottrader 
west palm beach florida usa
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silenceit View Post
Hi there

Im posting this 1min CL chart from today.


Could anyone spare some words to explain in terms of market and limit buy and sell orders,bid and ask orders, short covering, etc what happened at A, B, and C?
(Considering also that we are close to roll over)

Regards

Don't have any idea exactly in terms of orders what happened..nor do I concern myself with that while I trade. I do know we had the Oil Inventory report at 11:00 est and I made a 30 tick trade a few minutes after it was released. I had already moved my stop to breakeven here. If anyone else knows the answer to his question, feel free to chime in.

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  #1062 (permalink)
 
xplorer's Avatar
 xplorer 
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silenceit View Post
Hi there

Im posting this 1min CL chart from today.


Could anyone spare some words to explain in terms of market and limit buy and sell orders,bid and ask orders, short covering, etc what happened at A, B, and C?
(Considering also that we are close to roll over)

Regards

From the picture it looks like you want to understand why price moved considerably but Cum Delta didn't.

Cum Delta measures volume of [buy - sell] market orders. If there's overall more sell volume Cum Delta is negative, otherwise it's positive.

For price to go up that way without Cum Delta moving significantly there must have been a comparable volume of buy and sell market orders but at the same time there must have been a combination of fewer limit orders on the ask and more limit orders on the bid which were absorbing the sell market orders.

That's my interpretation anyway.


EDIT: By the way, rollover was today.

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  #1063 (permalink)
 lancelottrader 
west palm beach florida usa
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xplorer View Post
From the picture it looks like you want to understand why price moved considerably but Cum Delta didn't.

Cum Delta measures volume of [buy - sell] market orders. If there's overall more sell volume Cum Delta is negative, otherwise it's positive.

For price to go up that way without Cum Delta moving significantly there must have been a comparable volume of buy and sell market orders but at the same time there must have been a combination of fewer limit orders on the ask and more limit orders on the bid which were absorbing the sell market orders.

That's my interpretation anyway.


EDIT: By the way, rollover was today.

Well, I guess I learned something here. Thanks for the explanation.

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  #1064 (permalink)
 silenceit 
Rome Italy
 
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Xplorer,

thank you for the time you took to come up with an explanation, really appreciated it.

But also, shouldn't roll over be tomorrow? My Sierrachart automatically rolls over and today I had to manually switch it because of the very low volume on Z8.

Regards

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  #1065 (permalink)
 
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 josh 
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silenceit View Post
Hi there

Im posting this 1min CL chart from today.


Could anyone spare some words to explain in terms of market and limit buy and sell orders,bid and ask orders, short covering, etc what happened at A, B, and C?
(Considering also that we are close to roll over)

Regards

It's so funny that you posted this. As I opened the chart today I saw that the Dec contract was very thin and quickly realized that the Jan had taken over (250K vol compared to 120K or something). As I compared them, I noticed that cumulative delta pained a very different picture. So at that moment I took two screen shots, to make the point that cumulative delta, on the whole, simply isn't that effective.

Even on a single stock, you have derivatives like options. On a futures contract like NQ, you have various ETFs like QQQ, inverse ETFs, various futures contracts, single stocks that comprise it, etc.-- so looking at a particular buy/sell flow really is only looking at part of the order flow, and is thus kind of useless in isolation. A fund may be selling QQQ and buying NQ at the same time.

Futures are used heavily to hedge, which means that many times "sell activity" is directly counter to a larger long position in single stocks. Airlines hedge against crude prices rising by buying futures. Is it a directional bet? No -- they want crude to fall, and hope it does so. So a big buy from an airline may be matched with a directional bet short by a fund, and the two have the same goal, but are positioned opposite! In short, it's complex.

At rollover, imagine a fund which is net short and wishes to stay short by buying Dec and selling Jan. This looks like "opposite" activity, but if they use limit orders on both sides, there's no net change in their position. Or, imagine they limit buy their Dec contracts and simultaneously hit Jan on the bid to sell. That's all volume transacted at the bid, so it looks like heavy selling in both contracts, but with no net change for the fund.

Cumulative delta as a divergence tool is not effective for the simple reason that doing so would necessitate parties always using the same order type, and it simply doesn't happen that way. I use it as a key indicator of short term momentum shifts (and today purposely ignored it due to exactly the rollover issues mentioned above), but beyond that, I do not consider it personally.

I've attached the two screenshots I took this morning to show just how different a picture the same indicator can paint on two different contracts.

-Josh

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  #1066 (permalink)
 silenceit 
Rome Italy
 
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Josh,

thank you very much for replying to my post.

Yes, I agree to your thoughts on CV divergences, in the sense that one shouldnt blind take any divergence. I do use it to check if higher highs are backed up by higher ask volumes (similarly for lower lows with bid volume). If I see a lower high with way too much ask volume or even bid vol>ask vol then that is something that goes against my idea of flow and I want to steer away from, like todays action.

Thank you again Josh.


Regards

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  #1067 (permalink)
 
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 xplorer 
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silenceit View Post
Xplorer,

thank you for the time you took to come up with an explanation, really appreciated it.

But also, shouldn't roll over be tomorrow? My Sierrachart automatically rolls over and today I had to manually switch it because of the very low volume on Z8.

Regards

In most months CL rollover takes place on the 18th or earlier if the 18th falls on a w.e., but I too was surprised to see it roll over yesterday.

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  #1068 (permalink)
 lancelottrader 
west palm beach florida usa
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No commentary on this one. Just a quick rundown of today's trades.


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  #1069 (permalink)
 lancelottrader 
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Here are today's trades. Think it went well.


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  #1070 (permalink)
 lancelottrader 
west palm beach florida usa
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These are the type of days that work well for me.Price had some strong moves and was fairly easy to figure out.


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