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OrderFlow Trading


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OrderFlow Trading

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  #1 (permalink)
 jalley 
La Grange, CA USA
 
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I was trading ES on replay for 9/4 and noticed odd behavior that hope someone could explain why it would happen.

I have MZPack with IceBerg, BigTrades, Depth of Market and Orderbook info.

I saw a large imbalance of sellers to buyers in the order book. I also noticed several large trades on the sell side yet the price kept moving up at a steady pace!! How could this be?

Thank you in advance

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  #2 (permalink)
 forgiven 
Fletcher NC
 
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jalley View Post
I was trading ES on replay for 9/4 and noticed odd behavior that hope someone could explain why it would happen.

I have MZPack with IceBerg, BigTrades, Depth of Market and Orderbook info.

I saw a large imbalance of sellers to buyers in the order book. I also noticed several large trades on the sell side yet the price kept moving up at a steady pace!! How could this be?

Thank you in advance

the sell orders were being pulled before they could be executed along with the buy orders being executed as market orders .

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  #3 (permalink)
 roztom 
Chicago, IL. USA
 
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In addition, to "forgiven comments" what was the behavior of icebergs when those "sell orders" triggered? BTW, are your icebergs Native CME or synthetic? That would also differentiate what you were seeing.

One of the things about orderbook imbalance that I have observed is that while the book imbalance may suggest that it is skewed to one side, the participants behavior will not be consistent with the skew. What I tend to look at, from a strictly imbalance perspective is how the market is behaving relative to the imbalance and also when the behavior changes relative to the imbalance. SO at times selling imbalance will press the market. Other times the market will either trade/absorb the sell side imbalance or be repelled by it. Personally, I do not find consistent behavior relative to the skew but I do look how the market responds and the behavior of the book when it trades near/through liquidity and the behavior of the liquidity. IMHO, the market's behavior relative to the imbalance at any given time is a random component vs a red/green light indication of impending behavior/response. How the market responds to the book at any given time, especially large resting liquidity is more indicative of participant intent vs the skew of the book until the market interacts with aggressive algo/participant behavior.

I hope this makes some sense.

Tom B.

Regards,

Tom

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  #4 (permalink)
 jalley 
La Grange, CA USA
 
Experience: Intermediate
Platform: Ninjatrader, MetaTrader
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Trading: MES, MNQ, M2K, MYM
 
Posts: 23 since Jun 2020
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Thank you both for your insight. I'm using MZPacks Hard calculation for the Icebergs with CME data feed. I'm wondering if BookMap would show it lifting those 'fake' limit orders last second while a market order in the opposite direction is happening. I almost thought, since I'm new to MZPack and order flow trading, that maybe my indicators where showing the wrong color for the Icebergs, lol.

Actually wish there was more training for using MzPack, it is complicated with numerous options.

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  #5 (permalink)
michelle113
Manchester UK
 
 
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Bids absorbing. May be directional (will take it up shortly via market orders) or non-directional (arb, just filling the order without speculation). One message from that picture: don't short unless situation changes.

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