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I guess NQ isn't really the right market to interpret stuff like that into it.
I've given up to try to interpret level 2 data on NQ because the moment you realise that there are orders added to a certain price level, the market is somewhere else...
Maybe it would work if one could watch .25, .50 and .75 as one and realise that in that group orders are added to.
Can you help answer these questions from other members on NexusFi?
For every buy there is a sell, there is never more buying or selling.
for that being said, what moves the market?? the answer is market orders. market orders being hit on the buy side show bullish and opposite for sell.
So if you have a green bar and the delta is negative....... What you are seeing is shorts are trying to get out and they are slapping the bid..
so I would predict the price to go up into close as shorts cover their positions.
For every buy there is a sell, there is never more buying or selling.
for that being said, what moves the market?? the answer is market orders. market orders being hit on the buy side show bullish and opposite for sell.
So if you have a green bar and the delta is negative....... What you are seeing is shorts are trying to get out and they are slapping the bid..
so I would predict the price to go up into close as shorts cover their positions.
buy and sell orders (bid and ask) you see on the dom are limit orders. so if the bid (buy) gets hit, that is a sell order. and if the ask (sell) gets hit, that is a buy order. marketable orders are the aggressor what determines if it's a buy or a sell.
a green bar and a negative delta means a lot of sellers, but price is going higher. could create a good buying opportunity.
The initial answer is simple: a green bar with red delta means that there has been selling absorption from resting buy orders (limit orders etc) and for the time being the delta sellers at market price have been beaten. How to use it is another matter I have looked at volume charts and they are excellent for working out SR levels. However they fail on giving you an idea of the velocity of any move.
To give you an example, how would you interpret the price move you have described, but instead you say that it happened at the Previous Daily Low, on a 5 min chart, with heavy overall volume, heavy selling delta that was beaten, and a bullish pinball had formed. What would you do? Context is everything, as is velocity.
This behavior you described occurs as a function of limit orders being canceled.
There is more to the picture that just the transacted volume, though this is the only metric that any software tool I am aware of tracks. Here are all the relevant components that must be considered.
1. Starting Volume of Bid / Ask
2. Added Volume of Bid / Ask
3. Canceled Volume of Bid / Ask
4. Transacted Volume of Bid / Ask
5. Ending Volume of Bid / Ask
Transacted volume only typically makes up 25% to 50% of the action that actually occurred. The Cancelled Volume makes up 50% to 75% of the action typically and this is never usually tracked by any software tool.
Visually looking at charting software you won't be able to tell the difference between transacted and cancelled in real time, but with code we can extract all the individual price level data and reconcile it and observe all the points above. The rabbit hole is a lot deeper then many would assume...
Ian
In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
To follow on from my post above, please see the screenshots for the DAx this morning. I traded this imbalance.
Price was resting at a level that I had already marked out (some previous opens on the Dax-always a heavy volume area) as well as being a swing high that had previously been used as support when beaten.
So the first criteria is met-has to occur at an are of interest.
Now look at the amount of aggressive market selling occurring which is the delta. The selling has gone past the previous swing selling, and yet price is much higher. So limit orders are absorbing the selling, and it means there are trapped traders who are selling on the delta. So you enter a position (can't be bothered to go through all the detail) based on the opinion that there are trapped sellers, price is being supported by hidden buyers at a key level. If you have this info then you have to go long.
1. I'm jealous because I'd love to also trade european markets during daytime. Instead I have to trade us markets after work
2. Yes I think your example fits what I have asked for one bar, but over a longer timeframe. In both cases context is king as you said.
Well it holds true for US markets too but yes it's great to be able to trade the European session so I am lucky in that respect. Between the SandP and the DOW, or whatever you trade, if you have a few markets up then one will normally exhibit this divergence.
It would help you to view the delta from a big picture point of view like I was describing, rather than focussing on just one bar. Bear in mind that the opposite holds true for a sell i.e. lots of buying on the delta but price is lower, whilst it is occurring at an area of previous interest. When you have that overview then it's up to you to work out whether you simply enter, or wait for an event to occur. I do both, but I do prefer an event to occur. This morning it was a quick drop in price, with heavy volume on both the delta and normal volume, which was quickly rejected. This was set against the overall backdrop of sellers being caught out by limit order buyers. See chart where the are small brown lines at my entry candle. Apologies for the stupid white line on the chart-it doesn't signify anything-didn't know it was there, unlike the following chart where it shows the open this morning.
Here is the dax open this morning screaming...what? I didn't take this as find the open a bit quick-might need to work on my entries. 8am open is the white vertical line.
