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Sure, a lot of volume is in the book and gets pulled or moved. I know it is generally described as "fake" but I personally don't think that is a particularly accurate description. There are a lot of algos shadowing price, some markets more than others, but when large size is put in the book then that trader is still having to put up the margin to place that order which means they have a large account and it is therefore something to take note of and see what happens. Bookmap or similar with full market depth data can be nice in that respect because it is clear to see large size that is sat waiting for a long period and stays and fills when price does does get there.
Such as the Volume in Time setting on PriceSquawk. The default settings for instance are 30 seconds with three audible volume settings for whether the past 30 seconds volume has been low, medium or high in relation to the average 30 seconds period volume for the past 10 minutes. I don't use Bookmap, but I do use Jigsaw, and use Pricesquawk through that platform (though I remember there is also an independent platform version.
ps. I don't know about others, but I am less inclined to answer people if they have been around for awhile/made some posts, but haven't used the "Thanks" button at all.
That could be just me, but I think people appreciate it.
You do not win as a trader, you just get to play again the next day. If that game doesn’t appeal to you then you should not trade. Gary Norden
No, it's not just you. Someone has to spend some time making a reply, and if it helps, or even if it doesn't, it's usually good etiquette to acknowledge this.
I stop answering posts from people with 0 "Thanks given" at some point, once they have been here a while and made a few posts.
Not jumping on anyone here.... it's just part of getting accustomed to the ways of the forum. No problem, just an FYI.
Bob.
When one door closes, another opens.
-- Cervantes, Don Quixote
If you are scalper, you should be focusing on the Price action rather than on specific chart format to identify if you should be trading and what type of trades you should take. I can find ANY chart format and optimize it to justify ANY scenario for trade to be valid. This is the fundamental problem with 90% of traders, they don't understand what the Context is.
Using volume bars can help to identify the volume momentum and speed.
In use bar speed on volume bars period bar time vs current time bar. To see how fast the bars are moving based on volume and volatility range.
Knowing when not to trade only comes with screen time and experience and many mistakes over the years b
It’s a challenge for most traders specially scalper, as one gets fixated on price action and misses the context and bigger picture.
Funny coincidence that you should mention those 2 measures that I track on a 100 tick chart.
I display the # of trades per second on the top of the chart, and plot the velocity on the bottom of the chart(green/red).
Still, I'm not sure those are good indicators of trend vs. range. I think a better measure is the frequency of momentum crossing the zero line ...shown in the blue/orange histogram. For volatility, I use Highest High - Lowest Low for the past 10 bars.
I am not a scalper but I did some manual testing of the concept of CPS. I remember when you get a burst of relatively high CPS, it has some information content. However, it is hard to quantify the effect because the location of that happening is also critical (e.g., near an old high).
Yes, but what is more significant: 1 order of 1000 contracts or 10 orders of 100 each ?
BTW: We all know the head-faking going on in the Level 2 book, but what has been really surprising for me is the level of volatility with the Inside Bid and Ask size in Level 1. I think that is the Algos at work because of the speed needed when orders are that close to the market.
In order to provide my own personal insight to your search for answers, can you express, as a scalper, how much money do you want to make in any given day. I ask this as I often see individuals trying to use a methodology inconsistent with the return they wish to acquire.
A construction comparison would be the following: "Using a 40 ton D-8 Caterpillar to flatten out one yard of dirt".
Thank you for your reply..
ps. I'm not selling nor advertising anything
Personally for me I'm not sure how much that really matters either way. I have looked at Bookmap and know it has a large lot tracker for instance, but as you allude to, orders can be broken up.
I think trying to guess whether 1000 contracts is one person's order, one person's order broken in to ten blocks, or ten people's orders is a waste of time as you will never know the correct answer anyway.
If you look at a DOM or heatmap and there is a level with abnormally large size sat there relative to the usual order book level size, and it has been there for a long time and doesn't pull when price gets near, then it can be interesting to see whether large size comes in the opposite way and trades, and what the market does after that.
You do not win as a trader, you just get to play again the next day. If that game doesn’t appeal to you then you should not trade. Gary Norden
