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Factors influencing intraday Stock indexes futures moves


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Factors influencing intraday Stock indexes futures moves

  #1 (permalink)
 brakkar 
Paris + France
 
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Hi,
I'm looking for factors influencing very short-term intraday price moves on stock indexes futures.
If you have experience with the following points please share your experience:

1) Other stock indexes:
Can a future (like ES) breaking a level sharply, trigger a reaction in another future (like NQ) even if NQ is in the middle of nowhere?

2) Is there any way the real underlying index (NOT ETF) behavior can affect the future? What to look for?

3) Can big liquidity levels attract price?
For those that can see all the limit order book (LOB) levels on the future or ETF, can those huge liquidity levels sitting there attract price? I heard it does, but was not able to experiment.

4) How can individual stock behavior be used in anticipating ES/NQ.... moves? Does looking at the largest cap stocks price of the S&P help at all? If they break a level, or have big liquidity level in the LOB... can it have immediate and useful repercussions on the future?


Also if you have any other observations related to the question of this thread, please share.

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  #2 (permalink)
 
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 matthew28 
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brakkar View Post
Hi,
I'm looking for factors influencing very short-term intraday price moves on stock indexes futures.
If you have experience with the following points please share your experience:

1) Other stock indexes:
Can a future (like ES) breaking a level sharply, trigger a reaction in another future (like NQ) even if NQ is in the middle of nowhere?


Quite common I believe to watch the ES, NQ and YM together if trading one of them. For example, if the NQ is weak on the day as tech stocks have sold off for one reason or another then one might want to sell if the stronger ES makes a new high, the NQ will probably also briefly flick up and that could be an opportunity to get short as when the upward pressure fades the NQ is likely to fall back the hardest and attract more sellers doing so as the bias of the day was down.


Quoting 
4) How can individual stock behavior be used in anticipating ES/NQ.... moves? Does looking at the largest cap stocks price of the S&P help at all? If they break a level, or have big liquidity level in the LOB... can it have immediate and useful repercussions on the future?

I don't like the ES. The Nasdaq on the other hand is a smaller index of 100 rather than 500 and the top six stocks in that by weight make up 40% and they are all big tech names everybody knows. The S&P by comparison has 25 stocks making up the top 40%. (The Dow only has 30 stocks in its index and the top 40% is also six companies, but I prefer trading the NQ).
Company listings from here and click on Weight Analysis for each index to see it graphically https://www.slickcharts.com/nasdaq100 ).

I tried signing up to stock data and looking at six little graphs but that didn't work, then some extra very narrow DOMs just showing current price moving up or down relative to each other but that didn't work right either. Then I tried TickStrike with no graphs, but a strip of six lights showing heavy buying or selling at that moment.

So a trade in the NQ might be if pressure is up and the large stocks are being bought also, then look for a flick back in the NQ to get long, or if looking at a chart and price is moving up to a level and looks like it might run through then buy if the stocks are confirming and exit if that confirming pressure dies.
Or if looking to fade wait for the pop up to exhaust and recent short term stock pressure to stop before selling.
Everybody uses tools differently and it would also depend on how short term the trades are intended to be or the timeframe of charts being used (if used).

Having said all that, I am careful to avoid appearing to give trading advice as I am not consistently profitable, so take this with a pinch of salt. Just meant as food for thought and a possible software suggestion to consider.

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
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  #3 (permalink)
 brakkar 
Paris + France
 
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Very interesting post it seems we are exploring the same kind of operations: spotting heavily biased order flow move on very short term scale.

Why do you prefer the NQ over the S&P or other instrument?

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  #4 (permalink)
 
matthew28's Avatar
 matthew28 
United Kingdom
 
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I dislike the ES because I seemed to rarely get filled on the favourable side of the spread unless it was slamming through me and I also struggled to get out.
The YM seemed to move like the ES and be a less volatile version of the NQ for the same tick value as the NQ so I would rather trade the NQ. Never tried the RTY, just use it as a reference. (ES and RTY as correlation references rather than the more common ES, NQ and YM together, partly because the YM is on the CBOT exchange whereas ES, NQ and RTY are all on the CME, but mostly because I found the YM seemed to move up and down similarly to the ES, so why look at both, whereas the RTY seemed like a nicer correlation trading the NQ).

I prefer the NQ because I can usually get filled on the favourable side of the spread with a flick back or if trading aggressively on the unfavourable side price moves far enough to make a profit.
Especially early in about the first hour of the RTH session. In that period I find there is more likely directional commitment and some volatility with directional price movement as people enter or exit aggressively. After that for me things become unclear with price just briefly sweeping one way or another further than I expect and then turning around and going back again, more passive fills and choppy and harder to recognise good areas to trade.

That's my experience anyway based on my market movement preferences. I am sure other people prefer the more two sided grind from the mid morning onwards. Also of course a lot of people prefer to trade the ES because they can get some size on, with the NQ for quick scalps because of the speed of fills and price moves, partial fills can be an issue on anything above a one lot.

Just my thoughts and experience. As I said I'm no expert.

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
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  #5 (permalink)
 brakkar 
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I used to trade the ES, but just started changing my setup to trade the NQ because I find the wider range in absolute ticks makes it easier to spot accelerations, consolidations, and continuous trends. I read more and more people are trading the NQ on scalping timeframe... there must be a reason.
I read about Gary Norden. I don't try to capture the spread on the NQ, as my goal is to enter on price spike and profit from price inertia. So hitting the ask is almost mandatory.

You mention the scaling limitation of the NQ. Indeed.
As a matter of fact, I started to look at the TQQQ also, which is a corresponding ETF. It's not a future sure, but still highly correlated to what we are trading and trades a HUGE amount of shares. It's the most traded instrument as per Finviz ranking by the number of shares traded. I didn't try it, but it MIGHT be a solution to the scaling issue for Nasdaq 100 trading.

Did you, or anyone else reading this try to apply orderflow trading on the TQQQ?

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  #6 (permalink)
 
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 ES Jedi 
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brakkar View Post
I used to trade the ES, but just started changing my setup to trade the NQ because I find the wider range in absolute ticks makes it easier to spot accelerations, consolidations, and continuous trends. I read more and more people are trading the NQ on scalping timeframe... there must be a reason.

I read about Gary Norden. I don't try to capture the spread on the NQ, as my goal is to enter on price spike and profit from price inertia. So hitting the ask is almost mandatory.



You mention the scaling limitation of the NQ. Indeed.

As a matter of fact, I started to look at the TQQQ also, which is a corresponding ETF. It's not a future sure, but still highly correlated to what we are trading and trades a HUGE amount of shares. It's the most traded instrument as per Finviz ranking by the number of shares traded. I didn't try it, but it MIGHT be a solution to the scaling issue for Nasdaq 100 trading.



Did you, or anyone else reading this try to apply orderflow trading on the TQQQ?



Not getting filled on 2 lots? How many ticks would the target be?

I trade rty and no problem with slippage on 5-10 lot trades.. just curious what the targets are that you get partial fills on 2 lots?


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  #7 (permalink)
 brakkar 
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Nasdaq1517 View Post
Not getting filled on 2 lots? How many ticks would the target be?

I trade rty and no problem with slippage on 5-10 lot trades.. just curious what the targets are that you get partial fills on 2 lots?


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Sure 2 lots is no problem. But I would say it becomes problematic once you reach 10 lots size on NQ and plan to hold for seconds to minutes.
Particularly if you trade premarket.

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 ES Jedi 
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Gotcha completely agree! Yea anything other than es pre market will be tough and you start to really fight the spread


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  #9 (permalink)
 
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 matthew28 
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brakkar View Post
Did you, or anyone else reading this try to apply orderflow trading on the TQQQ?

No. I had never heard of it to be honest

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
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JWipper
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brakkar View Post
Can a future (like ES) breaking a level sharply, trigger a reaction in another future (like NQ) even if NQ is in the middle of nowhere?

I am new to Day Trading so cant be of great help, but I noticed this yesterday too while looking for grabbing a move up in MES. I was trying to see which was leading the move and realised the Dow had not yet broken through upper resistance while MES and NQ had. I didnt take the trade at the time but you comment has reminded me I also want to know more about this connection.

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Last Updated on June 30, 2022


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