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My Thesis on Tape Reading
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My Thesis on Tape Reading

  #11 (permalink)
Market Wizard
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krazyanyway View Post
Thanks for the interesting link. He ranks the importance by "lot size", but am I the only one who immediately thought that this in itself does not constitute any evidence towards finding if size controls the market or not ?

If the tape is made up of 98 1-lots and 2 50-lots, the 1-lots win 98%-to-2% in the "lot size" battle, but guess who moved the most size ?

I'd like to have your thoughts on this (and even the author's if he hangs around here).

As a side note, I thought it would be interesting to re-order the study's lot sizes by volume produced.

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Interesting how the 10's and 50's move up, and the 1-2-3-4-5's still demonstrate their overall importance.

As has been mentioned - this could end up being pretty meaningless.

A large trade will only be reported in US Futures markets when a large market order hits a large limit order. Size reported will be the smaller of the two.

You could think of a 1000 lot hitting a 1000 lot as two titans battling it out - a market seller with conviction hitting a limit buyer with conviction. Without any additional context, would you have a reason to expect such an even to have any directional bearing? To me, it seems like it'd be a neutral event, like having an argument with the wife, sometimes one side would win out and sometimes the other...

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Sony108 View Post
Really are making important contributions. I want to consult you who have much more experience, if there is a good course to learn how to read the tape .. It would be necessary, right? would be very important for me to hear your opinion. ...

There's an extensive free course on the jigsawtrading.com site that is very good => HERE.

Richard
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Thx Richard!


RichardHK View Post
There's an extensive free course on the jigsawtrading.com site that is very good => HERE.


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DionysusToast View Post
As has been mentioned - this could end up being pretty meaningless.

A large trade will only be reported in US Futures markets when a large market order hits a large limit order. Size reported will be the smaller of the two.

You could think of a 1000 lot hitting a 1000 lot as two titans battling it out - a market seller with conviction hitting a limit buyer with conviction. Without any additional context, would you have a reason to expect such an even to have any directional bearing? To me, it seems like it'd be a neutral event, like having an argument with the wife, sometimes one side would win out and sometimes the other...

Yes, good point sir.

How would you approach volume delta measures when this new tape-reporting is taken into account ?
(especially if one likes to have a delta for "larger" players and a delta for "retail-type" players)

Should the indicator have a "reconstruction" method incorporated to it to better reflect the iceberg executions ?

I want to fuse more tape measures and volume information into my entry decisions, but as life would have it, it seems complicated to come up with a simple solution.

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Sony108 View Post
Really are making important contributions. I want to consult you who have much more experience, if there is a good course to learn how to read the tape .. It would be necessary, right? would be very important for me to hear your opinion.

Thx

Sony108

Thanks!

I would recommend start recording the tape and analysing it daily.

Good Luck trading!

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Good thread:

https://futures.io/traders-hideout/10912-tape-my-shape-tape-reading-time-sales.html

Lots of discussion, images, videos.

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instead of time & sales why not a volume ladder and a dom?

there would less stress and also a lot easier to see what's going on. plus with the dom you can see what's happening before and with the volume ladder you can see what's happening right after trades have taken place. and to make it real easy, the best is to have a footprint right next to bid /ask. this way you have all the important things in one place.

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krazyanyway View Post
Yes, good point sir.

How would you approach volume delta measures when this new tape-reporting is taken into account ?
(especially if one likes to have a delta for "larger" players and a delta for "retail-type" players)

Should the indicator have a "reconstruction" method incorporated to it to better reflect the iceberg executions ?

I want to fuse more tape measures and volume information into my entry decisions, but as life would have it, it seems complicated to come up with a simple solution.


I do think some sort of reconstruction is necessary.

I think what you need to be looking for is bursts of large trades. One on it's own could just be half of a stat arb trade being executed.

Also, context is king. If you are at the low of a range and you see a burst of large buy orders, and price doesn't move up, that's added fuel to the downside fire because those large traders are now potentially trapped. So location is important as is the reaction to the large trades.

If you want to set bias, then cumulative delta works well on the ES - a reversal is usually accompanied with a large shift in delta - over 10k contracts.

You are right that it's not simple but analyzing individual trades and the frequency of them may be misleading because it is done without context.

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DionysusToast View Post
You are right that it's not simple but analyzing individual trades and the frequency of them may be misleading because it is done without context.

I like to approach my trading with a top down view. My blueprint will always help me set potential trade locations and those will be adjusted as the day develops. When price approaches any said locations, this is where I would be interested in zooming in on the tape/delta/volume side of things, to help confirm and perhaps even pinpoint entries that my present setup might not have caught.

I also like the idea of delta (split into segments) to help form an idea of general market bias.

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