NexusFi: Find Your Edge


Home Menu

 





My Thesis on Tape Reading


Discussion in Emini and Emicro Index

Updated
      Top Posters
    1. looks_one FesxEurex with 10 posts (10 thanks)
    2. looks_two ValueFocused with 6 posts (2 thanks)
    3. looks_3 Silvester17 with 5 posts (23 thanks)
    4. looks_4 Big Mike with 4 posts (4 thanks)
      Best Posters
    1. looks_one Orion with 15 thanks per post
    2. looks_two Silvester17 with 4.6 thanks per post
    3. looks_3 FesxEurex with 1 thanks per post
    4. looks_4 Big Mike with 1 thanks per post
    1. trending_up 26,651 views
    2. thumb_up 83 thanks given
    3. group 35 followers
    1. forum 43 posts
    2. attach_file 3 attachments




 
Search this Thread

My Thesis on Tape Reading

  #11 (permalink)
 
Jigsaw Trading's Avatar
 Jigsaw Trading  Jigsaw Trading is an official Site Sponsor
 
Posts: 2,988 since Nov 2010
Thanks Given: 831
Thanks Received: 10,393


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.




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...

If you have any questions about the products or services provided, please send me a Private Message or use the futures.io " Ask Me Anything" thread
Visit my NexusFi Trade Journal Reply With Quote
Thanked by:

Can you help answer these questions
from other members on NexusFi?
NexusFi Journal Challenge - April 2024
Feedback and Announcements
NT7 Indicator Script Troubleshooting - Camarilla Pivots
NinjaTrader
Online prop firm The Funded Trader (TFT) going under?
Traders Hideout
Deepmoney LLM
Elite Quantitative GenAI/LLM
My NT8 Volume Profile Split by Asian/Euro/Open
NinjaTrader
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Get funded firms 2023/2024 - Any recommendations or word …
59 thanks
Funded Trader platforms
37 thanks
GFIs1 1 DAX trade per day journal
22 thanks
NexusFi site changelog and issues/problem reporting
22 thanks
The Program
20 thanks
  #12 (permalink)
 Yoyo4830 
St. Louis Missouri
 
Experience: Intermediate
Platform: TradeStation,MultiCharts, TWS
Trading: Oil
Posts: 13 since May 2013
Thanks Given: 17
Thanks Received: 9

Clearly you are not married. The Wife ALWAYS wins


Sent from my iPhone using Tapatalk

Reply With Quote
Thanked by:
  #13 (permalink)
 RichardHK 
Hong Kong
 
Experience: Intermediate
Platform: NinjaTrader, TWS
Broker: IB/Kinetick
Trading: ES
Posts: 236 since Jan 2012
Thanks Given: 132
Thanks Received: 340



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
Hong Kong
Reply With Quote
Thanked by:
  #14 (permalink)
 Sony108 
Buenos Aires / Argentina
 
Experience: Intermediate
Platform: Tradestation
Trading: YM
Posts: 15 since Oct 2013
Thanks Given: 46
Thanks Received: 14

Thx Richard!


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


Reply With Quote
  #15 (permalink)
 krazyanyway 
Quebec, Canada
 
Experience: Intermediate
Platform: NinjaTrader, Sterling Pro, IB's tws
Broker: IB, Kinetick, Wts
Trading: ES, Stocks, Options
Posts: 22 since Jun 2012
Thanks Given: 9
Thanks Received: 14


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.

Reply With Quote
  #16 (permalink)
 FesxEurex 
London UK
 
Experience: Intermediate
Platform: CTS T4, IRT, IQFeed
Trading: E-Mini S&P, 6E, FESX
Posts: 22 since Jun 2013
Thanks Given: 5
Thanks Received: 11


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!

Reply With Quote
Thanked by:
  #17 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,399 since Jun 2009
Thanks Given: 33,173
Thanks Received: 101,539

Good thread:



Lots of discussion, images, videos.

Mike

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Reply With Quote
Thanked by:
  #18 (permalink)
 
Silvester17's Avatar
 Silvester17 
Columbus, OH
Market Wizard
 
Experience: None
Platform: NT 8, TOS
Trading: ES
Posts: 3,603 since Aug 2009
Thanks Given: 5,139
Thanks Received: 11,527

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.


Reply With Quote
Thanked by:
  #19 (permalink)
 
Jigsaw Trading's Avatar
 Jigsaw Trading  Jigsaw Trading is an official Site Sponsor
 
Posts: 2,988 since Nov 2010
Thanks Given: 831
Thanks Received: 10,393


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.

If you have any questions about the products or services provided, please send me a Private Message or use the futures.io " Ask Me Anything" thread
Visit my NexusFi Trade Journal Reply With Quote
Thanked by:
  #20 (permalink)
 krazyanyway 
Quebec, Canada
 
Experience: Intermediate
Platform: NinjaTrader, Sterling Pro, IB's tws
Broker: IB, Kinetick, Wts
Trading: ES, Stocks, Options
Posts: 22 since Jun 2012
Thanks Given: 9
Thanks Received: 14



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.

Reply With Quote
Thanked by:




Last Updated on January 1, 2014


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts