Large Block Contract Trades > 1500 on ES - Emini Index Futures Trading | futures io social day trading
futures io futures trading


Large Block Contract Trades > 1500 on ES
Updated: Views / Replies:936 / 5
Created: by wolf50us Attachments:0

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

Large Block Contract Trades > 1500 on ES

  #1 (permalink)
Elite Member
Sarasota + Florida/USA
 
Futures Experience: Advanced
Platform: Ninja,tradestation,metatrader
Favorite Futures: Futures eminis
 
Posts: 6 since Sep 2014
Thanks: 2 given, 0 received

Large Block Contract Trades > 1500 on ES

I trade ES using a 350 tick volume analysis chart. I've had some good fortune jumping in behind large contract
trades for a quick scalp. I'm curious how a large contract trade actually occurs without blowing up the order book.
Does anyone know the mechanics of this? Dark pool contract being recorded?

I've noticed intraday large cell sizes are usually good for quick scalps but often do not have the proportional effect on price that I would naively expect when a tick for 3500 contracts goes through. End of day large cell sizes have almost
no effect and seem to be market makers just settling imbalances.

I'm using NinjaTrader with IB as backend and customized software that I have written.

Thanks for any insights.

Dan

Reply With Quote
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,091 since Jun 2009
Thanks: 29,192 given, 82,523 received


With Sierra Chart, you can filter the size of orders shown on any chart. I've also done my own analysis in MySQL with billions and billions of ticks, personally my take is that looking at the size of orders individually as a normal retail trader is not useful.

Panel 1, no filter. Panel 2, 100 contracts or smaller filtered out

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


200 or smaller filtered out

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Analyzing orders at a particular price level can be useful, of course.

There are no 3500 contracts going thru in one order. When I filtered above 200 there are basically no trades happening. And that of course makes sense, since algos (not HFT, just algos) are splitting the orders up and using icebergs, etc.

As for 3500 being traded on one level/price, sure. The explanation can be as simple as defending an area or accumulating/distribution of inventory. But I don't believe you'll find any correlation with the size of any particular level to the "move" off that level. It's not that simple.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #4 (permalink)
Elite Member
Sarasota + Florida/USA
 
Futures Experience: Advanced
Platform: Ninja,tradestation,metatrader
Favorite Futures: Futures eminis
 
Posts: 6 since Sep 2014
Thanks: 2 given, 0 received

Thanks!

Mike, thanks for your response!

I've learned that IB does not provide pure tick data and it seems to me that they are aggregating multiple individual ticks at around 1 second intervals. This may be creating a useful artifact.

What blew my mind and increased my confusion was that when I wrote my own simple T&S window using
the IB data feed protocol and specifying "GLOBEX" as the exchange, then these large contract ticks never showed.
I was getting a subset of the data that Ninja was providing to its indicators and T&S windows. I have been
unable to duplicate the feed that Ninja is showing vs my own private programs.

I have found it useful when these "large contract" tick artifacts occur that they dramatically inflate the current price/volume cell. I've set 5k cell size triggers to alert me when this happens. My idea is that this point many people or bigger players are seeing the same opportunity and will at least lean on the price enough for a quick scalp.

Thanks again for your response. I have found your site immensely useful!

Dan

Reply With Quote
 
  #5 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,091 since Jun 2009
Thanks: 29,192 given, 82,523 received

Their data is terrible. Don't use it.

Snapshot data is not useful unless your goal is to reduce resources, which is only a goal of IB.

Sent from my phone

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #6 (permalink)
Elite Member
Sarasota + Florida/USA
 
Futures Experience: Advanced
Platform: Ninja,tradestation,metatrader
Favorite Futures: Futures eminis
 
Posts: 6 since Sep 2014
Thanks: 2 given, 0 received

Mike. Got it. Big thanks!

Dan

Reply With Quote

Reply



futures io > > > > Large Block Contract Trades > 1500 on ES

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)
 

Monte Carlo Analysis w/Kevin Davey

Elite only
 

How-to Choose a Futures Broker w/Lynette Lim @ Phillip Capital

Sep 20
 

Alternative Views on Traditional Tools w/Rhonda Jones

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
שלום לכל דוברי העברית Vincent Vega All Other non-English Languages 28 October 6th, 2016 06:42 AM
ACD System>>>A & C Values for the ES budfox Emini Index Futures Trading 3 October 28th, 2013 04:20 PM
No one really trades futures contract using daily chart due to changes on contract? Azharr Beginners and Introductions 2 September 29th, 2013 11:14 PM
Difference in simulator trading the ES and live trading with a small account>>> budfox Traders Hideout 8 July 6th, 2013 10:59 PM
Question for all large contract traders JS12 The Elite Circle 8 February 16th, 2012 10:44 PM


All times are GMT -4. The time now is 07:15 AM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
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.
no new posts
Page generated 2017-09-20 in 0.11 seconds with 19 queries on phoenix via your IP 54.158.248.167