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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
Can you help answer these questions from other members on NexusFi?
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
200 or smaller filtered out
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.
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!
