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Ninja Trader Custom Order Book - 1LDom - Source Code
I read this this morning, think it's a great post and quite relevant to the guys that follow this thread and are interested in the order book. Have a read over a coffee break, it's worth while.
I think this part is very crucial, "it's not size reacting to price but prices reacting to size". like mentioned before, if you see the bid getting hit with big volume, but the price is not going lower, then I would certainly be careful about shorting. the same goes for a big negative delta. that doesn't mean necessarily price is going lower. we need to see what price is doing.
btw did you know he was a member here before he got banned?
No, I just came across his blog for the first time the other day. I couldn't actually vouch for whether there is substance to back it up.
Just that I think that piece he has written there is well informed, I didn't particularly like the heading of the article mind you. Gives me that feel of an abrasive character but we all have our issues so who am i to criticise.
Yes well I will be continuing to read his posts. So far based on what I have read he seems a knowledgeable character.
This particular post of his he is really hitting home on the same thing I say to new guys who contact me on my blog all the time. The idea of stop looking at the market like a solvable logical puzzle and see it more like a game or a sport.
To many guys want, if this then this. Or like he says certain volume on the offer yesterday what should I have done. It is like asking in tennis, yesterday I got a deep down the line forehand from my opponent? What should i have done?
Impossible question to answer since the situation is dictating so many variables BUT most important it very much depends on the opponent, it is not the same for every situation. Just like trading, the book can have a very different character from one morning to the next, key is identify who the main players are that are currently active and try to adapt.
Anyway, just thought I would share. He manages to put the concept in better words than my usual rambling anyway.
Good link to the interesting blog. It seems that this guy wants to really help others to understand things. I am gonna watch the links he provided. Its hard for me to understand why he was banned on this forum - but one never knows, maybe he was flaming others ?
Yep, trading is definetely a game and science or logic will not help us per se. I actually wanted to make research about game theory at High School but i must admit that it was too much for me and i realized that i was not into Math like i thought.
Banned for self promotion, in other words advertising his vendor business on nexusfi.com (formerly BMT).
Everyone that signs up is clearly told:
*** If you are selling anything of any kind (vendor) or are affiliated with a vendor in any way
We have a zero tolerance policy with vendors using posts on our forum to promote their business. So, first you must notify us before making any post so that your account is clearly flagged as a vendor. Further, vendors are not permitted to make any posts in which you promote your business in any way. This means no promotional posts linking to your website, blog, videos, screenshots showing indicators or systems, or any discussing of products, services, testimonials. Doing so will result in you being banned. ***
Some remnants here, but I believe the rest was sent to me via private message leading to his ban:
This is the first thread that I have started on this great futures.io (formerly BMT) forum. Like all of you, my goal is CP, consistent profitability. Right now, I am in the phase of CL, consistent losing. I think that most traders start out as losers …
Hmmm... I actually had a read through that to see what was considered self promotional, I notice he was just talking about order book trading generally. I guess once you become a vendor it really is quite limited as to what you can talk about since much of anything in your general area really is self promotion whether you intend it to be or not.
Didn't particularly like the Futex thing, granted there could be explanation but it doesn't sit well.
Thanks 1Lot. I think the bit at the end about reading the reactions of other players is crucial to reading the order book / order flow. Wyckoff: "This study of responses is one of the most valuable in the Tape Reader’s education. It is an almost unerring guide to the technical position of the market."
There was a nice example in ES yesterday with the orders stacked up at exactly the price that became the high of the day.
Speaking of which, does anyone have any suggestions for an algo for iceberg detection? I've tried (contracts offered > original contracts offered + n), but that flags all additions, not just icebergs.
was using something like: bid volume (down volume) > current bid and current bid (or price) being the low. can't remember exactly. tried many different things, but think it's easier just watching the dom.
