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The Intensity of Commercial Trade at Local & Session Extremes
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The Intensity of Commercial Trade at Local & Session Extremes

  #1 (permalink)
Elite Member
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The Intensity of Commercial Trade at Local & Session Extremes

The Intensity of Commercial Trade at Local Extremes

Information = Equity


For a very few seconds and sometimes for only milliseconds, as local extremes are being formed, the dynamics of trade change dramatically. Fortunately this trade has a signature that is detectable in real time.

Before electronic trading one key advantage astute floor traders held over off the floor traders was that they all knew each other and knew how each trader traded and for whom. Most important was to know who traded for the big commercial trading houses.

If you knew who these guys were you knew that when they put their palms out (palms outward for selling and inward for buying) they probably had size to do and more often than not such size would put in either the session extreme or at least a tradeable local extreme.

Now there is no pit, the traders with the power/size to put in these local extremes trade from all over the world and the trade that forms these extremes is often executed by computers that issue these orders in a stream separated by milliseconds or even microseconds.

While many of these operators go to great lengths to conceal their intentions and their trade, the truth is that they cannot hide the fact of their transactions. The opportunity is that with proper analysis this trade can be detected and the astute practitioner has the opportunity to join a trade at or near a local or even session extreme.

Operating in the sub-second time frame it has been discovered that when taken in combination and properly weighted, the acceleration and deceleration of buying and selling volumes, total volume and the velocity/rate of change in the balance of trade will reveal a dynamic of the price/time/volume continuum that some astute operators find present at many, if not most, intra-session extremes.

One measure of an indicator or method's true worth is how well its efficacy transfers both to other instruments as well as to different time frames. Below are some screen shots of one version of such an indicator taken from 10yr Treasury Notes, Soybeans, ES and an ETF.

When this very intense, speculative, often auto-executed commercial buying or selling is coordinated across several markets of the same ilk then there is a very good chance that this activity is marking a local if not session extreme.

The first of the charts below shows such activity. On that particular day, at that exact time, this indicator registered the precisely coordinated, very intense commercial selling across all 3 major US Equity futures that formed that session's high.


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TY - Treasury Notes - Sell

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SoyBeans - Buy

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Emini S&P Buy

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OIH Buy

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Emini S&P Sell

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UrmaBlume

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  #2 (permalink)
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  #3 (permalink)
 Vendor: www.innovative-trading-solutions-online.com 
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UB,

Welcome to futures.io (formerly BMT)!!!

I have noticed that the images you have presented here are from last year. And also from different days.

I would be very interested in seeing an overall performance of your indicators. Not just a few "selected" charts.

To give the members here a clearer picture of your stuff, could you please post these same indicators on morning and afternoon charts for 3 consecutive days.

Three days this week would be nice.

Its important for members here to know who is the real deal is and who might be trying to take advantage.

Thanks,

RJay

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  #4 (permalink)
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UB,

would also be interested in some recent charts, so I could have a more detailed look.

If the indicator measures participation of commercial traders, how do you define this?

- block size
- feedback patterns created by algorithms trying to hide size (iceberg orders, ...)
- bid-/ask split of volume

I am personally not using any of these. I tried bid- and ask-traded volume, but this was not satisfying, as sometimes passive and sometimes active buyers set a bullish tone. Difference between stopping-/churn volume and breakout volume. Differentiation is easier with time of day and/or chart patterns than bid/ask analysis. I am not trading very short time frames.

Would be really nice to have a hew recent charts to compare with other indicators. Don't want to go back to October last year.

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  #5 (permalink)
Sharpening mental edge
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Fat Tails View Post
UB,

would also be interested in some recent charts, so I could have a more detailed look.

If the indicator measures participation of commercial traders, how do you define this?

- block size
- feedback patterns created by algorithms trying to hide size (iceberg orders, ...)
- bid-/ask split of volume

I am personally not using any of these. I tried bid- and ask-traded volume, but this was not satisfying, as sometimes passive and sometimes active buyers set a bullish tone. Difference between stopping-/churn volume and breakout volume. Differentiation is easier with time of day and/or chart patterns than bid/ask analysis. I am not trading very short time frames.

Would be really nice to have a hew recent charts to compare with other indicators. Don't want to go back to October last year.

Check out Cunparis's POT indi.....

The clue is in the name, intensity = speed not just size

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  #6 (permalink)
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I'd also like to know the success rate on this. I personally looked into this a while back, finding no real edge. I've seen others attempt it with the same results. Alot of people abandon it eventually.

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  #7 (permalink)
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Michael.H View Post
I'd also like to know the success rate on this. I personally looked into this a while back, finding no real edge. I've seen others attempt it with the same results. Alot of people abandon it eventually.

What exactly did you look into? Did UB allow you to look under the kimono?

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