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The relative volume to last 30 days kept sloping down - I tried to pick off some moves in the Bobl as it was less sporadic then the Bund - but ended up bailing out of a trade for one tick once it became apparent wasn't going anywhere - which I could have taken 2 ticks very early in the position, and should have done knowing the market was slow.
I then gave in for the day on anything exciting happening, then just before going to bed noticed some movement and volume pick up going into the US session. Mainly the Bund kept breaking down and the Bobl following. After a few rally attempts a good step in the profile seemed to hold in the Bund. Problem is I was committed to trading the Bobl by this point for some reason - which seemed to be doing nothing other than lifting bids and offers depending on what the Bund did. So I got filled at the equivalent step in the Bund in the Bobl with NO evidence of size trading to support that step - immediately lost three ticks - then mentally stabbed myself to sleep.
All good - only 2 ticks down for the day total - and a few more trades under the belt with real Euros to get the jitters out of the way. I am a bit worried that I get too excited when in trades with (and without) real $$. Not scared of loss necessarily - but definitely notice a bit of adrenaline in the system - which according to all the books I read limits my capacity to make decisions bla bla bla. Does this make me wrong material for trading or what? With my swing trading I was risking 1000 bucks per trade and right now easing into scalping I am risking a mere 20 euros - but maybe it is the watching the real market auction take place of which I am a very small part of that makes it more real than the swing trading. We'll see. Tomorrow i must improve my trading, and hopefully conditions are right to do that
Today the Bund was a one way street for the morning session - I struggled to get a read on it.
As can be seen from the chart I took one long trade in Bund - thinking we might have reached a bottom but took just one tick profit when it failed to break out of the profile range.
The Bobl I was more comfortable in and dabbled a bit scratching trades. I gave up not long after on expecting the trend to reverse and not sure why I was obsessed with the idea anyway. The US session things picked up with a lot of strength to the upside. The Bobl and Bund were playing some games though it appeared. It was suggested to me by someone in a skype room that the Bids and Offers were being used in the Bobl to play the Bund. This makes sense as the Bobl was not trading much at all but had many more limits sitting at each price. It makes sense now actually that this is probably usually the case. As the Bund does all the moving, and the Bobl mainly drops bids and offers eventually to get in line - OR - when size does trade in the Bobl it leads the move in the Bund. The top of a profile step held the market solidly and I jumped and took one took only because just was not feeling it - there were plenty of buyers and plenty of sellers.
Probably makes more sense to post the real picture of what I look at when I trade, this makes me look at it from neutral eyes the next day also which is good.
This last trade is a good example of what I SHOULD be trading - some size started playing at the limits in the profile in the Bobl. I entered with an iceberg confident that it wasn't going to break - the Bunds were already moving down. Having followed the action for 7 hours I figured it was pretty improbably to get a quick break down - and took a tick to end on good terms. As it turns out I might have been reading the order flow well because the video shows that the market held there then fell away. I was in bed
One thing I did notice when watching the Bund / Bobl on sim - was how the 50% of the daily range acted as support. I am trying to focus on order flow as I used to be way to obsessed with prices being a reason why the market should reverse. But still pretty cool that my old friend 50% worked on both markets - reducing the probability of coincidence that 50% is important (by how much?)
There are lots of lines here but the red arrows point to the days 50%.
Friday I had another hack - made some ticks, lost some ticks, made some idiot errors (exited a position and failsafe stop ALSO hit before I could remove it.. gave up my 6 ticks profit for the day pretty quick trying to correct that one..), and most importantly, was still massively trigger shy - many moments I watched pressure build at a level, and thought 'I am going to get on this'.. 'just a little longer'.. 'when it comes back to that spot I will get on it' and of course 'oh yeah - there is the 4 tick pop.. I missed it.. f*$k my life'.
So the goal for this week is to take trades I want to - and I am not sure this is right - but not focus on making a profit and be completely ok with losing $$ (yeah right!) I wanna execute something equivalent to the Mark Douglas exercise of taking a sample set of trades, mainly to remove my jitters. Problem is I don't have anything mechanical for this type of trading which is purposely NON mechanical - and my trading entry criteria is totally intangible... if not completely. I think I see pressure building up that will give short term opportunity for a few ticks in a specific direction and that is it. Ninjatrader metrics show that I was correct nearly 70% of the time on my trades - with other metrics screwing me (that I won't go into here). If only I could take trades as freely on the one lots as I did in sim I should be right.. right? But its not that simple - after a week of trading one lots I evaluate the 3 full weeks of Sim trading about as valuable as having taken one trade with a one lot. So a) The three weeks was an incredible waste of time b) no more sim trading c) time to get on track with the one lots.
So the one thing I am happy with is trading the Bund. It is way more liquid and active than the Aussie SPI or treasuries, trades at good hours for me (5pm to 9pm is morning session + US session adds further opportunities form 11pm to 1am if I am that way inclined).
So I am happy sticking with the Bund - I need some tangible way to take numerous trades using techniques I enjoyed watching in the No BS webinars, though as executed in the US treasuries. Not quite sure it can be done. Perhaps there is a tangible set of psychological triggers that I can execute off - like 'that is the level I want to trade at based on what I have seen - yep there my hand is trembling with anticipation (of failure or excitement?) '.. Got a few hours to ponder on this one but that is where I am at.
Nice journal, I am trying out the DOM only trading thing for the next 6 months also. I like John's approach, I wonder if 6 weeks will be enough for you to pick it up? I am giving myself 6 months before I force a decision on continuing or not.
I hear you on the six weeks. This would be the fourth / fifth week already. I think I need to give it three months like John said. Beauty of these skills is that everything builds on top of them.. So mastering this order flow scalping will pay dividends for any further day trading methods. Plus with the hours needed i can easily experiment with programming systems around my trading commitments.. The One Good Trade trading style trading would roll off this also but it might not even go there if this scalping works and subsequent position day trading. So heres to another two months of order flow scalping!
I am in the U.S. so I have been trading treasuries. I have the 10yr note, 30yr bond and 5yr note setup on my screen just like John does in his videos, but I am trading the 10yr only right now. Smaller $ per tick is going to allow me to be wrong more often, so once I finally get the hang of it I should have more Risk Capital available.
Monday markets were dead due to the US holiday session. I grabbed a three tick scalp during the open but then things settled into an algorithmic ebb and flow from my point of view.
Tuesday I stepped up and stepped straight back down again. Certainly not seeing the markets through the same eyes as on sim. Relative volume showed this day as quiet still which came as a surprise as I thought things would pick up after the US holiday globally. I stepped in front of a few trains and managed to sell the low on one occasion before calling it quits at my six tick daily stop (which would stretch to ten if needs be). I decided to write out what I figured scalping actually was inspired by Peter Davies webinar series..and pretty much taking his word on what order flow meant. Will post a cut down version of it just now but after two hours of defining it I realized I have probably been flying a bit blinder than I should be. Yes folks... Maybe I do need to define some rules on what actually constitutes an order flow scalp. Mainly seemings as trading one lots of the bund, feeling alone does not seem to cut it as I am not taking all those same trades I took on the sim. No sure if I should be either.... I think those ten ticks are definitely possibly but need to work through some things first. A) need to be able to pull the trigger. B) need to have some definition of when I should be pulling the trigger so can measure when I am missing out on opportunity and when I am not
For A) I am hoping for a good day trading day according to the relative volume profile, going to set a basic rule or two with order flow and hopefully fire away
B is a little more complicated and is covered in the summary I wrote up.. TBC
BTW This might be turning more into a blog than a trading journal but ah well. It's helping me progress.
I found the FT71 site also and realize a few of the missing links I am looking for are probably in the webinars if anyone hasn't checked it out yet.
Bout time I figured out what I am actually trying to do here as getting a bit lost with Scalping the Order Flow. My point of reference is the 3 webinars by Peter Davies from Jigsaw which really seemed to put into perspective what I had observed and tried to incorporate from all the No BS Stuff - but couldn't quite put a definition on what I was looking for in the DOM.
I want to focus on making scalping pay first instead of playing intraday positions. Which means I want to be able to trade off a higher level skillset for understanding the order flow - it seems like a logical way of doing things and a quicker way to rely on trading for $$.
From the webinars - I have defined Trading the Order Flow as looking for places in the market where Absorption is occurring and Market orders are fading away in one direction while increasing in the other? The three factors that work together to define that line in the sand:-
1.Absorption
2.Buyers/Sellers Fading Away
3.Sellers/Buyers Coming In
These things can happen all at once, or only one of them - the skill comes in detecting the balance and drawing a line in the sand where a reversal or 'pop' should occur based on the order flow. The scale of these components occurring theoretically should allows me to scalp on pullbacks in a daily trend, and at major reversals for the days trading range. I feel I have developed some intuitive feel for it but massively trigger shy - often getting the feel for a reversal, though without the nerve to trade that feel, and subsequently getting frustrated on missing out.
So with my tactic for scalping off order flow, I don't want to place a trade without expecting at least 3 to 4 ticks in a short amount of time, based off what I have seen in the Bund, leaving the possibility to hold for longer (a couple of minutes) if the ticks are strongly moving in my favor and no signs of an order flow reversal occurring (absorption etc). With 3 ticks profit I will need to be very selective of where I place trades. I want to find places that I can place a trade where I risk worst case scenario 3 ticks, and preferably 1 or 2 ticks. How do I define such and locate such narrow lines in the sand..?
I would need to define what type of market it is as different volume activity in the Bund seems to mean the line in the sand is respected or it just isn't (Again from Jigsaw), I have seen that the Relative Volume seems to give a good indication within 1 to 2 hours of market open to tell if volume is going to flow in and out of the market in line with a good day trading day, or just continuously come in and trend the market, or continually leave the market, leaving just algorithms / market makers playing it back and for ticks. I can use this to figure how aggressive I should or should not be.
(from Jigsaw again) The other tool I think I want to keep an eye on is the Cumulative Delta - the CD might be a little too slow for scalping purposes as it will change trend as the conditions are occurring that I want to make a few ticks off. But If the CD is trending strongly I probably should scalp only in the direction it is trending. The only other thing I can account for is if the CD is positive or negative - but this would probably eliminate half of the ideal trades.
So I need to focus on looking for the big 3 of order flow coming together - though at any price level or do I define levels I will only take interest in the action? The levels others have recommended and I still think worth noting are simple:
Today's High
Today's Low
Today's 50% - i think so
Yesterday's High
Yesterday's Low
Yesterday's 50% - i think so
Yesterday's Close
Today's Open
Obvious steps in the profile as demonstrated well in the No BS material
Other obvious levels off the daily chart that prices have have found support resistance (with sufficient volume behavior?)
I need to decide then if I only take trades at these levels - which direction to trade through them etc - but be careful to that I don't find myself focusing more on price levels then on order flow (darn it).
My current view accounting for all this is that I will have a bit of trust that my order flow skills are developing with time, and to use them as a trigger within 2 ticks of the above levels. So - zone in as the market moves to the levels in particular, and use the three observable order flow characteristics as input for my developing skill of knowing what to do. Sounds pretty vague but that is all I got.
Next up I plan on adding Volume Profile to the mix, but I want to be able to make the ticks consistently using pure order flow first at this stage.
My current hurdle is being too trigger shy. My current plan to overcome this is to take all trades at the above levels that I even think have some order flow signal. Didn't work out so well last night but will try again tonight:
