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Has anyone tested the new order flow tools from Ninja?


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Has anyone tested the new order flow tools from Ninja?

  #11 (permalink)
 
JonnyBoy's Avatar
 JonnyBoy 
Montreal, Quebec
 
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DionysusToast View Post
If you want to know how institutional traders are trading, watch the tape on ES/CL as a market is in the middle of a move - as all those 100+ lot (ES) and 50+lot (CL) trades are going through. That's the smart money buying where most retail traders consider it 'too late'.

Sure, reading the tape is essential in an attempt to gauge the pace of the market, but it's too easy post move to say X number of contracts traded in the middle of a move. In real time you don't know that is the middle of the move. There would be an equal number of cases where X number of contracts were traded and the exact opposite happened.

The hindsight middle was actually a top or a bottom or in fact it was nothing at all. Order flow is too interpretive and isn't quantifiable. Then again is anything in trading? Well, yes if it can be back tested. It would be near impossible to back test what you are talking about and it is near impossible to prove or disprove it works. So around the hamster wheel we go.

Institutions of course trade the market I am not denying that at all. My good friend used to work in that space and some of the things he has opened up to me about is actually frightening, but that is beside the point.

He was then and still is a VWAP trader. I could talk about trading the VWAP for days, because that is quantifiable and measurable as his bonuses would suggest.

Good conversation.

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  #12 (permalink)
 
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JonnyBoy View Post
Sure, reading the tape is essential in an attempt to gauge the pace of the market, but it's too easy post move to say X number of contracts traded in the middle of a move. In real time you don't know that is the middle of the move. There would be an equal number of cases where X number of contracts were traded and the exact opposite happened.

OK - when I say 'middle' I mean 'during' a move. Of course, you can tell when a move is under way. It's the single skill that almost all traders develop and never use. You can see that during a move, a lot of size is thrown at the market.

This is institutional size but it does not imply that the market is being taken anywhere. It does not imply intent,


JonnyBoy View Post
The hindsight middle was actually a top or a bottom or in fact it was nothing at all. Order flow is too interpretive and isn't quantifiable. Then again is anything in trading? Well, yes if it can be back tested. It would be near impossible to back test what you are talking about and it is near impossible to prove or disprove it works. So around the hamster wheel we go.

There is nothing hindsight about knowing that a market is moving in one direction.

As for order flow being quantifiable - that implies all trading is mechanical. If you are a mechanical trader and you need a quantifiable, systematic edge - order flow is not for you.

It is discretionary by nature.

Success in trading does not have to be systematic. In my time I have met 4 or 5 traders that have cornered a market. The most recent being a trader that was 30% of the volume of one of the markets on the Singapore exchange. He was not following any sort of mathematical, quantifiable method. He was just really, really good and he had a lot of size to throw around.

Another did something similar on FTSE - but always during the overnight session. In the end they fined and banned him. Something he wore like a badge of honor... Nothing quantifiable or systematic in what he did.


JonnyBoy View Post
Institutions of course trade the market I am not denying that at all. My good friend used to work in that space and some of the things he has opened up to me about is actually frightening, but that is beside the point.

He was then and still is a VWAP trader. I could talk about trading the VWAP for days, because that is quantifiable and measurable as his bonuses would suggest.

Good conversation.

Well - just because you know of 1 trader that uses 1 metric - doesn't mean you now have a 1 rule trading strategy or that this is the only way to trade.

VWAP is significant as it's often a performance metric given to execution firms. For example, if someone wants a firm to get them long a million shares in AAPL, they know they can't be given a guaranteed price, so the measure of performance is often related to the VWAP. So, if they get the million at VWAP or better, it's considered a good execution. A simplification but you get the gist.

This does not make VWAP a magical measure. It is simply an average of the volume at price. It's a measure of value generally agreed across the industry.

The validity of VWAP does not disprove every other trading method either.

If another method of valuing execution firms comes along that people decide is better than VWAP, then VWAP will become statistically insignificant. Not saying that this would happen but if the industry decides that some other model is better, then VWAP will be a dead duck.

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  #13 (permalink)
 
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 lax99 
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JonnyBoy View Post
Order flow is too interpretive and isn't quantifiable.

Order flow is beautiful because it is entirely interpretive. It's built on human behavior and it's just about the guy with the bigger stick, running around caveman-style, bashing all of the other guys with medium sized sticks. I used to be super hung up on statistics; while they certainly have their place in the market, the fact of the matter is that each individual trader has to make the right call in the moment.

It doesn't matter if you're trading moving averages or machine-learned HFT stuff. You have to make the right call.

If you are having trouble making the right call, running expectancy or win rate or risk/reward calculations isn't going to help. You just need to be in the moment.

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  #14 (permalink)
 
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 JonnyBoy 
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DionysusToast View Post
OK - when I say 'middle' I mean 'during' a move. Of course, you can tell when a move is under way. It's the single skill that almost all traders develop and never use. You can see that during a move, a lot of size is thrown at the market.

This is institutional size but it does not imply that the market is being taken anywhere. It does not imply intent,

Exactly. Just because you can see it, doesn't imply intent. Some would have you believe otherwise.


DionysusToast View Post
There is nothing hindsight about knowing that a market is moving in one direction.

As for order flow being quantifiable - that implies all trading is mechanical. If you are a mechanical trader and you need a quantifiable, systematic edge - order flow is not for you.

It is discretionary by nature.

Being such that is is discretionary is exactly my point. Extremely difficult to prove or disprove order flow "works" better than Joe the Plumbers indicator suite.


DionysusToast View Post
Success in trading does not have to be systematic. In my time I have met 4 or 5 traders that have cornered a market. The most recent being a trader that was 30% of the volume of one of the markets on the Singapore exchange. He was not following any sort of mathematical, quantifiable method. He was just really, really good and he had a lot of size to throw around.

Another did something similar on FTSE - but always during the overnight session. In the end they fined and banned him. Something he wore like a badge of honor... Nothing quantifiable or systematic in what he did.

Sounds like a good person to have at a dinner party!



DionysusToast View Post
Well - just because you know of 1 trader that uses 1 metric - doesn't mean you now have a 1 rule trading strategy or that this is the only way to trade.

VWAP is significant as it's often a performance metric given to execution firms. For example, if someone wants a firm to get them long a million shares in AAPL, they know they can't be given a guaranteed price, so the measure of performance is often related to the VWAP. So, if they get the million at VWAP or better, it's considered a good execution. A simplification but you get the gist.

This does not make VWAP a magical measure. It is simply an average of the volume at price. It's a measure of value generally agreed across the industry.

The validity of VWAP does not disprove every other trading method either.

If another method of valuing execution firms comes along that people decide is better than VWAP, then VWAP will become statistically insignificant. Not saying that this would happen but if the industry decides that some other model is better, then VWAP will be a dead duck.

I didn't say that knowing 1 trader using 1 method was better than any other way to trade, but at least it is measurable. With VWAP reflecting the capitalist democracy of the market — where it’s one vote per share, not one vote per trader — it is measurable. That is undeniable. VWAP is a dynamic benchmark universally understood and applied by institutions, and is the most common benchmark used to determine transaction costs. It isn't going anywhere.

Peter, I understand that you will defend order flow to the hilt, win lose or draw. I don't want to get drawn into a tit for tat thread. My original point was that order flow is just information. That is all it is. It is just a way to show information. And if you think it gives you an advantage, then all the power to you.

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  #15 (permalink)
 
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 Silvester17 
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I do agree that the vwap is very important and extremely helpful. btw lizard indicators (@Fat Tails) is having a webinar tomorrow about the vwap.

for order flow tools I think it should be clear not to take every single signal you see. but I still believe you get very important information. me personally, I only use footprint charts which I believe have more value than any other order flow tools.

how about trying to combine the vwap and footprint?

this is from today:


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  #16 (permalink)
 
mmaker's Avatar
 mmaker 
Toronto Canada
 
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Order flow seems to produce a lot of signals. My experience with any system that produces a lot of signals is that the average joe can't afford to be wrong that often.

Take today for example. After europe closed the market had seemingly rolled over and it was just a matter of getting short at the right place. Order flow on the short side looked inviting at the mid, then at vwap. And it looked absolutely irresistable at the previous high. At the high of day all the outside in traders were jumping on to get short.

Four points later they had all exited and licked their wounds.

If these traders had entered with when they saw 200 - 300 contracts getting short they would have lost 1 to 3 points each time.

If they waited for 1000 contracts on their side they would have saved themselves a stop each time but would have missed 2 points had price gone in their direction.

So waiting for confirmation certainly has its costs as well.

The footprint chart that ninja released earlier this year is the kind of thing that looks like it was designed by a programmer - not a trader. This is the affair has a column for ask and one for bid, multirowed and repeats every 1-5 minutes. Some even come with 5 or 6 rows of numbers at the bottom - just in case all the ones on the screen are not enough for you. A window into hell if you have to program it or trade with it.

I doubt a trader has time to look at all those numbers and do math on them and make money with it consistently. If he can he missed his calling as a computer.

Order flow has its uses. But not the way it is marketed and sold by many vendors imho.

Also it is easy to see after the fact where the market turned on a footprint chart. But when i see these so called turning point examples in training media I can find similar situations in real life - where the market did not turn. Even a broken clock is correct twice a day.

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  #17 (permalink)
 tpredictor 
North Carolina
 
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Platform: NinjaTrader, Tradestation
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As I shared in other thread and this is something very basic, whatever method you use whether it is technical analysis or order flow or whatever it is, you have to be better then 85% to 95% of other traders using similar methods. So, traders looking for something easy are probably not being realistic. People want to make money from markets statistically but look at most Bitcoin millionaires, they didn't make the big money statistically.

As for sharing edge, the bar is always moving. So, you cannot expect to stay "idle" or whatever get into the top 5%-15% of all traders. I share this so people can start to think realistically about what they are trying to accomplish. I think too many new traders are looking for easy answers.

They want to know what works. Does it work? Are you better then 95% of other traders trying to do this? No, then probably not. Yes, it is possible.

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  #18 (permalink)
 
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 lax99 
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Does anybody here actually trade order flow? I'm no VWAP pro and I know that my experience with it is probably useless in practice.

Does anybody else scalp their given market?

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  #19 (permalink)
 blb014 
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tpredictor View Post
As I shared in other thread and this is something very basic, whatever method you use whether it is technical analysis or order flow or whatever it is, you have to be better then 85% to 95% of other traders using similar methods. So, traders looking for something easy are probably not being realistic. People want to make money from markets statistically but look at most Bitcoin millionaires, they didn't make the big money statistically.

As for sharing edge, the bar is always moving. So, you cannot expect to stay "idle" or whatever get into the top 5%-15% of all traders. I share this so people can start to think realistically about what they are trying to accomplish. I think too many new traders are looking for easy answers.

They want to know what works. Does it work? Are you better then 95% of other traders trying to do this? No, then probably not. Yes, it is possible.

It has been incredibly easy to make money in the market the last 10 years, the problem is that most on here are not well capitalized or looking for funding through these sham combines. Plus unreasonable expectations. With reasonable expectations and enough capital it doesn’t take a top 10% trader to make money

Volatility is good for the market and trading.

Preservation of capital is the most important concept for those who want to stay in the trading game for the long haul. - Van Tharp
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  #20 (permalink)
 blb014 
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I yet to see any valid stats proving this top 5 or 10% fallacy, I think if it is repeated enough, some think it is true and then repeated themselves.

Across all the different types of markets plus the general postive trend of the equities market, most people that have invested in the market have made money.

Now if it is broken down to those who started with 1k or 5k and expect 1000% return in less than year well yeah probably

Volatility is good for the market and trading.

Preservation of capital is the most important concept for those who want to stay in the trading game for the long haul. - Van Tharp
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