NexusFi: Find Your Edge


Home Menu

 





Is Orderflow An Outdated Concept?


Discussion in Traders Hideout

Updated
      Top Posters
    1. looks_one hyperscalper with 31 posts (76 thanks)
    2. looks_two joe s with 11 posts (3 thanks)
    3. looks_3 SpeculatorSeth with 11 posts (13 thanks)
    4. looks_4 phantomtrader with 9 posts (12 thanks)
      Best Posters
    1. looks_one Hulk with 19 thanks per post
    2. looks_two TradeTheTrade with 8.6 thanks per post
    3. looks_3 Jigsaw Trading with 7.8 thanks per post
    4. looks_4 hyperscalper with 2.5 thanks per post
    1. trending_up 94,683 views
    2. thumb_up 851 thanks given
    3. group 601 followers
    1. forum 208 posts
    2. attach_file 4 attachments




 
Search this Thread

Is Orderflow An Outdated Concept?

  #101 (permalink)
 
Jigsaw Trading's Avatar
 Jigsaw Trading  Jigsaw Trading is an official Site Sponsor
 
Posts: 2,988 since Nov 2010
Thanks Given: 831
Thanks Received: 10,393


RickW00716 View Post
Has anyone used Jigsaws Auction Vista to assist in orderflow trading?


spideysteve View Post
I’ve used it. To me it hasn’t been very helpful. Just my own opinion of course


hadamkov View Post
I am using it. It is an amazing tool.
But honestly, you need years in front of it to make sense of it.
And you have to be willing to see and accept when the market changes and learn it all over again.
H.

Here's my thoughts on this genre of tools. Trainer wheels. Something that highlights activity while you are still getting used to the DOM. I'm a DOM man personally. I have a low attention span and need the activity.

That was the intent anyway - hence the way the cirles work - just showing up in specific spots just like the same action does on the DOM.

Not that anyone has to follow the vendors approach to using tools. People always find ways to use tools that the creators never thought of.

If you have any questions about the products or services provided, please send me a Private Message or use the futures.io " Ask Me Anything" thread
Visit my NexusFi Trade Journal Reply With Quote

Can you help answer these questions
from other members on NexusFi?
NT7 Indicator Script Troubleshooting - Camarilla Pivots
NinjaTrader
The space time continuum and the dynamics of a financial …
Emini and Emicro Index
ZombieSqueeze
Platforms and Indicators
Exit Strategy
NinjaTrader
Deepmoney LLM
Elite Quantitative GenAI/LLM
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Get funded firms 2023/2024 - Any recommendations or word …
61 thanks
Funded Trader platforms
39 thanks
NexusFi site changelog and issues/problem reporting
26 thanks
Battlestations: Show us your trading desks!
26 thanks
The Program
18 thanks
  #102 (permalink)
 RickW00716 
Richmond Virginia
 
Experience: Intermediate
Platform: Ninja Trader
Trading: ES
Posts: 318 since Feb 2013
Thanks Given: 306
Thanks Received: 163


Jigsaw Trading View Post
Here's my thoughts on this genre of tools. Trainer wheels. Something that highlights activity while you are still getting used to the DOM. I'm a DOM man personally. I have a low attention span and need the activity.

That was the intent anyway - hence the way the cirles work - just showing up in specific spots just like the same action does on the DOM.

Not that anyone has to follow the vendors approach to using tools. People always find ways to use tools that the creators never thought of.

I've been working on using the Auction Vista to identify price action (my settings are 15 seconds with a 4 circle tuner setting) near zones/levels of interest.

For example: If I saw a big blue buy circle occur at or above the high of yesterday but it immediately gets taken out to the downside, my first thought is it is a false breakout and I look to position myself short.

Reply With Quote
  #103 (permalink)
 
TIFONTrader's Avatar
 TIFONTrader 
Prague Czech Republic
 
Experience: Beginner
Platform: Sierra Chart, daytradr
Broker: EdgeClear
Trading: Eurex Futures
Posts: 517 since Nov 2011
Thanks Given: 1,338
Thanks Received: 451



Jigsaw Trading View Post
Here's my thoughts on this genre of tools. Trainer wheels. Something that highlights activity while you are still getting used to the DOM. I'm a DOM man personally. I have a low attention span and need the activity.

That was the intent anyway - hence the way the cirles work - just showing up in specific spots just like the same action does on the DOM.

Not that anyone has to follow the vendors approach to using tools. People always find ways to use tools that the creators never thought of.

I watch liquidity in Auction Vista, those are my levels.
I watch DOM for the type of action that gets the market into liquidity.
Simple but not easy.

Follow me on Twitter Visit my NexusFi Trade Journal Reply With Quote
Thanked by:
  #104 (permalink)
 
Jigsaw Trading's Avatar
 Jigsaw Trading  Jigsaw Trading is an official Site Sponsor
 
Posts: 2,988 since Nov 2010
Thanks Given: 831
Thanks Received: 10,393


RickW00716 View Post
I've been working on using the Auction Vista to identify price action (my settings are 15 seconds with a 4 circle tuner setting) near zones/levels of interest.

For example: If I saw a big blue buy circle occur at or above the high of yesterday but it immediately gets taken out to the downside, my first thought is it is a false breakout and I look to position myself short.

Did you hike up the tuner when COVID hit? That's what it's for...

If you have any questions about the products or services provided, please send me a Private Message or use the futures.io " Ask Me Anything" thread
Visit my NexusFi Trade Journal Reply With Quote
Thanked by:
  #105 (permalink)
 RickW00716 
Richmond Virginia
 
Experience: Intermediate
Platform: Ninja Trader
Trading: ES
Posts: 318 since Feb 2013
Thanks Given: 306
Thanks Received: 163


Jigsaw Trading View Post
Did you hike up the tuner when COVID hit? That's what it's for...

I've been trading crude oil and was under the impression that 3 or 4 was the best setting for CL.

Is that correct?

Reply With Quote
Thanked by:
  #106 (permalink)
 
saints51's Avatar
 saints51 
Louisiana
 
Experience: None
Platform: Sierra Charts
Broker: DDT/TT
Trading: ES,6E,DX,6A,CL
Posts: 22 since Mar 2012
Thanks Given: 81
Thanks Received: 16


Hulk View Post
I will take a stab at this. A lot of what was said on that post at reddit is correct.

I am a professional trader. One of my strategies is based 100% on "order flow" but its nothing anyone has ever seen or based on what is available for sale via courses or tools these days. It can never be. But I am faced with the same challenges this person is talking about so I can tell, he knows what he is talking about.



Agree. Retail folks look at various structures like cumulative delta, market/order profile, LVN/HVN in various ways and try to find reasons to establish their bias. I dont use any of these. I have not been able to generate a backtest that consistently performs based on any of these theories.



Agree. I learnt many of these theories - NoBS, L2ST, JigSaw... etc. cannot even remember the rest but he is right. These theories came from traders that scalped thick markets were you could see the order book. There was only one type of refreshing order - an iceberg which was a clear indication that someone had a large order and he did not want the world to see that. He kept it hidden in order to get filled. Apparently, this observation would help people establish a short term bias for scalping purposes.



This is the meat of what happens today on the screen. What this means is that now orders are not limited to one particular market. An order could span multiple contracts and instruments. Normal people can never tell which trade is getting filled. For instance, in the commodities markets (I cannot speak for anything else), if someone is bullish WTI outright and wants to establish a long position, he will probably never buy just the front month. Instead, he will employ an "aggregator" type of order that will start filling the front 3-4 months, the front few spreads, cracks, WTI to Brent etc. Basically, he would express his bias in WTI relative to forward months and other markets. If you are monitoring just the front months using some of these retail tools, you are looking at a flea on the tail of a dog - completely missing the dog itself.

There is rarely an outright bias for a commodity being expressed in the markets these days. The bias is expressed mostly relative to either time or correlated markets or both.

OTC markets are where block trades are executed by communicating your order to a broker. Most retail price feeds do not disseminate these trades. And even if you had a feed that did, these are reported to the exchange (I am talking mostly CME/NYMEX Clearport here) with up to a 7 to 8 minute delay so you cannot make sense of it anyway. If you want to know the % volume of these trades, just look at the volumes page for that contract on cmegroup.com.



A stale order is one that has been on the book for a long time. You can see this if you subscribe to a data feed that disseminates MBO. I dont know what he means by professionals screening stale orders to lean on. I dont fully agree with this statement. OTC venues do not dictate the bias. They are just like the screen - no one really knows where the market is headed. But having access to OTC data definitely helps in different ways. I havent found an electronic way to get this data. I dont know if there is one but if I had the OTC order book electronically, I would be very very happy.


Scalpers do this. I mean, this is a different class of traders that have a very short term trade duration. But it has nothing to do with what he has been talking about earlier. 2 very different types of algorithms.



Yep, this I agree with. If you are trading NatGas, you are monitoring electricity and weather for sure. If you are trading Crude oil, you are monitoring Brent, Gasoil, gasoline, diesel both forward in time and across. This ties into what he says earlier and like I explained. If an outright bias isnt being expressed, you wouldnt look for it. Instead, you would focus on monitoring relative bias. Simply put, if WTI is bullish, then its bullish relative to what? Look at the WTI and the RBOB gasoline charts since Feb 21. Look at the front month and then look at the Apr/Dec or May/Dec spreads. Also look at the front RBOB crack and the front RBOB vs HO spread during this time. You will go nuts trying to figure out what you should have traded and when.



This is the statement I agree with the most. I wish everyone that reads this statement above, believes it and acts on it. But I know, no one will.

So... still aspiring?

This makes the many retail vendors frown. Thank you for helping people save money.

Reply With Quote
Thanked by:
  #107 (permalink)
 
Jigsaw Trading's Avatar
 Jigsaw Trading  Jigsaw Trading is an official Site Sponsor
 
Posts: 2,988 since Nov 2010
Thanks Given: 831
Thanks Received: 10,393


Hulk View Post
I will take a stab at this. A lot of what was said on that post at reddit is correct.

I am a professional trader. One of my strategies is based 100% on "order flow" but its nothing anyone has ever seen or based on what is available for sale via courses or tools these days. It can never be. But I am faced with the same challenges this person is talking about so I can tell, he knows what he is talking about.


Good post & interesting insights. Not sure what you do but I am sure you will agree that the title "professional trader" covers a hell of a lot of different skills. I know a trader that ran a team for RBS running barrier options for FX. Massive things. Another that ran an open outcry desk for an obscure currency pair and could write a billion dollars on a busy day. Another that made markets in options. Another that traded spreads so complex that to this day, thinking about it gives me a headache. All traders, all different skills. Ask any of them about MACD and they would have no idea that you were talking about trading and probably tell you that Burger King was superior.

Some skills did indeed expire. Aussie interest rate spreading is a good example. I know people that made money there for years but couldn't adjust when it died.



Hulk View Post
Agree. Retail folks look at various structures like cumulative delta, market/order profile, LVN/HVN in various ways and try to find reasons to establish their bias. I dont use any of these. I have not been able to generate a backtest that consistently performs based on any of these theories.

I've heard of a firm using MP - but never seen it myself, nor asked specifically what was done with it. I've seen long term charts used but sparsly. It's not as if you can walk up to people and say "what's that there for?".

I don't know of any prop traders that did any backtesting. It has always been 'get trained, earn your live account' or cases of people getting in based on their performance. I've seen a lot of introspection and reviewing trades though.



Hulk View Post
Agree. I learnt many of these theories - NoBS, L2ST, JigSaw... etc. cannot even remember the rest but he is right. These theories came from traders that scalped thick markets were you could see the order book. There was only one type of refreshing order - an iceberg which was a clear indication that someone had a large order and he did not want the world to see that. He kept it hidden in order to get filled. Apparently, this observation would help people establish a short term bias for scalping purposes.

NoBS is thicker markets. Wasn't really Jigsaws thing, nor was scalping if you mean trading the spread. Icebergs have become an issue for sure. It's not hard to see reloading & retailers always seem to want to revert to a one rule trading system. Like "see an iceberg on the bid, go long". Considering all the training and time and effort and reviews and introspection and pain a prop trader goes through to become consistent - it's a bit of a kick in the teeth for people to still think this is realistic.

Markets were thicker when we started out - but we moved with the times. There was never a point where we said "iceberg = entry". It was always about order flow being a story that played out with more confirmation being paid for in fill price and trying to get into a position at a choke point.


Hulk View Post
This is the meat of what happens today on the screen. What this means is that now orders are not limited to one particular market. An order could span multiple contracts and instruments. Normal people can never tell which trade is getting filled. For instance, in the commodities markets (I cannot speak for anything else), if someone is bullish WTI outright and wants to establish a long position, he will probably never buy just the front month. Instead, he will employ an "aggregator" type of order that will start filling the front 3-4 months, the front few spreads, cracks, WTI to Brent etc. Basically, he would express his bias in WTI relative to forward months and other markets. If you are monitoring just the front months using some of these retail tools, you are looking at a flea on the tail of a dog - completely missing the dog itself.

This has been the case since electronic trading started. You can never presume that any execution means that
- a position has been opened
- the participant will react to short term moves (might be those Kellogs people again)
- that the trade is directional and not part of a spread

On the other hand, you can see momentum and you can learn what drives it.


Hulk View Post
There is rarely an outright bias for a commodity being expressed in the markets these days. The bias is expressed mostly relative to either time or correlated markets or both.

OTC markets are where block trades are executed by communicating your order to a broker. Most retail price feeds do not disseminate these trades. And even if you had a feed that did, these are reported to the exchange (I am talking mostly CME/NYMEX Clearport here) with up to a 7 to 8 minute delay so you cannot make sense of it anyway. If you want to know the % volume of these trades, just look at the volumes page for that contract on cmegroup.com.

Good stuff, but it's all based on there being little urgency to trade right? I know a trader that trades stocks on earnings, because at that point the urgency to do business goes up and you have people willing to give up the spread (and more) to get filled.

As for the OTC stuff - it's like the old pits. Illiquid venues where there's not always someone to take the other side - so your trade will get layed off against the electronic. Clearport does just over 300k contracts a day, it's a drop in the ocean compared to the electronic markets. Once the urgency comes in - any trades will be reflected in the electronic because the only way you'll get filled is against a counterparty that's laying off the bet on the electronic markets. Much like the pits did with S&P.

The spread/arb - is really what keeps it all in line. It's like phsyics. Volume comes in - you'll see it.



Hulk View Post
A stale order is one that has been on the book for a long time. You can see this if you subscribe to a data feed that disseminates MBO. I dont know what he means by professionals screening stale orders to lean on. I dont fully agree with this statement. OTC venues do not dictate the bias. They are just like the screen - no one really knows where the market is headed. But having access to OTC data definitely helps in different ways. I havent found an electronic way to get this data. I dont know if there is one but if I had the OTC order book electronically, I would be very very happy.

Never heard of leaning on stale orders but have heard of MMs looking to trade the other side of a large order - see it get taken out & then market reverts back. A strategy for very specific conditions.




Hulk View Post
Yep, this I agree with. If you are trading NatGas, you are monitoring electricity and weather for sure. If you are trading Crude oil, you are monitoring Brent, Gasoil, gasoline, diesel both forward in time and across. This ties into what he says earlier and like I explained. If an outright bias isnt being expressed, you wouldnt look for it. Instead, you would focus on monitoring relative bias. Simply put, if WTI is bullish, then its bullish relative to what? Look at the WTI and the RBOB gasoline charts since Feb 21. Look at the front month and then look at the Apr/Dec or May/Dec spreads. Also look at the front RBOB crack and the front RBOB vs HO spread during this time. You will go nuts trying to figure out what you should have traded and when.

This is the statement I agree with the most. I wish everyone that reads this statement above, believes it and acts on it. But I know, no one will.

So... still aspiring?

100% agree - because it's all about cause & effect. Some things bring volume into the market and some things bring volume urgently. The days with a lot of people needing to trade are the biggest days for prop traders trading outrights.

As for needing all related markets - I know outright traders that don't. I know plenty that trade Crude - along with 30 or so other markets they have on their horizon and they don't watch all the iol breakdown products because they are only trading news driven momentum - which hits different markets at different times. They do know what's happening in energies, interest rates, metals, indices etc. They have more screens of news than charts or order flow. They look for the drivers first.

Lots of different ways to do this. But you have to actually chose one of them and that seems the biggest problem for retailers - hopping about too much.

If you have any questions about the products or services provided, please send me a Private Message or use the futures.io " Ask Me Anything" thread
Visit my NexusFi Trade Journal Reply With Quote
  #108 (permalink)
 
Hulk's Avatar
 Hulk 
Texas, USA
 
Experience: Advanced
Platform: TT, Custom
Trading: Futures, Spreads
Posts: 369 since May 2014
Thanks Given: 731
Thanks Received: 901


Jigsaw Trading View Post
Good post & interesting insights. Not sure what you do but I am sure you will agree that the title "professional trader" covers a hell of a lot of different skills.

To me, it just means I get paid to trade as opposed to using my own capital. And that the size I trade requires a significantly large risk appetite.


Jigsaw Trading View Post
I don't know of any prop traders that did any backtesting. It has always been 'get trained, earn your live account' or cases of people getting in based on their performance. I've seen a lot of introspection and reviewing trades though.

NoBS is thicker markets. Wasn't really Jigsaws thing, nor was scalping if you mean trading the spread.

I have a lot of respect for NoBS, L2ST and Jigsaw. I was your customer years ago. Actually, you guys started me off in this path. What you all had to offer made a lot of sense to me but being a programmer and coming from a binary world I just couldnt build my belief system without solid rules and some proof that whatever I am trading actually has worked in the past. Backtesting is far from perfect, but it helps me execute without hesitation. Even if it means I have to manage terabytes of data. I got lucky to have found the required support to be able to do this but there was no way I would have been able to do this sitting at home trading my 50k account.

Scalping to me means intra-day trading. Trade durations less than a few hours. I couldn't do that consistently and scale up my portfolio at the same time - in terms of adding size and markets. I cannot imagine consistently trading 5-10 markets with an intra-day bias looking at changes in order flow. Maybe when I was younger, I could have but I am old now and my brain just isnt that capable.


Jigsaw Trading View Post
Never heard of leaning on stale orders but have heard of MMs looking to trade the other side of a large order - see it get taken out & then market reverts back. A strategy for very specific conditions.

Actually, I can relate to this. On one of my long term momentum strategies, I am constantly being filled by an MM on the block and whenever this happens, I know its going to go against me for a bit. Its OK, they get to make a few ticks but I have statistics on my side .


Jigsaw Trading View Post
Lots of different ways to do this. But you have to actually chose one of them and that seems the biggest problem for retailers - hopping about too much.

Totally agree.

Visit my NexusFi Trade Journal Reply With Quote
  #109 (permalink)
 
Jigsaw Trading's Avatar
 Jigsaw Trading  Jigsaw Trading is an official Site Sponsor
 
Posts: 2,988 since Nov 2010
Thanks Given: 831
Thanks Received: 10,393


Hulk View Post
To me, it just means I get paid to trade as opposed to using my own capital. And that the size I trade requires a significantly large risk appetite.

And you sleep at night.



Hulk View Post
I have a lot of respect for NoBS, L2ST and Jigsaw. I was your customer years ago. Actually, you guys started me off in this path. What you all had to offer made a lot of sense to me but being a programmer and coming from a binary world I just couldnt build my belief system without solid rules and some proof that whatever I am trading actually has worked in the past. Backtesting is far from perfect, but it helps me execute without hesitation. Even if it means I have to manage terabytes of data. I got lucky to have found the required support to be able to do this but there was no way I would have been able to do this sitting at home trading my 50k account.

Being with something you believe in is one of the most important aspects IMO. In a prop firm, the traders believe what they are taught because usually - there's people there making bank....

But then I've seen prop firms pop up and only care about commissions. That aside - the man at home will always be conerned his approach isn't working 'cause the guy who sold it to him ripped him off - so he bounces to something else.

A few years ago - after knowing Gary Norden for a while - he offered to teach me for free. It wasn't a long-term agreement - more that he'd show me and we'd see where it went. After 2 days I pulled the plug. Not that I was afraid to learn new things - but I didn't want to completely change and become novice. I got what he did - and that was golden - I just saw no need to become someone else's trader.

You move forward - but you build on where you are.


Hulk View Post
Scalping to me means intra-day trading. Trade durations less than a few hours. I couldn't do that consistently and scale up my portfolio at the same time - in terms of adding size and markets. I cannot imagine consistently trading 5-10 markets with an intra-day bias looking at changes in order flow. Maybe when I was younger, I could have but I am old now and my brain just isnt that capable.


Actually, I can relate to this. On one of my long term momentum strategies, I am constantly being filled by an MM on the block and whenever this happens, I know its going to go against me for a bit. Its OK, they get to make a few ticks but I have statistics on my side .

I get this. I bailed on equities because I was trying to do the Briefing.com "chase earnings stocks" style. Then a friend got a job as an analyst for a trader doing the same thing - but with 4 full time analysts. The switch to futures was because I felt chasing that stuff was too much for a solo trader, ok for a firm or someone with researchers.

Everything is a method that suits some. Look at options pits - still open - because no-one has any idea how they do what they do. Guys are savants.

You have a style - you move with the times - but a refresh or something that doesn't suit you? Never gonna fly.

Same with order flow - it's a set of data. Trying to boil it down to magic one rule systems will never fly.

If you have any questions about the products or services provided, please send me a Private Message or use the futures.io " Ask Me Anything" thread
Visit my NexusFi Trade Journal Reply With Quote
  #110 (permalink)
Terra
Sydney Australia
 
Posts: 3 since Dec 2016
Thanks Given: 4
Thanks Received: 6



josh View Post
I use some notion of "order flow" as one pillar in my trading strategy. Yet, I agree 100% with the sentiment expressed here so far, mostly by @ Hulk -- markets are exponentially more complex today than they were 20 or even 10 years ago. In fact, I'd say that they're more than just complex -- they are sophisticated. The participants are sophisticated. Yet, "order flow tools" are thrown around and have been the hot retail thing for some time now.



The problem is not that they "don't work" -- it's that you seem to be looking for a turnkey solution, dare I say, "indicator," that will tell you when the market is going to change directions, so that you can catch the bottom and top. I'm sure you're not consciously thinking this, but your question certainly indicates a line of thought that lines up with a need to find "the answer." "Does this work?" is not even the right question, because it seems to want a "yes/no", binary answer. Does it work? Of course it does. Trendlines "work" -- fib retracements "work" -- higher highs and lower lows "works."

The question is, do you have the skill set to find an opportunity, recognize it as actionable, and then take risk based on it?

If it were as simple as putting up a footprint/order flow chart and seeing volume and fading it, well, everyone would do it, and yes, then it wouldn't work. Markets are too complex and sophisticated for anyone to consistently extract profits without doing something that is different from what most people are doing. I don't think that the method has to be complicated, despite the complexity of the market. I don't think you have to be a math whiz, or anything like that at all. But you must have some advantage to compete with others. The trader must think different and do something different than what everyone else is doing, to achieve results which are different from everyone else's results.

I completely agree. Concepts such as Absorption do work! BUT...... It is all based on context. It is based on an ability to judge a "signal" on its merits. It is based on knowledge of price action and market behaviour. At least for me that's true.

In fact, I traded MNQ earlier today by identifying what I believe was a very clear example of absorption. I did this with just the standard Order Flow tools in Ninja Trader 8. I use VWAP, a 5 and 15 minute Footprint chart, (Volumetric chart) and Trade Detector indicators. I wait for the opportunity and I constantly look at the context of price and price action. I am generally profitable most days. This is because I have spent a lot of years (1000's of hours), in front of screens studying price action with a great deal of determination.

There is no turnkey solution! Your success as a trader will come from experience and hard work AND maintaining your confidence through the inevitable losses you will make. Its the price you will need to pay. Good Luck!

Reply With Quote




Last Updated on December 18, 2022


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts