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Is anything better than order flow?


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Is anything better than order flow?

  #91 (permalink)
lightsun47
Toronto, Canada
 
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trymph View Post
So true ziggy.......in particular last week the move from Dow -200 to +700 a case in point and I'm still learning when to just jump on the train and stop picking levels/support or resistance for reversals!! At risk of aging myself still cleaning out the bag of tricks felix the cat left on the side of the road.



But as long as we're talking about imbalances I've posed this in another thread and wonder if anyone has anyone here has comments on the arithmetic between these 2 imbalance calculation methods. The basic diff between mk77ch's FootprintV2 and the NT8's default is whether to use a %age of the total bid/ask trades (footprintV2) or just the ratio bid/ask trades themselves.:



imbalance_NT8vsFootprintV2





Regards

Bruce

But how can those imbalances show in real-time the actual liquidity being put in and pulled at various levels?

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  #92 (permalink)
 
trymph's Avatar
 trymph 
chicago us
 
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lightsun47 View Post
But how can those imbalances show in real-time the actual liquidity being put in and pulled at various levels?

It's more a means to figure if there are more buyers or sellers by a certain %age at a particular moment in time and even whether the same are proceeding to successive price levels also eg. "stacked". Think of a tug of war game. Are there some % of players pulling on one or the other side of the rope by some %age. What I'm wondering is which is a better indication of the imminent price direction: a %age of one side greater than the other OR a %age of the higher respective sides per the whole group holding onto both sides of that rope.

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  #93 (permalink)
lightsun47
Toronto, Canada
 
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trymph View Post
It's more a means to figure if there are more buyers or sellers by a certain %age at a particular moment in time and even whether the same are proceeding to successive price levels also eg. "stacked". Think of a tug of war game. Are there some % of players pulling on one or the other side of the rope by some %age. What I'm wondering is which is a better indication of the imminent price direction: a %age of one side greater than the other OR a %age of the higher respective sides per the whole group holding onto both sides of that rope.

Kinda like 'Stick to the team' episode of Squid Games where there is a tug of war between two teams.

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  #94 (permalink)
 JPStructure   is a Vendor
 
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I really think that better than the OrderFlow is the Spread Trading

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  #95 (permalink)
 
Ankhtep's Avatar
 Ankhtep 
Redmond Washington United States
 
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RickM View Post
Hi Trader709

I think the main point is there are two ways to trade the markets. Predict where price is going or React when price moves somewhere.
After 20 years in this game, I think the best way forward is to react after price has moved so orderflow is the better option.

As an example, if the Nasdaq index spikes up with large volume higher than 500 units in a 5 second block, you have a 90% chance it will move a few more points higher before collapsing because the Asks have been removed from the order book and the imbalance can't be substained unless volume keeps increasing.

My point is price at any point on the chart does not offer the trader the odds of moving up or down 50% of times. On ocassions, there is a 90% chance it can't move one way - therefore orderflow strategy's in my opinion do offer the best chance of profitability.

Cheers

Hello Rick,
Can you:
1) Please provide the source of your statistic regarding the 500 units. (I'm assuming 500 units means 500 contracts)
2) Did you backtest this? If so over how many days or weeks?
2) Do you have a tool or indicator that allows you to watch the number of 'units' in a 5 second block - if so what is it?
3) Do you know if this same statistic of 500 units within a 5 second block also applies to other other markets?
Thanks

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  #96 (permalink)
 
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 trymph 
chicago us
 
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Excerpt

RickM View Post
Hi Trader709

I think the main point is there are two ways to trade the markets. Predict where price is going or React when price moves somewhere.
After 20 years in this game, I think the best way forward is to react after price has moved so orderflow is the better option.

On ocassions, there is a 90% chance it can't move one way - therefore orderflow strategy's in my opinion do offer the best chance of profitability.

Cheers

I'm beginning to become a believer in orderflow and found a nice way to configure NT8 for Delta/Orderflow with Diagonal Imbalances. <see attached> I've included the NT8 app setup Volumetric template. What I'm trying to incorporate in my 1 min conventional Candle Stick chart <Ensign app side x side> is trapped overbot/sold situations for a quick scalp or beginning runner for 20-100 ticks in YM. Screen shot today captures a nice sideways example to ident a quick scalp/fade reversal in a ranging period. Wonder if I've got it yet as a Delta spike with Imbalance buyers on a false breakout may be a strategy (eg 09:21 bar on the NT chart but note the Ensign candle chart seems to have lost daylight savings time since the YM rollover to Sept front month)

Its been difficult to "read" the Delta orderflow / Imbalances but worth the effort to add to my bag of tricks in my Candle stick conventional. I particularly like Delta orderflow for a real time pulse of trade tone minute to minute.......SO FAR.

Thanks all
Bruce



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  #97 (permalink)
RickM
Brisbane
 
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Hi Bruce

Fading a High Delta candle in a lower volume period is indeed one of my setups. Its my Set up A and works very well pre market provide there is no flow through volume. Or in other words, we need to see collapsing volume.

I would say its not necessary a reversal setup but more of a scalp for a handful of ticks and then we set a breakeven stop and see if its worth a gamble staying in longer.

Cheers


trymph View Post
Excerpt


I'm beginning to become a believer in orderflow and found a nice way to configure NT8 for Delta/Orderflow with Diagonal Imbalances. <see attached> I've included the NT8 app setup Volumetric template. What I'm trying to incorporate in my 1 min conventional Candle Stick chart <Ensign app side x side> is trapped overbot/sold situations for a quick scalp or beginning runner for 20-100 ticks in YM. Screen shot today captures a nice sideways example to ident a quick scalp/fade reversal in a ranging period. Wonder if I've got it yet as a Delta spike with Imbalance buyers on a false breakout may be a strategy (eg 09:21 bar on the NT chart but note the Ensign candle chart seems to have lost daylight savings time since the YM rollover to Sept front month)

Its been difficult to "read" the Delta orderflow / Imbalances but worth the effort to add to my bag of tricks in my Candle stick conventional. I particularly like Delta orderflow for a real time pulse of trade tone minute to minute.......SO FAR.

Thanks all
Bruce




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  #98 (permalink)
 
trymph's Avatar
 trymph 
chicago us
 
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Excerpt

RickM View Post
Hi Bruce

Or in other words, we need to see collapsing volume.

Cheers

Thanks for your comments Rick.....

I've added a Volume by price profile per your conditional observation. I agree volume says it all but even so I'm having trouble reading the orderflow by delta bars. Is it distribution/accumulation/running stops OR exhaustion? All in all its probably just another barometer of the current tone.....

Trying to KISS it
Regards
Bruce

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  #99 (permalink)
RickM
Brisbane
 
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Hi Bruce

It took me years to realise you can't trade Delta via fixed bars (i.e 1 minute bar).
You need just to see values. (I use data values set at 10 Seconds average) on a Speed Dial or in a footprint totals.
The idea is we need to see when a big move is happening in real time, not half in one candle and the other half in another candle.
So I trade when the Delta explodes as long as the Volume also is strong.

For Example on ES

Normally volume sits on average around 100 (Average each 10 seconds) and delta half of that. When a big move occurs, Delta can explode to over 500 positive (safe Long) or negative (safe Sell) values for a short time.
How long you stay in is up to your strategy, its just a no draw down entry.

Delta is just the actions by the masses deciding to go long or short - the correct direction depends on absorption and the amount of bids or asks presently sitting on the books.

But really, follow Long Delta if the Sellers have excess orders sitting on the chart and its easily an imbalance.

Time to have a DOM sitting on your charts.

Cheers

trymph View Post
Excerpt


Thanks for your comments Rick.....

I've added a Volume by price profile per your conditional observation. I agree volume says it all but even so I'm having trouble reading the orderflow by delta bars. Is it distribution/accumulation/running stops OR exhaustion? All in all its probably just another barometer of the current tone.....

Trying to KISS it
Regards
Bruce


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  #100 (permalink)
 El Duderino 
Newark, NJ
 
Experience: Intermediate
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Greetings, all.

It's been nearly a year since I responded to that fateful question, "Is order flow good shit, or what?" (I paraphrase somewhat, but I believe that captures the essence of the query).

Since that time, I've spent countless hours living, breathing, and sleeping order flow. Jigsaw and I became fast friends, to the point where I can now do a passable Peter Davies impression. In my beloved Sierra Chart, I have multiple DOMs constructed. I've built and contemplated heat maps, and have viewed low time-frame swing charts next to price ladders next to variously filtered time & sales "tapes".

And then...I stumbled (as I so often do) upon the following website:

Scalping Education ? [AUTOLINK]Depth of Market[/AUTOLINK] Trading

And BAM! There it was. Or rather, there it wasn't. Because Alberto, the proprietor of the site--and YouTube channel of the same name--had discarded the guts of the conventional DOM and just used price, volume at price, volume imbalance at price, and cumulative volume delta to trade. Basically, price and a few volume variants.

For me, it's the ultimate KISS, as applied to reading the market in the moment.

Of course, that's just me.

At any rate, I pass this on to the community. Maybe it will float your boat, maybe not. I've emailed back and forth with Alberto several times and he has responded to my questions and comments with unfailing patience, courtesy and, I feel, generosity of spirit. And whereas previously I clenched my buttocks mightily when working the ES using order flow, I now sit calmly and even hazard a smile while using Alberto's approach.

Have a good weekend, everyone.

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Last Updated on September 12, 2023


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