NexusFi: Find Your Edge


Home Menu

 





Why does the market move towards the heavier side of the order book?


Discussion in Traders Hideout

Updated
      Top Posters
    1. looks_one josh with 6 posts (8 thanks)
    2. looks_two Jigsaw Trading with 4 posts (30 thanks)
    3. looks_3 paps with 3 posts (2 thanks)
    4. looks_4 Blash with 3 posts (3 thanks)
      Best Posters
    1. looks_one Jigsaw Trading with 7.5 thanks per post
    2. looks_two uexkuell with 6 thanks per post
    3. looks_3 cory with 5 thanks per post
    4. looks_4 josh with 1.3 thanks per post
    1. trending_up 22,260 views
    2. thumb_up 60 thanks given
    3. group 41 followers
    1. forum 32 posts
    2. attach_file 4 attachments




 
Search this Thread

Why does the market move towards the heavier side of the order book?

  #11 (permalink)
 uexkuell 
Pt Vala
 
Experience: Advanced
Platform: Proprietary
Trading: CL, EUR, DAX
Posts: 58 since Apr 2010
Thanks Given: 12
Thanks Received: 31


josh View Post
... why is it the case the the side with more orders tends to draw price to it?

Assume you are a big trader / trading desk that has deep pockets and needs to use any possible way to produce positive results.

In this situation you can be confident that it will be possible for you to move the market a few ticks in the direction you choose.
It won't be a problem if the market moves a few ticks in a direction that you don't really want.

So you can produce income for example by letting the market move some ticks down by hitting bids in sequence only to have some people with small pockets enter short.
When the market went far enough down you can start to induce (with big pockets) an upmove.
The further this move advances (up) the more stop losses of the small pockets will be hit which will speed up the upmove even more and drive your overall position further into profit.

To make this strategy work you always go for the side where more orders are showing because you need size to make bigger profits.

Reply With Quote

Can you help answer these questions
from other members on NexusFi?
NexusFi Journal Challenge - April 2024
Feedback and Announcements
NT7 Indicator Script Troubleshooting - Camarilla Pivots
NinjaTrader
Are there any eval firms that allow you to sink to your …
Traders Hideout
My NT8 Volume Profile Split by Asian/Euro/Open
NinjaTrader
New Micros: Ultra 10-Year & Ultra T-Bond -- Live Now
Treasury Notes and Bonds
 
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
38 thanks
NexusFi site changelog and issues/problem reporting
27 thanks
GFIs1 1 DAX trade per day journal
18 thanks
The Program
18 thanks
  #12 (permalink)
 
COTtrader's Avatar
 COTtrader 
JACKSON, MICHIGAN
Legendary Market Wizard
 
Experience: Intermediate
Platform: TS and Trading View
Broker: TS
Trading: ES Awesome!
Posts: 955 since Jul 2009
Thanks Given: 406
Thanks Received: 648

An Order Book lists numerous open orders that only exist for seconds before being pulled. It is the old orders that are not pulled and some distance away from the price that signals where accumulation and distribution will occur. Fulcrum Trader among retail traders probably does this very well as do many others.

My 1 cent.

COTtrader
"Ken"

Follow me on Twitter Visit my NexusFi Trade Journal Reply With Quote
  #13 (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


A bid is just a bid. A bid is not demand. An offer is just an offer, an offer is not supply.

A bid might be demand. A bid might have been demand but got pulled because of aggressive selling. A bid might be totally fake to lure people to buy. Hence a bid cannot be seen as demand, just a bid. It is it's own thing.

A bidder is a guy waving his hand at an auction saying he wants to buy something but who is just as likely to put his hand down when price gets close to him.

Most of the time, when you move through a level, you will move through the level because the remaining bids/offers get pulled. This is because bids/offers are not real supply and demand.

So, just think of them as their own entity, they are bids and offers. There are reasons people are putting in those bids and offers and it is often because they want to do the opposite to what they show on the order book. Of course, one reason someone puts in a bid or offer could be because they actually want to buy or sell but this is just one reason of many.

Visit my NexusFi Trade Journal Reply With Quote
  #14 (permalink)
 
josh's Avatar
 josh 
Georgia, US
Legendary Market Wizard
 
Experience: None
Platform: SC
Broker: Denali+Rithmic
Trading: ES, NQ, YM
Posts: 6,216 since Jan 2011
Thanks Given: 6,752
Thanks Received: 18,136

Thanks DT, this is a great explanation, good stuff.

Started this thread Reply With Quote
  #15 (permalink)
 cpi65 
UK
 
Experience: None
Platform: -
Posts: 154 since Aug 2010
Thanks Given: 12
Thanks Received: 75

Yo!

basically order clusters are like magnets for price

PEACE

Reply With Quote
  #16 (permalink)
bloom
Russia
 
Posts: 473 since Apr 2011
Thanks Given: 47
Thanks Received: 591

Large volume means a large number of open positions. Someone sold a lot, someone bought it. If the BID was a large limit order, it was filled, you will see a large volume on lowering prices. The opposite of sales.
Abnormally large volumes, of which here and there is a debate, or volumes, sharply against the other, are showing interest from large traders to the price. And they usually buy at the BID and sell on the ASК. Usually,)))
Also includes a large number of sellers or buyers with a market order, exposing their rear. Those who sell at the bottom, filling the large trader, will be the stop loss buyers. Large volume - thick wall.

Reply With Quote
  #17 (permalink)
 
josh's Avatar
 josh 
Georgia, US
Legendary Market Wizard
 
Experience: None
Platform: SC
Broker: Denali+Rithmic
Trading: ES, NQ, YM
Posts: 6,216 since Jan 2011
Thanks Given: 6,752
Thanks Received: 18,136


bloom View Post
Large volume means a large number of open positions.
...
Large volume - thick wall.

Are you talking about orders in the order book, or transactions which have taken place?

Started this thread Reply With Quote
  #18 (permalink)
 
Anagami's Avatar
 Anagami 
Cancun, Mexico
Legendary Market Hustler
 
Experience: Advanced
Trading: MES
Posts: 978 since Dec 2010
Thanks Given: 707
Thanks Received: 2,300


Haverchuck View Post
There was a lengthy discussion on this a few years back on ET started by a guy named Viper Speed Trader. He developed a strategy based on the cumulative volume of the first 5 levels of the orderbook on both sides (he referred to it as ACV). When he saw that one side of the orderbook was twice as large as the other, he would scalp toward the direction of the size. You might want to check out his thread for more details/examples (search for "VSTscalper" on ET).

Someone else created a indicator for him to plot the ratio of the cumulative bids vs. cumulative asks. You can see in this example that when price is moving down, the indicator (3rd panel) does in fact show that the cumulative bid volume (1st 5 levels) is twice as big as the cumulative ask volume (e.g., the reds bars are hitting "-2").
https://www.whitmarkdevelopment.com/projects/images/VST%20Indicators.jpg

After reading the ET thread a few years ago, I tried out the indicator for a few weeks, but ended up ditching it.

Not sure if this info helps your question, but just passing it along since I thought it was an interesting topic when I first came across it.

Looks interesting. I'm curious if anyone has the OrderBookOscillator for NT7? I downloaded the old one off ET, but it does not work on NT7.

You are never in the wrong place... but sometimes you are in the right place looking at things in the wrong way.
Reply With Quote
  #19 (permalink)
 
cory's Avatar
 cory 
virginia
 
Experience: Intermediate
Platform: ninja
Trading: NQ
Posts: 6,098 since Jun 2009
Thanks Given: 877
Thanks Received: 8,090


Anagami View Post
Looks interesting. I'm curious if anyone has the OrderBookOscillator for NT7? I downloaded the old one off ET, but it does not work on NT7.

@Anagami fix order book indi

Attached Thumbnails
Click image for larger version

Name:	ES 12-11 (150 Tick)  9_27_2011.jpg
Views:	596
Size:	72.6 KB
ID:	50343  
Attached Files
Elite Membership required to download: agOrderBookOscillator_V1b.cs
Reply With Quote
Thanked by:
  #20 (permalink)
 viki 
italy
 
Experience: Intermediate
Platform: tradestation
Broker: tradestation
Trading: fesx, es
Posts: 14 since Dec 2009
Thanks Given: 1
Thanks Received: 7



cory View Post
@ Anagami fix order book indi

Cory, thank you for the indicator.

Is it possible to draw a dotted line at the present value of the oscillator?
Realtime is hard to see the current value of the indicator.

thanks

Reply With Quote




Last Updated on January 26, 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