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Tape is my shape (tape reading, time and sales)
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Tape is my shape (tape reading, time and sales)

  #51 (permalink)
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bloom View Post
Break high day. Immediately in the matrix is ​​put on bid limits 20000 and 30000 on ask limits. It's all in the sum))
Amateur concludes-shorts, but the mass of money increased, and it is above the high of the day.

This thread which I started recently may be of interest to you if I'm understanding you:

https://futures.io/traders-hideout/10820-why-does-market-move-towards-heavier-side-order-book.html

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  #52 (permalink)
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bloom View Post
yes you are close.
And it's not even that price is not far away. Just compare the first example of the increasing size of orders, and second, where the size decreased. Immediately clear that Long is not supported by the big boys and the time to blame.
If you see that price breaks which is an important level, and immediately increased the size limit orders at ASK and BID, it says the input of money began. If large orders on limits begin to fill a good large size of market orders, it means aggressive side takes that liquidity, which provide at current levels. Hence the price will go further with a high probability.

it's not so easy in practice.
simple example of the day.
In the matrix are limit orders at the bid in the amount of 10000, at the ask, too, 10000, and prints on the tape 300 contracts, they are the largest. High Day 37 50.
Break high day. Immediately in the matrix is ​​put on bid limits 20000 and 30000 on ask limits. It's all in the sum))
Amateur concludes-shorts, but the mass of money increased, and it is above the high of the day.
Prints on the tape began 500 for ASK , 500 for bid , weight of money increase. And then at weak bid limits begin to aggressively take large asks.
market goes higher, the dynamics confirms

You have a lot of experience. Do you use the "Cumulative depth" option in the level 2?(I dont see it on your screen shots.) Do you watch the tape first for a setup, then you use the level 2 as confirmation? Or you look at both at same time?(its hard to look at both at same time)

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  #53 (permalink)
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josh View Post
Tape reading and interpreting volume is not as simple as "follow the big orders." If it were, then it would be too easy to make money. And it can't be "easy" to make money in the market, for obvious reasons.

Price can move up or down, and for a much longer time than one might expect, on low volume. And a breakout of a level can occur on increased volume, and then fail and go in the other direction on low volume, perhaps increasing volume much later. See the attached chart for an example of this on ES. The two circled areas are heavier volume on the test of the low of the day. After the second test on higher volume, price moves the opposite direction, and initially, for at least 15 minutes, on quite low volume as it drifts up.

I'm not using the tape here but essentially this is what you're talking about--that simply the amount of volume as price is moving in a direction determines strength, not the actual bid or ask.

In the example I posted of ES, looking in hindsight, what can be determined is that after the second attempt down, the number of sellers willing to sell the lows had been exhausted enough that price was able to move higher. In this case, the increase of volume meant that the last batch of sellers had tried their best, and now there were relatively few left. You never know how many sellers may still be available and willing to sell, and this (supply) is what determines what will happen NEXT. Demand may not have been super high, but there was enough demand (willing buyers) relative to supply (willing sellers) to push the price up a few points.

Something I learned from a trader at another forum that will always stick in my mind is this: more volume simply means more participation. If price went up, demand was higher than supply. If price went down, supply was higher than demand. Plain and simple. Every transaction has TWO parties that participate. When the volume is high relatively, then more parties are participating (or contracts traded), and when it's low, there is less participation.

Sorry for the long post and I know this is not exactly what you're talking about, but I think it's relevant.

You're just talking about the same as I do))) I do not know. I did not post the whole thing, and give small portions, so they are easily learned. And then everything will need to use complex. You say "Bigger volume -wider participation "
If the price moves higher and attracts more participants, it means that the market has an interest in improving. If the price is moving higher, does not attract many participants, the movement fizzles out. I talked about this, rather than a simple volume. Those examples that I give, it is not specific guide to action. This is just to understand the general principle.

Good thing you mentioned about the relativity of demand to supply. it is important to understand that the market is moving toward greater flow relative to another, at this particular level.

I'm not talking about a simple reading of large orders. I say that from this beginning.
By the way, look at your specified trade. You will find there a pattern to which I spoke. Just put a filter on the 100 on the tape.

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  #54 (permalink)
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bloom View Post
If the price moves higher and attracts more participants, it means that the market has an interest in improving. If the price is moving higher, does not attract many participants, the movement fizzles out.

I agree that sometimes this is the case. But participation does not indicate market direction. It just indicates more people are trading. If PRICE goes up, then the market has shown it has an "interest in improving." Increased participation is just that--more contracts traded. If you have studied Wyckoff, you will know that just the opposite logic often is at work--higher volume when price is increasing often indicates weakness.

I guess what I'm saying is: it all depends. On a breakout move, for example, high volume is generally good. How high though? And who is left to trade? What determines where price will go next is simply who is willing to buy and sell. Perhaps the increased participation means more will enter the market and continue the move. Perhaps it means now that all those willing to participate have done so, and now there are few left willing to buy, and then sellers will take it in the opposite direction (exhaustion).

Look at the attached ES chart-- for six months in the first case the volume decreases while price continues to move up. The most recent move up has been on a volume pattern which is hard to describe as either increasing or decreasing, and while it includes holiday hours, it's not exactly spectacular volume.

I'm just saying that it's far more complex than "if price moves higher and it's on decreased participation, the movement will fizzle out." Maybe, maybe not. Again, weak buying will push price up quite easily if there is even less seller participation. Generally I think your principles are good and are well-known in the trading world, but it's obviously not that easy.

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  #55 (permalink)
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Volume is just like anything..... another part of the puzzle, not the holy grail.

Looking at the chart you posted Josh, I think it may be more meaningful to look at areas of extreme high OR low volume... These tend to indicate important points better than just 'higher volume' (or 'lower volume').

"...the degree to which you think you know, assume you know, or in any way need to know what is going to happen next, is equal to the degree to which you will fail as a trader." - Mark Douglas
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  #56 (permalink)
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josh View Post
Tape reading and interpreting volume is not as simple as "follow the big orders." If it were, then it would be too easy to make money.

The examples were just for conversation. Of course its not the only thing to look for. Its just a small fraction of what to look for.

A good starter and things to look for here:Tape Reading & Day Trading

But the only real way to learn is from experience. Bloom spends 4-8 hours a day. Me atleast 3 hours. And I find myself starring an hour straight before I see a move. So no, its not easy.

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  #57 (permalink)
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josh View Post
I agree that sometimes this is the case. But participation does not indicate market direction. It just indicates more people are trading. If PRICE goes up, then the market has shown it has an "interest in improving." Increased participation is just that--more contracts traded. If you have studied Wyckoff, you will know that just the opposite logic often is at work--higher volume when price is increasing often indicates weakness.

I guess what I'm saying is: it all depends. On a breakout move, for example, high volume is generally good. How high though? And who is left to trade? What determines where price will go next is simply who is willing to buy and sell. Perhaps the increased participation means more will enter the market and continue the move. Perhaps it means now that all those willing to participate have done so, and now there are few left willing to buy, and then sellers will take it in the opposite direction (exhaustion).

Look at the attached ES chart-- for six months in the first case the volume decreases while price continues to move up. The most recent move up has been on a volume pattern which is hard to describe as either increasing or decreasing, and while it includes holiday hours, it's not exactly spectacular volume.

I'm just saying that it's far more complex than "if price moves higher and it's on decreased participation, the movement will fizzle out." Maybe, maybe not. Again, weak buying will push price up quite easily if there is even less seller participation. Generally I think your principles are good and are well-known in the trading world, but it's obviously not that easy.

Yes. Wonderful picture. You show daily charts. Of course the price will move along the path of least resistance. And thin volumes will show you that resistance or support, are or have been small orders.
That is so true. Let me try to explain more precisely
I find it easier to cite examples.
Day 1. Volume 2600000 at the end of the day was. Bottom and the price has deployed up. Penetrate high. The number of participants increases. Showing greater interest in raising prices. The price goes higher. Then returns to the previously passed the top of the day, where there are limits much higher than before the breakdown. Number of customers grew up with each movement. Either a market order and were equal in terms of limits on the ASK, or were larger and price moves higher.In each move up buyers were more than sellers. In each volume buyers more. Let's say the amount of 5000 and 3500 where buyers and 1500 sellers.Just an example
Day 2. Volume at the end of the day 2500000. The situation was the same as in the previous day.
And so with each passing day, sellers are fewer and fewer buyers, which reduces the total volume. However, the attitude that more buyers than sellers does not change.
A volume increase above the high of the day, with the relative volume of the day, shows that the interest is more to high prices. Ill explain.
The fact that the sellers put the larger limit orders above the high of the day, said that they agree to price above the high of the day. They do not want to set lower, because they see that below the high of the day is a great demand. This demand can gobble up all their supplies and go higher. They want higher prices to take bigger profits or take losses smaller.
The fact that consumers are buying large-sized market order above the high of the day, said that they agree that the price may go higher, after the satisfaction of supplies of sellers.
This all suggests that, as traders adjusted relative to the market

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  #58 (permalink)
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My first video...

Failed up move. This is what your talking about bloom? No support by big orders? Didnt realize it soon enough and therefore exited too late. Watch in HD...



...maybe more action next time.


Last edited by pbylina; June 1st, 2011 at 05:20 PM.
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  #59 (permalink)
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pbylina View Post
Failed up move. This is what your talking about bloom? No support by big orders? Didnt realize it soon enough and therefore exited too late.
YouTube - ‪Failed Up Move - 31 May, 2011‬‏ (Watch in HD.)

...maybe more action next time.

Thanks for the video pbylina.

I'm no expert on this, but this is just euro futures, which I assume is simply mirrored and arb'd alongside the global interbank spot forex system. I don't think that even volume represents a true picture in this market, as there is $1.5 trillion moved per day in spot transactions alone. Do you think a large or small order on the Chicago Mercantile Exchange is any reflection or has any effect on the global interbank market?

I would think the discussion at hand would apply for an instrument that is only traded on a centralized exchange, such as the CME futures.

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  #60 (permalink)
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It seems obvious that the market should move in the direction of least resistance, which means that if the strong limits on the BID and weak limits on the ASK, then the market will rise and vice versa. But this is not always the case. The fact that all the contrary. When a strong ASK market is growing, when a strong BID market falls. Not always, but in most cases.
Let's find out why. Trading is war or confrontation. A good soldier knows that the enemy does not have to guess about his intentions. Traders professionals need to open a huge position and remain undetected. Imagine that you see this:
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You think, like 80% market share, that if a strong bid, it is necessary to buy. This information is organized by 80% in the direction of the purchases. The crowd is a very powerful force when it is organized. If the whole crowd will buy at the same time, it can not hold no pros, no matter how big he was not the volume. The crowd is very strong, but it is divided. But when the crowd sees a bid, then all it will by.
Therefore, such a BID to show the crowd, while there is a set of positions in the Long, is prohibited. When the position is recruited, and we need to push the price higher due to the crowd, while a BID may show. Pros know how you think and they use it for their own purposes.
For what the pros have come to market? Of course, making money. Make big money. Very big money. And to do that kind of money can only be at large positions. And in order to collect such large positions, can not operate openly. Otherwise, the crowd will do the same thing as you. It will pick up your liquidity. You can not open the required number of positions, which means you can not make a lot of money. Therefore, you need to get the crowd up to the last, or as long as possible was not aware of what you do attitude. And you in every way to convince this crowd:

Show weak and strong BID ASK to sell the crowd, filling you in Long.
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Show weak and strong BID ASK to buy crowd, filling you in shorts.
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Market moves - in the direction of least resistance. The problem is that currently less resistance and visible or shows very different things. Naturally, the market will go toward a stronger flow of orders, against a weaker stream. But the stream of orders, you see, you have it right before your eyes. Do you believe that you will be given all the cards in your hand? Can you believe and that Coca-Cola will give mankind the recipes? That all mankind may itself make Coke and never buy it. Or Ford could give you a small fee system by which you can construct your free car? Yooll Never to buy it from Ford, and even sell itself.


Therefore, large contracts, are the keys. Observing how the market reacts to them, you can get valuable information about which direction is most likely. If you see a faint BID, and the price is not below, see how to parse a strong ASK or Offer a good reaction, then you know what it is likely to be over. Conversely, a strong and weak BID ASK.
So, once again.
Large limit orders - a key that suggest how events develop.
The market is moving toward a more dense stream of orders. But apparently the flow and the real - two different things. Big limits make the crowd go into the market, playing on them, whereas, the pros will take the crowd and then go to higher limits, where will feel that liquidity is not enough. This is not a law, but take yourself a note.

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