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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)

  #741 (permalink)
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Anybody can explain how to find out the standard order size of a market?

For example,for Nifty futures in India, an order size of 10,000 contracts is considered as an order thrown by the pros, i.e, 10,000 is the standard order size here..anything less than that is considered as noise.

How do I find that standard order size for different markets?

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  #742 (permalink)
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ES 4.1.2013

First interesting spot to analize is right after the RTH open:



1:00 - 1:10 - 186 contracts trade at 56.50 and price can't hold there and drops. Immediately after that happening (around 1:12) we see trade go agains 56.25, it is relatively small as seen in tape - only 121 contracts and there where 388 limits on that level.

When 56.25 becomes offer ~500 contracts are added there while ~700 is being pulled off 56.00

1:48 - 56.00 gets eaten offer @ 56.25 immediately becomes 1000 after being ~600 at the same time bid @ 55.75 becomes 600 after being roughly 1000.

Here I constantly see that someone is pulling limits from the inside bid and puts them on the inside offer. What is the reasoning behind this? To help price go down and lure in sellers who will fuel the move?

I would enter somewhere here @ 55.75

2:20 - 2:30 - a lot of trading goes against 55.25 lvl - after price declined several ticks relatively fast i can assume this is profit-taking.

3:00 - 3:20 we see an iceberg (?) @ ask on 55.50 lvl price manages to tick through it at 3:06 but momentarily ticks back down no trades go off at 55.75

after that we see continuation of order stacking to the inside offer and pulling from inside bid, and price falls further. At the end of the vid there are exits again at 54.25 lvl

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  #743 (permalink)
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snusnufreak View Post
First interesting spot to analize is right after the RTH open:



1:00 - 1:10 - 186 contracts trade at 56.50 and price can't hold there and drops. Immediately after that happening (around 1:12) we see trade go agains 56.25, it is relatively small as seen in tape - only 121 contracts and there where 388 limits on that level.

When 56.25 becomes offer ~500 contracts are added there while ~700 is being pulled off 56.00

1:48 - 56.00 gets eaten offer @ 56.25 immediately becomes 1000 after being ~600 at the same time bid @ 55.75 becomes 600 after being roughly 1000.

Here I constantly see that someone is pulling limits from the inside bid and puts them on the inside offer. What is the reasoning behind this? To help price go down and lure in sellers who will fuel the move?

I would enter somewhere here @ 55.75

2:20 - 2:30 - a lot of trading goes against 55.25 lvl - after price declined several ticks relatively fast i can assume this is profit-taking.

3:00 - 3:20 we see an iceberg (?) @ ask on 55.50 lvl price manages to tick through it at 3:06 but momentarily ticks back down no trades go off at 55.75

after that we see continuation of order stacking to the inside offer and pulling from inside bid, and price falls further. At the end of the vid there are exits again at 54.25 lvl


I think also of interest is around the 2 minute mark where you see the offers refreshing and the buds pulling out of the way.

This happens all the time, in fact if you practice this, you will find that by watching the inside bid & offer, you can tell to a high degree of accuracy whether the market will move up and down from this level.

Of course, you can't make any money out of that. By the time you know it's going to tick down, you can't join the offer, you can just hit the bid, so you have to pay up a tick. If you are fast, you can hit the bid just before it ticks down and be in a break even position within a few seconds of entering. Doesn't mean the trade will go your way, it's more of an interesting observation than anything.

How many weeks in are you now? How much time would you estimate you have spent at this?

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  #744 (permalink)
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rocky9281 View Post
Anybody can explain how to find out the standard order size of a market?

For example,for Nifty futures in India, an order size of 10,000 contracts is considered as an order thrown by the pros, i.e, 10,000 is the standard order size here..anything less than that is considered as noise.

How do I find that standard order size for different markets?

Only way is to watch the tape in my opinion.

You could actually write a program to give you the number of occurrences per trade size I guess.

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  #745 (permalink)
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DionysusToast View Post
I think also of interest is around the 2 minute mark where you see the offers refreshing and the buds pulling out of the way.

This happens all the time, in fact if you practice this, you will find that by watching the inside bid & offer, you can tell to a high degree of accuracy whether the market will move up and down from this level.

Of course, you can't make any money out of that. By the time you know it's going to tick down, you can't join the offer, you can just hit the bid, so you have to pay up a tick. If you are fast, you can hit the bid just before it ticks down and be in a break even position within a few seconds of entering. Doesn't mean the trade will go your way, it's more of an interesting observation than anything.

How many weeks in are you now? How much time would you estimate you have spent at this?

I'm in my second week, this is my 7th video or so. I try to watch markets every day for 60-90 min after the opening, so my total screentime of DOM/tape up to now is about 10-12 hours i would say.

I've figured that within the first hour there are 4-5 several tick trades one could take, but again this depends on news announcements and type of the day (trend, range, low volume, e.t.c).

I would love to analize all of the possible trades, but this gets very time consuming as i go through replays very thoroughly and review them up to several times in a row.

But right now i feel a bit confused as there is to much information to be analized, I've also purchased the no BS course and right now it only added up to the big mess in my head =) Hopefuly things will start clearing up soon!

How much more would you suggest doing what I'm doing now? Also, do you reccomend paper trading using solely the DOM/tape or go straight to real money and play with 1 lot?

Thanks!

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  #746 (permalink)
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ES 4.1.2013 - 2

This is second video with some trades for today.



After reviewing it several times I've found something interesting right in the beginning of it.

Prior to the starting point of the video we had a sell off and price stalled at 54.25 lvl which is seen by the amount of contracts traded there - looks like partial exits from prvious shorts.

Shortly after that we see 3 tick pullback, but look at the current trades field at 54.25-54.75 lvls. It took much more buying to go up these three ticks if compared to average traded size on the way down. This looks like there is more resistance on the market for buying than for selling.

At 00:19 price ticks up to 55.00 but no contracts trade there. Right after that someone shorts 345 contracts against the bid at 54.75, pulls away bids at 54.50 and firms up offers at 54.75 and 55.00 by adding ~500 limits there (number of limits changes roughly from 1200 to 1700 - look carefuly in the dom around 00:19-00:23). I think this is a good spot to go short either by hitting 54.50 or hoping to get filled at 54.75 on limit. Turned out to be a 3-4 tick trade.

Again I've noticed this only after reviewing the vid several times. For now I have no idea how to react so quickly to this type of action in realtime market enviroment.

Later in the video there is a setup for going long, but I haven't analized it yet. I will try to do it tomorrow!

Regards,

Peter

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  #747 (permalink)
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DionysusToast View Post
Only way is to watch the tape in my opinion.

You could actually write a program to give you the number of occurrences per trade size I guess.

Suppose I get
200 trades of size of 2000 contracts
100 trades of size of 5000 contracts
50 trades of size of 10000 contracts
and so on..

How do I decipher the actual professional order size from that?
What will be the next step?
Please give some more clues..


Last edited by rocky9281; January 5th, 2013 at 10:45 AM.
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  #748 (permalink)
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snusnufreak View Post
First interesting spot to analize is right after the RTH open:



1:00 - 1:10 - 186 contracts trade at 56.50 and price can't hold there and drops. Immediately after that happening (around 1:12) we see trade go agains 56.25, it is relatively small as seen in tape - only 121 contracts and there where 388 limits on that level.

When 56.25 becomes offer ~500 contracts are added there while ~700 is being pulled off 56.00

1:48 - 56.00 gets eaten offer @ 56.25 immediately becomes 1000 after being ~600 at the same time bid @ 55.75 becomes 600 after being roughly 1000.

Here I constantly see that someone is pulling limits from the inside bid and puts them on the inside offer. What is the reasoning behind this? To help price go down and lure in sellers who will fuel the move?

I would enter somewhere here @ 55.75

2:20 - 2:30 - a lot of trading goes against 55.25 lvl - after price declined several ticks relatively fast i can assume this is profit-taking.

3:00 - 3:20 we see an iceberg (?) @ ask on 55.50 lvl price manages to tick through it at 3:06 but momentarily ticks back down no trades go off at 55.75

after that we see continuation of order stacking to the inside offer and pulling from inside bid, and price falls further. At the end of the vid there are exits again at 54.25 lvl

What I see is 930 trades on the offer and it goes bid - then it goes offer straight away with 230 MO - . Then I noticed that it is easier for the sellers to make the offers stick- I find that as the market being weak - Then at 1:46´ish, 578 is traded on the bid and it goes offer - watch what happens afterwards - it sticks - and the buyers need 720 for it to go bid - then the sellers take it to offer straight away and starts hitting the next level (at 2:12).I see that as the sellers being the strongest. Then afterwards it happens - The thing you are really looking for - sellers pushing down - tick after tick with little resistance - take the bid to offer - make it stick - hit the next bid - make it stick and so on.

If the buyers are putting up a fight - you would like to see the offer firm up and the sellers just hitting the bid again, or let the buyers take a tick or two - sellers firming up, and sellers continue to it the bid (this might be a good entry for a short momentum trade).

Then there is a struggle for the 1455.25 level - I guess a lot of traders are looking at that as a possible scalp long?

For me, I am having trouble when I try to trade against the momentum like this - I usually get run over, like this example.

It is different when there is a pullback- Then I do it.

What I usually do is see who wins the 55.25 battle - like here - where the sellers wins, and starts hitting 55.00, I might consider hitting it with them , especially when the profile is like it is: Especially if I see an iceberg at the 55.25 level - meaning the sellers took that level, and they mean business, the buyers are not going to get it back.

55.50 24 000
55.25 16 000
55.00 10 000
54.75 8 000

But to be honest, I don´t think I would have traded anything.

I am a beginner at this too - so this is not meant as advice - just my opinion on what is happening!


Last edited by lulliloo; January 5th, 2013 at 08:11 AM.
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  #749 (permalink)
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rocky9281 View Post
Anybody can explain how to find out the standard order size of a market?
For example,for Nifty futures in India, an order size of 10,000 contracts is considered as an order thrown by the pros, i.e, 10,000 is the standard order size here..anything less than that is considered as noise.
How do I find that standard order size for different markets?

Just a thought, but what is the US Dollar cost for 10,000 Nifty contracts? Would this USD cost be useful as a guide?

So, whatever the 10k contracts cost could then be directly compared to same USD risk for other markets giving whatever number of contracts they can buy for same.

Like I noted, just a thought!

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  #750 (permalink)
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Sorry to drop in but I couldn't resist saying what an absolute gem of a thread this is. Well done to the OPs! Also it's great to see a couple of familiar posters as, DT and Richard...Well done.

Again, great thread...may throw some Dax vids up here later as examples of size in the bid/offer.

Cheers,


XS

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