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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)

  #71 (permalink)
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Health of intraday rallies

Hello Everybody ,

Till now, I used to think that a healthy rally , if viewed in a T&S will show trades going off only at ask side.

After subscribing to Time and sales, I can see this is not the case that happens.

The Time and sales says that,as because we are having a rally,it does not mean that we will have trades only on ask side. In fact, there are lots of traders going off at the bid side too.

What I observed:
As I studied the rallies tick by tick, I concluded that the trades on the bid side provide excellent clue on the present health of the rally, by means of:

(1)How far below the last trade at ask, is the trade at bid occurring.

Case 1
Suppose we see a trade at ask goes on $35.65, After that, we see a trade at bid goes on $33.65 (same price as the last trade at ask), or higher (say $33.70). This means that bids are being elevated, i.e, support points are being raised.(at worst case, the bid trades will be just 1-2 ticks below the ask trades..NO MORE THAN THAT).Please tell me whether I am correct

Case 2
Compared to the above, if we see a trade at ask goes at $35.65, After that, we see a trade at bid goes on $33.20 ($0.45 BELOW the last trade at ask). This says that, after the ask side trade at $35.65, the bids (support points) were not raised. In other words, the best bid STILL exists at $33.20...which means the region from $33.20 to $33.65 is hollow.The fact that the bids are not being raised indicates the rally may be in danger, at least for the time being. Please tell me whether I am correct.


(2)Comparing the sizes coming on the bid vs sizes at ask. Can we have any clue about the health of a rally by comparing the sizes coming on the bid vs sizes at ask? Please share your knowledge about this.


Question are:

1. why does so much volume appear on the bid side while prices are advancing? This volume keeps on increasing as price keeps on advancing.Who is selling? Is this high volume,that is coming on the bid side unhealthy for the rally ?

2. Please comment on my observation(case 1 and case 2). Have I got it correctly?

3. While prices are still advancing,if we see Large sizes are coming at bid-than sizes at ask,shall we treat this as an indication that rally is losing strength? I think this is not a sign of weakness.Even if the ask side trading is thinning out, the market may have sufficient power to absorb the selling. In other words, smaller sized trades at ask(compared to bid) alone does not indicate weakness.All that matters is the market's absorbing power, if it is there, smaller trades in the ask side alone doesn't indicate weakness....Please share your views

4. Is market's absorbing power determined by how large the underlying best bids are?

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  #72 (permalink)
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rocky9281 View Post
Hello Everybody ,

Till now, I used to think that a healthy rally , if viewed in a T&S will show trades going off only at ask side.

After subscribing to Time and sales, I can see this is not the case that happens.

The Time and sales says that,as because we are having a rally,it does not mean that we will have trades only on ask side. In fact, there are lots of traders going off at the bid side too.

What I observed:
As I studied the rallies tick by tick, I concluded that the trades on the bid side provide excellent clue on the present health of the rally, by means of:

(1)How far below the last trade at ask, is the trade at bid occurring.

Case 1
Suppose we see a trade at ask goes on $35.65, After that, we see a trade at bid goes on $33.65 (same price as the last trade at ask), or higher (say $33.70). This means that bids are being elevated, i.e, support points are being raised.(at worst case, the bid trades will be just 1-2 ticks below the ask trades..NO MORE THAN THAT).Please tell me whether I am correct

Case 2
Compared to the above, if we see a trade at ask goes at $35.65, After that, we see a trade at bid goes on $33.20 ($0.45 BELOW the last trade at ask). This says that, after the ask side trade at $35.65, the bids (support points) were not raised. In other words, the best bid STILL exists at $33.20...which means the region from $33.20 to $33.65 is hollow.The fact that the bids are not being raised indicates the rally may be in danger, at least for the time being. Please tell me whether I am correct.


(2)Comparing the sizes coming on the bid vs sizes at ask. Can we have any clue about the health of a rally by comparing the sizes coming on the bid vs sizes at ask? Please share your knowledge about this.


Question are:

1. why does so much volume appear on the bid side while prices are advancing? This volume keeps on increasing as price keeps on advancing.Who is selling? Is this high volume,that is coming on the bid side unhealthy for the rally ?

2. Please comment on my observation(case 1 and case 2). Have I got it correctly?

3. While prices are still advancing,if we see Large sizes are coming at bid-than sizes at ask,shall we treat this as an indication that rally is losing strength? I think this is not a sign of weakness.Even if the ask side trading is thinning out, the market may have sufficient power to absorb the selling. In other words, smaller sized trades at ask(compared to bid) alone does not indicate weakness.All that matters is the market's absorbing power, if it is there, smaller trades in the ask side alone doesn't indicate weakness....Please share your views

4. Is market's absorbing power determined by how large the underlying best bids are?



Yes yes yes.
Case 1. You're right))). A good trend is prints and BID and ASK. If you see only the green printing, then you tighten our belts and pull the stop closer. Protect yourself sir!
Case 2: You, too, right))) Good for you. You really you cut to the topic. Read the post about the growing mass of money. You will find there exactly what you mean. Man, you really you cut.
Large volume on asc means that guys have to urgently take liquidity at Offer, as the market goes above and not a fact that will later that same price.
Do not slaughter his head who is selling and why. Believe me, this leads to the abyss. You see what sells, he who buys something. What's the difference who and why? They make the order flow, which is real and it sends you.

when you see the prints on the BID, this means that the bid cost exceeds the limit, if they move higher, then they afraid that the price will go higher. If they do not move higher, so afraid that the higher the price will not go, and take a lower price. If they are already taking large market orders hitting the Offer, then they are in a hurry.
Prints is as an indicator of what they do with limit orders, limit orders as dismantled. Man,Dig further. Soon you add together the mystery))))
Thank you for your intelligence. You are pleased.

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  #73 (permalink)
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bloom View Post
1.Read the post about the growing mass of money.

I think the market always move towards the direction where large orders lie. This is done because large order generates large brokerage. Is this a trick of market makers?


bloom View Post
When you see the prints on the BID, this means that the bid cost exceeds the limit, if they move higher, then they afraid that the price will go higher. If they do not move higher, so afraid that the higher the price will not go, and take a lower price.

Are you talking about the people selling to take "Quick profits", because they doubt price will NOT go further high?

3. How is market's absorption power measured? Is it dependent on the sizes of the Best Bids? Greater size of best bid=more absorbing power?

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  #74 (permalink)
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Today I saw very smaller than normal limit orders on the bids and asks on all the levels of level 2 as the price was going up a very high peak. And the tape was barely moving too. Im thinking "how is price all the way up here"? Then next thing I see is it goes down 20 ticks in 5 seconds. It hates small limit orders, it goes crazy! Like during the news.

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  #75 (permalink)
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rocky9281 View Post
The fact that the bids are not being raised indicates the rally may be in danger, at least for the time being.

Thanks for bringing this up. I have seen and thought about it couple of times but i didn't know what it meant.


Quoting 
1. why does so much volume appear on the bid side while prices are advancing? This volume keeps on increasing as price keeps on advancing.Who is selling? Is this high volume,that is coming on the bid side unhealthy for the rally ?

Maybe pros are selling? They absorbing the buying cause they want to go the other way and go threw the stop losses. Because so many little guys buying, its easy for them to accumulate shorts. And when the tape is going fast its easier for them to hide that they bought a big lot cause you cant see because its going so fast.

How long you been tape reading rocky?

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  #76 (permalink)
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pbylina View Post
How long you been tape reading rocky?

pbylina, today is 3rd day I am tape reading. But before that I studied about the subject for the past 3 months.

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  #77 (permalink)
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Rising bids

See the image There are 2 T&S. The left one includes trades and quotes,the right one only trades. The region common to both of them are surrounded by white boxes. Keep in mind that this screenshot was taken when a rally was taking place .
I am attaching this image to show 2 things:
1. How rising bids are displayed in the T&S
Nothing to explain here.See the left T&S.

2. Trades@ bid side occurring after trades@ask side taking place at whole numbers.
This entire point is just a guess
Look at the trades@ask at 60.75 (I have circled in left T&S.).Since,60.75 is a whole number to the public,many of them who bought below, sets a sell/profit stop at 60.75(public buys and sells at round figures).
As soon as trades@ask at 60.75 occurred, T&S noted L.T.P=60.75 and boom! all those sell/profit stops at 60.75 were converted into market sell orders, which were thus absorbed by the corresponding best bids at that time.

The best bids were 60.75,61,62 (see the white box in right T&S)

I have never heard or learnt the above anywhere.That was just a guess.Please tell me,are these bid side trades really taking place because of sell/profit stops of common public being caught at whole numbers?
-----------------------------------------------------------------------------
Bloom, please reply to post 73

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Tape is my shape (tape reading, time and sales)-trades.jpg  

Last edited by rocky9281; June 17th, 2011 at 07:41 AM.
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  #78 (permalink)
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rocky9281 View Post
pbylina, today is 3rd day I am tape reading. But before that I studied about the subject for the past 3 months.

I dont know much about the technical stuff I just know what I see. Maybe you could tell me then. If you made a market order buy you would get in at the ask price? Market orders are only shown on the Time and Sales or are filled limit orders too?

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  #79 (permalink)
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pbylina View Post
I dont know much about the technical stuff I just know what I see. Maybe you could tell me then. If you made a market order buy you would get in at the ask price? Market orders are only shown on the Time and Sales or are filled limit orders too?

A market order is an order to buy at the lowest offer or sell at the highest bid. A market order is matched with a resting limit order. Time and sales shows executed transactions, not orders.

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  #80 (permalink)
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Historical time and sales data from the eSignal database


Talking of softwares, does anybody know how to access the historical time and sales data from the eSignal database, without using eSignal software?

Can it be done by using amibroker or ninjatrader or any other platform? If yes, kindly tell me the procedure.

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