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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)

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  #1 (permalink)
bloom
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Hello from Russia. Say thank you Google translator for meaning. I myself with the English at the dog. Woof woof.
In any case, glad to share experience with overseas counterparts. If you like the post, do not bother, write a response.
Your Alex.

In this topic I want to talk about the tape prints. If there is to say, welcome)))


On the color tape you see, in addition to warrants themselves and their speed, their direction. Have a warrant for BID or they were on ASK. This additional information can you shoot down and confused at first. Therefore, to start learning tapes look better monochrome prints.
Also for the beginning of the study tapes do not need to look at the limit orders. All you need is to look at the tape. Only one tape, and nothing more.
When you look monochrome ribbon, you will see how it behaves in important places and important prices. Important price is such a mark as HLOC previous few days, gaps, HLOC the current day. When the market comes to these marks, carefully watch the tape.
What did you see on it? Since the tape is one-color, you will not see if there were warrants for ASK or BID. Everything you see is the size of orders, and whether they are dense flow, compressed in time. There will also be visible to the tape speed. Whether it moves quickly and, consequently, there is a large flow of orders, and good volume. Or whether it moves slowly and in spurts, with pauses, which means that large order flow is not tight, and that low volume.

Important information given location and price, on which there are large prints. Depending on the context of prints will mean different things in different situations. Typically, the large value have large prints in the upper and lower price points.
For example, if there was a strong upward movement, and there are large prints at the top, then there is a high probability of rollback, and then roll back large prints at the top to mention the continuation of the movement. Same is true for downward movement. These situations a lot and need to know these laws. The same prints in different situations will mean different things.

Remains unchanged a universal mechanism or a chain, we need to work out. It prints and market reaction to them. Depending on the response we make a trade. Nothing else.
At the heart of any mining reactions are a few items.
The first and most important is the large prints, without which we can not begin to act at all.
The second element is the reaction itself, which may consist of both the pros and public reaction, and just from the reaction of the public. When the reaction of profies and the public, then you will see large and small prints together in most cases. When the reaction of the public, then you'll see in most cases, only small prints. Typically, the reaction is mixed, as many participants, but it can be classified by the share of large and small prints. If there are small, the reaction of public. And vice versa.
Reactions may be strengths and weaknesses. It is easiest to make money on a strong reaction. Strong reaction is accompanied by rapid ribbon and a large contract.

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 traderTX 
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hi alex,
have you looked at GOMI or Order Flow Analytics.
they give a detail of time and sales, tape, etc.

Trade what you see, not what you think.

"The better the mechanic, the fewer the tools"

"Futures Trading is risky and can cause substantial financial gain"
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 vegasfoster 
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Sounds interesting, can you post something showing your method? Thanks.

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bloom
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traderTX View Post
hi alex,
have you looked at GOMI or Order Flow Analytics.
they give a detail of time and sales, tape, etc.

None. I even have no idea what you mean))) All for the reason that I am in Russia and I do not know all the details. Forgive me my ignorance.
I am working on a ninja trader through Mirus. DATA get from zen-fire. Thank you for your interest.

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bloom
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vegasfoster View Post
Sounds interesting, can you post something showing your method? Thanks.

When we make a trade, it is important to know who now control the situation. Typically, if someone starts to control the situation, he becomes aggressive, and he who loses control, starts to go away. Aggression manifests itself in the active input market, whereas the deviation manifests itself exits.

As is usually easier to give an example.
Price is on the LOW of the day. When driving down the big prints warrant dauntics, they are compressed in time and on a narrow spread. Tape is moving quickly. Probably, someone comes to the breakdown of the LOW of the day, confident that the price will go lower. On the other hand, perhaps, other pros use momentum to enter the Long limits.

In this figure is clearly visible reaction to the pro price drop below the LOW of the day. They refused to drop the price down. At that time, public reaction was easily predictable. These shorts at the breakdown, thereby opening longs professionals.


When the price tested LOW, mostly walked, as seen from the figure, fine prints on dauntics because I do not see large prints on a dauntics LOW of the day. The situation with aptikcs do the opposite. Reaction pross suggests that they see no reason to drop the price. This information gives us an understanding of where the market goes. Then, when we see public reaction to the fall, we verify that the pros are also confident in a pinch, you can, using the reaction of the audience, enter on Long.

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bloom
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traderTX View Post
hi alex,
have you looked at GOMI or Order Flow Analytics.
they give a detail of time and sales, tape, etc.

Reading. Thanks

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bloom
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vegasfoster View Post
Sounds interesting, can you post something showing your method? Thanks.

If you are Nick then i am glad to see you))))

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bloom View Post
When we make a trade, it is important to know who now control the situation. Typically, if someone starts to control the situation, he becomes aggressive, and he who loses control, starts to go away. Aggression manifests itself in the active input market, whereas the deviation manifests itself exits.

As is usually easier to give an example.
Price is on the LOW of the day. When driving down the big prints warrant dauntics, they are compressed in time and on a narrow spread. Tape is moving quickly. Probably, someone comes to the breakdown of the LOW of the day, confident that the price will go lower. On the other hand, perhaps, other pros use momentum to enter the Long limits.

In this figure is clearly visible reaction to the pro price drop below the LOW of the day. They refused to drop the price down. At that time, public reaction was easily predictable. These shorts at the breakdown, thereby opening longs professionals.
Attachment 38994

When the price tested LOW, mostly walked, as seen from the figure, fine prints on dauntics because I do not see large prints on a dauntics LOW of the day. The situation with aptikcs do the opposite. Reaction pross suggests that they see no reason to drop the price. This information gives us an understanding of where the market goes. Then, when we see public reaction to the fall, we verify that the pros are also confident in a pinch, you can, using the reaction of the audience, enter on Long.

I hate to be the bearer of bad news BUT...

Since 2009, large prints are no longer relevant on the T&S of any CME market.

Pre 2009, when a market order for 1000 contracts was placed, you'd see a single print of 1000.

After 2009, you see 1 print for every limit order that 1000 contract market order was filled against.

So - nowadays, someone can hit the market with 1000 lot order and you'll see prints of 10,20,3,4,5,100,220,34,66 etc. etc. etc.

There's a video on it here - Is It Bots Or The Exchange Engine - PriceActionRoom's library - btw not my video but I do know the guy that made it.

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bloom
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DionysusToast View Post
I hate to be the bearer of bad news BUT...

Since 2009, large prints are no longer relevant on the T&S of any CME market.

Pre 2009, when a market order for 1000 contracts was placed, you'd see a single print of 1000.

After 2009, you see 1 print for every limit order that 1000 contract market order was filled against.

So - nowadays, someone can hit the market with 1000 lot order and you'll see prints of 10,20,3,4,5,100,220,34,66 etc. etc. etc.

There's a video on it here - Is It Bots Or The Exchange Engine - PriceActionRoom's library - btw not my video but I do know the guy that made it.

I could wind up your stories, if every day is not done on the super-duper tape inputs with a stop in 2.3 ticks on the ES. But you probably say that this is impossible. Then i'll show you the screens. Wait until Monday)))
I have read such statements. I have to say. Tape works and will work. The reality is what it is.
What would you say that I know who taught this guy? And that that someone is not very good comments about him. Let's just you do not make me prove this point.

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I have not said that Tape Reading doesn't work. I use it every day to confirm every trade I make.

What I did say was that the large prints on the tape you see in Ninja Trader are meaningless since the CME tick reporting changes in 2009. If you look for these and consider them the only large orders being thrown at the market, you are mistaken.

Looking for big prints before 2009 would get you on the side of large players. Looking for big prints after 2009 merely shows that there are large limit orders filling a large market order. In fact if you see large prints hitting the offer, it means you have large limit orders on the offer and this does not bode well for a long move. It means you have large buyers (although you can't tell how larger) and large sellers with limit orders at the same time. This is a good time to sit aside and let them battle it out.

As for who taught that guy, what's your point? The video is simply an explanation of how the CME changed the tape in 2009.

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bloom
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DionysusToast View Post
I have not said that Tape Reading doesn't work. I use it every day to confirm every trade I make.

What I did say was that the large prints on the tape you see in Ninja Trader are meaningless since the CME tick reporting changes in 2009. If you look for these and consider them the only large orders being thrown at the market, you are mistaken.

Looking for big prints before 2009 would get you on the side of large players. Looking for big prints after 2009 merely shows that there are large limit orders filling a large market order. In fact if you see large prints hitting the offer, it means you have large limit orders on the offer and this does not bode well for a long move. It means you have large buyers (although you can't tell how larger) and large sellers with limit orders at the same time. This is a good time to sit aside and let them battle it out.

As for who taught that guy, what's your point? The video is simply an explanation of how the CME changed the tape in 2009.

You are right. Changed the code or something like that out there in the display strip. If the queue is 10 traders each with 300 contracts for the BID, then you see the 3000 contracts on a BID. If someone is hit in the BID with market order 3000 you will see a 10 print on 300 contracts at the current price at which the BID was. All printing will be at the same time. Say 9:45:51. Will be a huge block.

And if this bid will be a one limit order for 3000 contracts, then you are after a market order to sell in 3000 will see a single print in the 3000 for Bid. Such an alignment just shows you the locations where there are dense limit orders. And also shows where limit orders just a series of small orders. This gives additional information.

Here's an example as proof that I not making this up. Can you look at history and what it was LOW of the day in the end. It was May 20 Year 2011. And then we'll talk about the meaninglessness.

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bloom
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DionysusToast View Post
In fact if you see large prints hitting the offer, it means you have large limit orders on the offer and this does not bode well for a long move. It means you have large buyers (although you can't tell how larger) and large sellers with limit orders at the same time. This is a good time to sit aside and let them battle it out.

2009.

Another thing that you say that you need to stand aside and wait until you finish the movement. I just say that we should wait until the end of aggression. If you had a great Seller, who moved the price down, and then, on moving down, there is already no big prints on the BID. That means that his aggression was over, downward movement ended with a high probability. And here is where your input.

Look at this example. On the BID has no large print. The seller ended the aggression, and limit orders on BID are worth. Buyer does not fill and we need only wait so that he began to aggressively enter. In the end, you have a very good entry with good risk ..

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Bloom

You seem pretty bright & it's a shame you are trying your hardest to have a battle here.

I think you need to look into this yourself.

Scenario 1.
Low of the day. Large player puts in a 1000 lot market buy order.
He gets filled against fifty 20 lot limit sell orders.
The time & sales shows (all at ask)
20,20,20,20,20,20,20,20,20,20,20,20,20,20,20,20,
20,20,20,20,20,20,20,20,20,20,20,20,20,20,20,20,
20,20,20,20,20,20,20,20,20,20,20,20,20,20,20,20,
20,20,

Scenario 2
Low of the day.Large player puts in a 1000 lot market buy orded.
He gets filled against a 2000 lot sell limit order
The time & sales shows
1000 At Ask

Now - in scenario 1, you do not have a large player putting limit orders on the offer. This is a lot more bullish that scenario 2. Still scenario 2 appears more bullish because of the larger size print.

The problem is that since 2009, the programmers at the CME decided to give us 'more information' which effectively reversed the meaning of large prints.

Still - if it's working for you, good luck with it.

Cheers

DT

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bloom
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DionysusToast View Post
Bloom

You seem pretty bright & it's a shame you are trying your hardest to have a battle here.

I think you need to look into this yourself.

Scenario 1.
Low of the day. Large player puts in a 1000 lot market buy order.
He gets filled against fifty 20 lot limit sell orders.
The time & sales shows (all at ask)
20,20,20,20,20,20,20,20,20,20,20,20,20,20,20,20,
20,20,20,20,20,20,20,20,20,20,20,20,20,20,20,20,
20,20,20,20,20,20,20,20,20,20,20,20,20,20,20,20,
20,20,

Scenario 2
Lot of the day.
Large player puts in a 1000 lot market buy orded.
He gets filled against a 2000 lot sell limit order
The time & sales shows
1000 At Ask

Now - in scenario 1, you do not have a large player putting limit orders on the offer. This is a lot more bullish that scenario 2.

The problem is that since 2009, the programmers at the CME decided to give us 'more information' which effectively reversed the meaning of large prints.

Still - if it's working for you, good luck with it.

Cheers

DT

About the Gods. Forums. So I'm talking about the same. No battle and I was not planning to organize.

In scenario 1 as the time you see that the prints at one time. At Ofer no big Celler. The script is such a strong buyer against the weak sellers. That's right
In scenario 2, if you see a big print on the ASK that means that the ask someone puts a big LIMIT ORDERS. That I wanted to say. You are probably not understand me. At first I was saying. Say thank you Google translator)

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Bloom - I missed the fact you were using google translator!

This must make forums quite a challenge! Good luck...

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DionysusToast View Post
Bloom

You seem pretty bright & it's a shame you are trying your hardest to have a battle here.

I think you need to look into this yourself.

Scenario 1.
Low of the day. Large player puts in a 1000 lot market buy order.
He gets filled against fifty 20 lot limit sell orders.
The time & sales shows (all at ask)
20,20,20,20,20,20,20,20,20,20,20,20,20,20,20,20,
20,20,20,20,20,20,20,20,20,20,20,20,20,20,20,20,
20,20,20,20,20,20,20,20,20,20,20,20,20,20,20,20,
20,20,

Scenario 2
Low of the day.Large player puts in a 1000 lot market buy orded.
He gets filled against a 2000 lot sell limit order
The time & sales shows
1000 At Ask

Now - in scenario 1, you do not have a large player putting limit orders on the offer. This is a lot more bullish that scenario 2. Still scenario 2 appears more bullish because of the larger size print.

The problem is that since 2009, the programmers at the CME decided to give us 'more information' which effectively reversed the meaning of large prints.

Still - if it's working for you, good luck with it.

Cheers

DT

Why does it matter if its a 1000 lot or 50 - 20 lots? Its still 1000 contracts at that price either way. In Investor RT theres an option to aggregate all similar ticks at that price. So if there were 50 - 20 lots it would show 1000 at that price.

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bloom
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39061
as I promised. Screenshots today day.GAP soon take.

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 pbylina 
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bloom View Post
When we make a trade, it is important to know who now control the situation. Typically, if someone starts to control the situation, he becomes aggressive, and he who loses control, starts to go away. Aggression manifests itself in the active input market, whereas the deviation manifests itself exits.

As is usually easier to give an example.
Price is on the LOW of the day. When driving down the big prints warrant dauntics, they are compressed in time and on a narrow spread. Tape is moving quickly. Probably, someone comes to the breakdown of the LOW of the day, confident that the price will go lower. On the other hand, perhaps, other pros use momentum to enter the Long limits.

In this figure is clearly visible reaction to the pro price drop below the LOW of the day. They refused to drop the price down. At that time, public reaction was easily predictable. These shorts at the breakdown, thereby opening longs professionals.
Attachment 38994

When the price tested LOW, mostly walked, as seen from the figure, fine prints on dauntics because I do not see large prints on a dauntics LOW of the day. The situation with aptikcs do the opposite. Reaction pross suggests that they see no reason to drop the price. This information gives us an understanding of where the market goes. Then, when we see public reaction to the fall, we verify that the pros are also confident in a pinch, you can, using the reaction of the audience, enter on Long.

Why do you have it it Black and White only? Whats the difference between the Left and the Right tape? Is the left orders greater than 100? How do you know to enter long when its in black and white?

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bloom
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pbylina View Post
Why do you have it it Black and White only? Whats the difference between the Left and the Right tape? Is the left orders greater than 100? How do you know to enter long when its in black and white?

Basically you look speed of prints. To enter, you want the tape moved slowly. If goes fast, you will need to wait.
Also see the number of large prints. If the return of their benchmark rates was small, it decreases aggression. Most of the big traders. Be sure to see the time that prints have not been compressed into a bunch of time or at one time.

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bloom
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pbylina View Post
Why does it matter if its a 1000 lot or 50 - 20 lots? Its still 1000 contracts at that price either way. In Investor RT theres an option to aggregate all similar ticks at that price. So if there were 50 - 20 lots it would show 1000 at that price.

If you see a price level they took the offer 20 different traders, which generally amounted to 1000 contracts. And if you see a bunch of prints at the same time, it means that one big trader stands opposed to 20 small. This is changing something for you ?
It's just a chance, but it gives something .

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 pbylina 
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bloom View Post
39061
as I promised. Screenshots today day.GAP soon take.

On the Tape, the red is selling, and the green is buying? Or, the red are trades at the ASK and green are trades at the BID?

What are you looking for on the DOM? Is it better to trade DOM and T&S(TAPE) together?

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bloom
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done for today. Get out too early

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bloom
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pbylina View Post
On the Tape, the red is selling, and the green is buying? Or, the red are trades at the ASK and green are trades at the BID?

What are you looking for on the DOM? Is it better to trade DOM and T&S(TAPE) together?

TAPE and LEVEL 2
Red and green. You dont need to look it in the begining.

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 pbylina 
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bloom View Post
done for today. Get out too early
Attachment 39068

By the big prints that im seeing I would guess it would be a good Short, yea? Of course it would be easier to predict if it was moving.

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 pbylina 
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Can you make a video?

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bloom
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pbylina View Post
By the big prints that im seeing I would guess it would be a good Short, yea? Of course it would be easier to predict if it was moving.

large prints on the BID indicate that someone is selling well, and that somebody buys on the BID, well too. Let's say today was a 1312 print by BID large. It showed that there is a buyer. Then, on a test 1312, large prints on the BID was not enough. This suggests that the seller has become non-aggressive. You can enter Long with good support BID limit and place your stop right behind them
you must wait until the end of aggression. And it shows itself in the decrease of the number of large prints by the fact that increasing the number of limit orders on the Bid.

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pbylina View Post
Why does it matter if its a 1000 lot or 50 - 20 lots? Its still 1000 contracts at that price either way. In Investor RT theres an option to aggregate all similar ticks at that price. So if there were 50 - 20 lots it would show 1000 at that price.

OK - let's say you see the following occuring:

High of the day.

3000 x 1 lot buy orders streaming through on the tape
3 x 1000 lot sell orders streaming through on the tape

Small retail traders buying, large institutional traders selling.

Whose side would you want to be on?

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DionysusToast View Post
OK - let's say you see the following occuring:

High of the day.

3000 x 1 lot buy orders streaming through on the tape
3 x 1000 lot sell orders streaming through on the tape

Small retail traders buying, large institutional traders selling.

Whose side would you want to be on?

i dont know who of them institutional and retail. I can only gess through size of the orders. Many retail traders have 3000 contracts to buy or sell? Dont think so

"3000 x 1 lot buy orders streaming through on the tape"


Okay. Buyer aggressor, moving the price up. Print for ASK 3000 shows that a buyer is large , but also print said that on the ASK are limit orders in 3000, which indicates that the seller is also a tough guy.

"3 x 1000 lot sell orders streaming through on the tape"

This situation shows that the bid were 3 different limit order for 1000 contracts, and the seller hits the market order for the Bid. This shows that he is determined to aggressively ..
As a result, we have a strong seller, which is filled to the ask, he strikes a strong BID contracts. Against him is a strong buyer.

While the advantage to the seller.
But.
Need to wait until one of the parties will cease to show aggression or become more aggressive.
The situation that you describe, it you have to wait.

If the high of the day will not take, when the price will come to test high of the day, and I'll see a weakening of aggression buyer, with a limit order sellers will be there and will continue to increase. That's when I go to the seller.


If the high of the day will take, when the price will come to test the breakdown, and I see the weakening of the aggression, the seller or the buyer increased aggression, while there will be good limit on the bid, then I will go Long.
And yes, happen to be anything, so I do not fluttering like "What if the Seller will begin to sell, or the buyer is begin buying"
Then, take a loss. Maximum of 1.5 points on the ES

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DionysusToast View Post
OK - let's say you see the following occuring:

High of the day.

3000 x 1 lot buy orders streaming through on the tape
3 x 1000 lot sell orders streaming through on the tape

Small retail traders buying, large institutional traders selling.

Whose side would you want to be on?

If the 3 - 1000 lot orders fail to bring price down then I would go long.

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pbylina View Post
If the 3 - 1000 lot orders fail to bring price down then I would go long.

Hard to disagree with that!

Volume has to have a reaction, if it doesn't - watch out.

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DionysusToast View Post
Hard to disagree with that!

Volume has to have a reaction, if it doesn't - watch out.

I'm not as fast as you guys))) I need more information
you say "Volume has to have a reaction". What do you mean?

Thanks in advance

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I'm not as fast as you guys))) I need more information
you say "Volume has to have a reaction". What do you mean?

Thanks in advance

Volume means the amount of something. He means if there was a big order, something should happen. Like if there was a big 3000 lot sell order, price should go down. If it didnt, there was no reaction.

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Volume means the amount of something. He means if there was a big order, something should happen. Like if there was a big 3000 lot sell order, price should go down. If it didnt, there was no reaction.

Yes. I have understood you. I look great prints showing the location of large limit orders, then in the back test prices, which had large prints, I look at the reaction)))
If I see that it continues then I will wait, if I see that the response has changed, I'll go with large limit orders.
Guys, I'm glad that started this topic with you

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bloom View Post
I'm not as fast as you guys))) I need more information
you say "Volume has to have a reaction". What do you mean?

Thanks in advance

If we see a lot of sell market orders on the tape but price doesn't move down, the expectation is that it will likely move up, at least in the short term.

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I am working on a ninja trader through Mirus. DATA get from zen-fire.

Some people would argue that Zen-fire is bad data. I guess its not if it works for a tape reader.

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Bloom,
The orders highlighted in Green are "above ask". Why? Does that make them aggresive buyers? Are these market orders?

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Some people would argue that Zen-fire is bad data. I guess its not if it works for a tape reader.

I don t know bad it or not. I am just doing my job.And do not think that Zen is doing badly. I have enough of what there is. Minimalism is a kind of))))

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pbylina View Post
Bloom,
The orders highlighted in Green are "above ask". Why? Does that make them aggresive buyers? Are these market orders?

All trades executed are either at the current ask or bid price--basically, this is a data synchronization issue. By the time it is reported, either by the exchange or to your computer (I'm not sure which), the ask and bid have changed. So if I buy market and the best offer is 150, and after the trade is executed the best offer becomes 149, then the trade may be reported as "above the ask". Likewise, if I buy market and the best offer is 150 I am filled there, and then if the order book shows a best offer of 151, then my trade may be reported as "between the bid and ask." There is no particular extra level of "aggressiveness" that this would indicate.

The only way transactions take place is if a market order is placed. Limit orders must be matched with market orders. If 5 people will buy at no lower than 149, and 5 people are offering to sell at no less than 150, then no transaction happens. It takes one person to be willing to "pay up" to buy at 150, or one seller who's willing to sell for less than the offer, at 149, in order to do business. This is essentially how a market functions. Those willing to buy the offer or sell the bid are the only ones who can actually move price.

The exception here is if a buy limit is placed at or above the current best offer (say, a buyer places a limit buy at 151 when the best offer is 150), or a sell limit is placed at or below the current best bid (a seller places a limit sell at 148 when the best bid is 149). This limit order becomes a marketable limit order, which is essentially a market order in this context.

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Bloom,
The orders highlighted in Green are "above ask". Why? Does that make them aggresive buyers? Are these market orders?

Yes, here you see an aggressive buyer. Just remember that well, there is a seller who plump, too))) Prints weak. I do not see here a good situation. What happened after the prints?

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josh View Post
All trades executed are either at the current ask or bid price--basically, this is a data synchronization issue. By the time it is reported, either by the exchange or to your computer (I'm not sure which), the ask and bid have changed. So if I buy market and the best offer is 150, and after the trade is executed the best offer becomes 149, then the trade may be reported as "above the ask". Likewise, if I buy market and the best offer is 150 I am filled there, and then if the order book shows a best offer of 151, then my trade may be reported as "between the bid and ask." There is no particular extra level of "aggressiveness" that this would indicate.

The only way transactions take place is if a market order is placed. Limit orders must be matched with market orders. If 5 people will buy at no lower than 149, and 5 people are offering to sell at no less than 150, then no transaction happens. It takes one person to be willing to "pay up" to buy at 150, or one seller who's willing to sell for less than the offer, at 149, in order to do business. This is essentially how a market functions. Those willing to buy the offer or sell the bid are the only ones who can actually move price.

The exception here is if a buy limit is placed at or above the current best offer (say, a buyer places a limit buy at 151 when the best offer is 150), or a sell limit is placed at or below the current best bid (a seller places a limit sell at 148 when the best bid is 149). This limit order becomes a marketable limit order, which is essentially a market order in this context.

Thank you. Guys, I think you will be sure to check out where you the basics of how a display mechanism of interaction limit and market orders. We will not delve here into the cornerstone.

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 josh 
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DionysusToast View Post
OK - let's say you see the following occuring:

High of the day.

3000 x 1 lot buy orders streaming through on the tape
3 x 1000 lot sell orders streaming through on the tape

Small retail traders buying, large institutional traders selling.

Whose side would you want to be on?

If there were 3 prints of 1000 lots each, then there are large traders selling to large traders who are buying ("large" meaning they have the dough to put up 1000 lots). That's the only objective information that can be derived here IMO.

In fact, the 3000x1 lot buy orders could very well be a 3000 lot market order from a large institutional buyer, matched with 3000 small retail traders with limit orders. Or, it could be three 1000 lot buys from large buyers, matched with iceberg-type limits from another large seller. Or any combination of these and many more scenarios.

What conclusion would you draw differently from this DT?

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bloom
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If there were 3 prints of 1000 lots each, then there are large traders selling to large traders who are buying ("large" meaning they have the dough to put up 1000 lots). That's the only objective information that can be derived here IMO.

In fact, the 3000x1 lot buy orders could very well be a 3000 lot market order from a large institutional buyer, matched with 3000 small retail traders with limit orders. Or, it could be three 1000 lot buys from large buyers, matched with iceberg-type limits from another large seller. Or any combination of these and many more scenarios.

What conclusion would you draw differently from this DT?

As they say in Russia, "balm for the ears. " You make my heart glad that there is someone who understands the deeper the situation. I will be glad to see you and your notes and share experiences. YOUR Trades I will look with great pleasure. Thanks man

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bloom
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Okay. Pbylina and Josh and others who have shown interest. For you to continue to post topic.
Rolled on

I can see how pouring money and still they come, I'm in position, the money start to come out I'm going to change direction and make another trade
For this we need to look the same color ribbon to understand))) Look at it for a week or two. Think about it. You will see how the movement started on the price and the movement is growing amount of money that go into the market, and then the mass starts to melt and are stopped. You do not know the purchase or sale it was. Remember the 2 sides of the transaction limit and the market. Someone buys a marketer, but he who is selling limit. The more limits and more than a market order and the more money comes. The smaller the order, the lower part of the money.
If the price moves lower, and more and limit and market order, and their sizes grow, the movement develops. With the fading of motion is the opposite situation.

let me show you the example of Long 34 50 farther afield prints
35 00 * 100
35 00 * 200
35 00 * 150
35 25 * 100
then the above
36 00 * 250
36 00 * 400
36 00 * 500
then even higher
37 25 * 500
37 25 * 600
37 50 * 1000

You do not know of the bid or the ask, they are monochrome but you know that weight increases above that higher and higher transaction is an increasing amount of money

further example of another situation 34 50 Long
Starts moving up and you see the following
35 00 * 100
35 00 * 200
35 00 * 800
then passes all the time and price is higher
36 25 * 100
36 25 * 100
36 25 * 100
then the price goes even higher
37 25 * 100
37 25 * 50

What do you see? matter of the bid or the ask is not important, it is seen that the money is not so much.

then returned to 35 50 and
35 50 * 100
35 50 * 500
35 50 * 250
then lower
34 75 * 800
34 75 * 400
34 50 * 300
Went up and moving up the money running out. Amounts of money blown away. You see the prints of the weak and aggressive traders less. Market orders are less on the move upward, and their sizes run out. And the downward movement of order size increases. Where does the money go?

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bloom View Post
Yes, here you see an aggressive buyer. Just remember that well, there is a seller who plump, too))) Prints weak. I do not see here a good situation. What happened after the prints?

I just wanted to take a picture of this "above ask" to show you. After this it fell 15 ticks. There was little volume trading.
But thats what I usually see during low volume times.(a lot of buying but it cant go higher, mostly small guys with 1 lots. Then it falls.) Maybe I'll make video...

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I just wanted to take a picture of this "above ask" to show you. After this it fell 15 ticks. There was little volume trading.
But thats what I usually see during low volume times.(a lot of buying but it cant go higher, mostly small guys with 1 lots. Then it falls.) Maybe I'll make video...

Wow. It will be cool. Video ))))

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 pbylina 
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bloom View Post
further example of another situation 34 50 Long
Starts moving up and you see the following
35 00 * 100
35 00 * 200
35 00 * 800
then passes all the time and price is higher
36 25 * 100
36 25 * 100
36 25 * 100
then the price goes even higher
37 25 * 100
37 25 * 50

What do you see? matter of the bid or the ask is not important, it is seen that the money is not so much.

then returned to 35 50 and
35 50 * 100
35 50 * 500
35 50 * 250
then lower
34 75 * 800
34 75 * 400
34 50 * 300
Went up and moving up the money running out. Amounts of money blown away. You see the prints of the weak and aggressive traders less. Market orders are less on the move upward, and their sizes run out. And the downward movement of order size increases. Where does the money go?

Are you asking where the price is going next? I would guess down? On the way up you see a 800 lot(35 00. But it doesnt go much higher from there. Then comes back and you see a 800 lot print 1 tick lowert(34 75) then the previous 800 lot. Maybe this guy changed his mind and got scared? But I would need to see the flow to make sure its flowing smooth. I hope im close.

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Are you asking where the price is going next? I would guess down? On the way up you see a 800 lot(35 00. But it doesnt go much higher from there. Then comes back and you see a 800 lot print 1 tick lowert(34 75) then the previous 800 lot. Maybe this guy changed his mind and got scared? But I would need to see the flow to make sure its flowing smooth. I hope im close.

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

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 josh 
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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.

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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:


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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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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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 josh 
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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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 Anagami 
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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 mind is its own place, and in itself can make a heaven of hell, a hell of heaven." - Milton
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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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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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 pbylina 
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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.

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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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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:

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.

Show weak and strong BID ASK to buy crowd, filling you in shorts.


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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josh View Post
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.

I do not know what to tell you to that. Supply and demand move all traded instruments. Transactions on the tape is the reality of the market, it is already imprinted trade. This is true of the market, and you can see in through it, as supply and demand is moving. What causes surges in demand and supply is another issue.

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bloom
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Ready? Who is going with me to bring down bulls?

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Good stuff Bloom!

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 pbylina 
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bloom View Post
Ready? Who is going with me to bring down bulls?

I am ready. Lets do it!

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 pbylina 
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bloom View Post
Basically you look speed of prints. To enter, you want the tape moved slowly. If goes fast, you will need to wait.

Thats what happened at this top(1.4365).

bloom View Post
Be sure to see the time that prints have not been compressed into a bunch of time or at one time.

You mean this? In the picture, in the Tape all the way to the right, you can see that at 1.4249 there was 131 trades the first time and the second time at was 105. We know that these are 1 lots or trades less that 10 because on the middle tape it doesnt print any big trades. Could a pro split his big 100 lot into 100 - 1 lots?

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bloom
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pbylina View Post
Thats what happened at this top(1.4365).

You mean this? In the picture, in the Tape all the way to the right, you can see that at 1.4249 there was 131 trades the first time and the second time at was 105. We know that these are 1 lots or trades less that 10 because on the middle tape it doesnt print any big trades. Could a pro split his big 100 lot into 100 - 1 lots?

More interesting to see what prints were at the top of 1.4365. Then some prints were on the back test at the same price. I watched your tape on the picture. There's nothing.
Divided warrant that you have shown, simply indicate that a man entered the market order 100 compared to 100 traders with 1 contract, which stood at the limit.
In this situation it is necessary to wait for test 1.4325 in order to measure the strength of the seller. And then to draw conclusions. Look at how big the order is filled. The quality of the parsing order.

Still, you should look to the price of 1.4332. There's something wise or may be wise. We must look at the dynamics. Bettr take short videos. Good luck

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pbylina View Post
Thats what happened at this top(1.4365).

You mean this? In the picture, in the Tape all the way to the right, you can see that at 1.4249 there was 131 trades the first time and the second time at was 105. We know that these are 1 lots or trades less that 10 because on the middle tape it doesnt print any big trades. Could a pro split his big 100 lot into 100 - 1 lots?

Possibly but probably not.

What you describe is the activity of bots. They used to do exactly what you say - allow a trader to put in a larger order, which would then be split up into multiple small orders of different sizes. The different sizes was important as it stopped predatory algos spotting a pattern in the buying.

The thing is - this is sort of defunct now because of the way ticks are reported. It used to be that a 100 lot market order would be reported as a 100 lot print. Now, we'll see 1 print for each limit order the 100 lot market order is filled against.

So, thanks to these changes, large traders don't really need to employ bots to split their trades. although it's possible that they still do to fool the predatory algos.

For the I/RT 'similar prints' - I would not read too much into that unless you are watching it in real time and you see the prints all come in at once. If there's seconds between the blocks of trades, you should not presume that this number represents a large trader.

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bloom
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Here is a good example. But the prints that you see is only the beginning. What is important is how the market reacts to them. Imbalance of supply and demand makes the price move, and there is an imbalance of new information, which entered the market.
These prints, this new information. "Hey, here came the big boys. Look here the seller and buyer. "
And then the market will react, will be your chance to make a dough. You should know by heart, then the market is now responding. You should be able to see it.
Test height or bottom of the day, also the information. That is how the test provides information about the market power of the seller or buyer, or their intentions. Depending on this information, the market reacts differently. Sometimes the absence of the seller on the bottom will be an occasion for Long, sometimes the reason for sales to pull off the loss and sit lower in the Long. You need to understand what the reaction to you.

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 pbylina 
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bloom View Post
More interesting to see what prints were at the top of 1.4365. Then some prints were on the back test at the same price.

Ah Im starting to get you.

Quoting 
Divided warrant that you have shown, simply indicate that a man entered the market order 100 compared to 100 traders with 1 contract, which stood at the limit.

How do you know it was a 100 lot market order? Yes I think there was no big limit when it happened. Maybe was even 1 or 2 at bid.

Quoting 
In this situation it is necessary to wait for test 1.4325 in order to measure the strength of the seller. And then to draw conclusions. Look at how big the order is filled. The quality of the parsing order.

Ok. Im starting to see the importance of Tests now. Thanks.

Quoting 
We must look at the dynamics. Bettr take short videos. Good luck

Ok. Next time short video. Pictures arent the best.

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rocky9281
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If we see huge markup some day, is it likely that if we study the time and sales data of previous days,we will see accumulation ?

Here I give 2 examples:

1. This is a daily chart(welspun.jpg-1st attachment). Looking at the last 2 rally bars, is it likely that the circled bars that come before the rally bars will show evidences of accumulation, if we study the time and sales of the circled bars?

2. This is an intra day chart(rel.bmp-2nd attachment). Looking at the rally at the right side of the chart, is it likely that the circled bars that come before the rally will show evidences of accumulation, if we study the intra day time and sales data?

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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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bloom
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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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rocky9281
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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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 pbylina 
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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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 pbylina 
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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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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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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?
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 pbylina 
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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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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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rocky9281
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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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 pbylina 
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rocky9281 View Post
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.

I dont know if historical time and sales would be accurate, I wount trust it. What I do is I have a program that records my screen. 4 hours is like 700mb. Not bad. Later in the day you can study it.

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I dont know if historical time and sales would be accurate, I wount trust it. What I do is I have a program that records my screen. 4 hours is like 700mb. Not bad. Later in the day you can study it.

Please tell me in details. What is the program that you use? Please guide me how to install it and use it.

Can you share the .exe file here?

Another thing, since you re using Ninjatrader, you may be able to save live time and sales data in notepad. Please verify this. I believe that Ninjatrader has this setting. That will save a lot of space.

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 pbylina 
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rocky9281 View Post
I think the market always move towards the direction where large orders lie.

The large limit orders are not aggressive. They waiting for price to come to them. Market orders are aggressive. They moving the market not the limits.

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pbylina View Post
The large limit orders are not aggressive. They waiting for price to come to them. Market orders are aggressive. They moving the market not the limits.

Yes, but just as when someone in real life flashes a big offer for something, the tendency is for buyers to want to test to see if it's real or a bluff. If there is a large group of offers, buyers will tend to push to that level to test the offers, and vice versa. No one said that limit orders directly move price.

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 RM99 
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Couple of things here.

1) Reading this thread makes my head hurt. Holy syntax batman. I realize ESL is a challenge (or translation) but this thread is more difficult than reading a youtube comment string.

2) Noteworthy is that volume alone can be misleading. Price action combined with volume will indicate the relative ease or difficulty the market is allowing. An analogy would be whether the market is moving through air or water or tar. A large volume injection may or may not have a propensity to move the market in typical fashion depending on how long the price has been allowed to grow stale. That's why you see such whipsaw effects in high volume instruments, because when a large input moves and there's a reaction, it's usually because there's not a sufficient density of presets available to slow it down. In essence, when the price loiters, it allows the market to adjust and establish support and resistance around it. This is the same concept behind consolidation and eventual breakouts, when the volume is sufficient, it breaks out beyond the tightening support/resistance.

My personal feeling is that a lot of retail traders get impatient and begin moving their orders after awhile. It's even more pronounced when the price lingers and someone is in a position (nothing more nailbiting than being in a long position and having it hover just under your profit target...eventually, you cry uncle and inch your exit closer and closer).

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rocky9281
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Why is tape reading not working?

In this TICK chart, I have marked all the block trades for that day, as they appeared in the time and sales window.


# The volumes that are red,occurred at bid
# The volumes that are green,occurred at ask
# The volumes that are black,occurred inside bid and ask.


I have assumed that trades above 10,000 size as block trades. The total volume for that day was 5,035,618.

There were many large volume trades which didn't yield a legitimate move in their direction.

What's wrong????

1.Aren't these blocks large enough?
2.Aren't the pros playing intraday?
3.Are the market makers playing against the pros?
4.Are the bid side trades wrongly showed as ask side trades (and vice versa) in the time and sales?

5.Do the pros support the price after buying ?

Seniors and experienced members please help

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rocky9281 View Post
There were many large volume trades which didn't yield a legitimate move in their direction.

What's wrong????

You're beginning to see the incorrect logic of trying to associate "big order" with "right direction." Remember that for every large market order, someone else is on the other side of it, absorbing it. It's not that tape reading is not working, it's that you are making assumptions which simply are not correct. You said you've been working on tape reading for about a week. Do you really think that people who pay millions of dollars for software designed to hide their intentions by using complex algorithms can really be found out so easily from a time and sales window, much less by someone who has been looking at it for such a short period of time? Honestly, the earlier posts between some of you guys simply doesn't make sense, and you're drawing incorrect conclusions from what you're seeing I'm afraid.

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 pbylina 
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rocky9281 View Post
Why is tape reading not working?

Rocky, I dont know how the orders work in the indian stock exchange but if you read the beggining pages you can understand how CME works.

Example
At the best Ask there is a 100 lot limit. The public with there 1 lots buy at market. The tape prints a green 100 at ask. Would you still buy?

At the best Bid there is 100 - 1 lot limits. The pro places a 100 lot sell at market. The tape prints 100 -1 lots at bid.

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pbylina View Post
Example
At the best Ask there is a 100 lot limit. The public with there 1 lots buy at market. The tape prints a green 100 at ask. Would you still buy?

This is incorrect--with a 100 lot offer and 100 separate 1 lot market buys, the tape will print 100 separate 1-lot transactions at the offer. If a 100 lot market buy was placed instead, then it would print one transaction with a size of 100 at the offer.

Second, how do you know it's "the public"?

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 pbylina 
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josh View Post
This is incorrect--with a 100 lot offer and 100 separate 1 lot market buys, the tape will print 100 separate 1-lot transactions at the offer. If a 100 lot market buy was placed instead, then it would print one transaction with a size of 100 at the offer.

Second, how do you know it's "the public"?

If Pros wanted so bad to hide that they were buying then no one would ever see any big lots. Just my opinion.

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rocky9281 View Post
Why is tape reading not working?

In this TICK chart, I have marked all the block trades for that day, as they appeared in the time and sales window.


# The volumes that are red,occurred at bid
# The volumes that are green,occurred at ask
# The volumes that are black,occurred inside bid and ask.


I have assumed that trades above 10,000 size as block trades. The total volume for that day was 5,035,618.

There were many large volume trades which didn't yield a legitimate move in their direction.

What's wrong????

1.Aren't these blocks large enough?
2.Aren't the pros playing intraday?
3.Are the market makers playing against the pros?
4.Are the bid side trades wrongly showed as ask side trades (and vice versa) in the time and sales?

5.Do the pros support the price after buying ?

Seniors and experienced members please help

A few issues.

You are not really tape reading. What you have there is 1 tick + volume, this is very different from trades hitting the ask vs trades hitting the bid. From your chart, it's impossible to differentiate between trades hitting the bid/ask.

As has been said - people placing market orders are only part of the equation. Size will normally have a reaction and often it won't. Tape reading is not a 'snapshot' activity - you are looking at changes over time, an individual tick means nothing.

If you see 1000 at ask, uptick, 1000 at ask, uptick, 1000 at ask, uptick, 10,000 at ask, up tick - what does that tell you? That there are more buyers? Nope. It tells you that the guys sitting on the offer with limit orders are becoming more aggressive. Depending on the market, this may be significant.

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pbylina View Post
If Pros wanted so bad to hide that they were buying then no one would ever see any big lots. Just my opinion.

Depends on the market. On the ES - the CME does a pretty good job of splitting the trades.

For thinner stocks - I know a guy that uses some fairly sophisticated software to build up positions in a stock prior to earnings announcements.

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 RM99 
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Negative Volume Index (NVI) Definition

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josh View Post
1.You're beginning to see the incorrect logic of trying to associate "big order" with "right direction." Remember that for every large market order, someone else is on the other side of it, absorbing it. It's not that tape reading is not working, it's that you are making assumptions which simply are not correct.

2.You said you've been working on tape reading for about a week. Do you really think that people who pay millions of dollars for software designed to hide their intentions by using complex algorithms can really be found out so easily from a time and sales window, much less by someone who has been looking at it for such a short period of time? Honestly, the earlier posts between some of you guys simply doesn't make sense, and you're drawing incorrect conclusions from what you're seeing I'm afraid.

1.Please guide on what else to look for before entry, after I see a big block trade? How to know who is the buyer and who is the seller?

2.I realize that I don't understand most of the things in tape reading.Please guide.I want to learn it badly.

3. Please tell the names of good books/websites or any other useful resource where I can learn tape reading.

Lastly, Please present your analysis based on my chart. If you need more resources/data for that purpose, please let me know.

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rocky9281
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DionysusToast View Post
A few issues.

1.What you have there is 1 tick + volume, this is very different from trades hitting the ask vs trades hitting the bid. From your chart, it's impossible to differentiate between trades hitting the bid/ask.

As has been said - people placing market orders are only part of the equation. Size will normally have a reaction and often it won't. Tape reading is not a 'snapshot' activity - you are looking at changes over time, an individual tick means nothing.

2.If you see 1000 at ask, uptick, 1000 at ask, uptick, 1000 at ask, uptick, 10,000 at ask, up tick - what does that tell you? That there are more buyers? Nope. It tells you that the guys sitting on the offer with limit orders are becoming more aggressive. Depending on the market, this may be significant.

1.As I said earlier, I've marked the block trades as red (at bid),green(at ask) and black(inside bid & ask). Please let me know if some more information is needed.

2.It seems that the sellers are luring in buyers by pulling the asks. Am I correct?

3. Please tell the names of good books/websites or any other useful resource where I can learn tape reading.

Lastly,please present your analysis based on my chart. If you need more resources/data for that purpose, please let me know.

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 josh 
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rocky9281 View Post
1.Please guide on what else to look for before entry, after I see a big block trade? How to know who is the buyer and who is the seller?

I can't help you with what to look for in this case, as I don't base entries on block trades I see on T&S.


rocky9281 View Post
2.I realize that I don't understand most of the things in tape reading.Please guide.I want to learn it badly.

Why do you want to learn it so badly? Have you tried other methods and failed? I keep T&S up, but I don't center my trading around it because I feel that it's too difficult, especially in a market which has very high volume. If your tape shows 90 rows, then if a large order comes in, you will never even see the orders. I like to see if a large number of orders comes in and price doesn't move, for example--I find this helpful, but do not make primary trading decisions based off of that.


rocky9281 View Post
3. Please tell the names of good books/websites or any other useful resource where I can learn tape reading.

For modern-day computer age trading, I don't know any. Wyckoff has a book, "Studies in Tape Reading," but in his day he would see prints occur every few minutes, or seconds in a very fast stock, not milliseconds like today. There is a tape reading pdf/video that has the word "BS" in it, I'm sure you can find it if you look, but I wouldn't pay much for it, it's not very helpful to me personally, but then again I never put that much effort into watching it as it's based mostly on trading bonds.


rocky9281 View Post
Lastly, Please present your analysis based on my chart. If you need more resources/data for that purpose, please let me know.

Can you post a 5 minute chart of the stock for that same day, with volume at the bottom?

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rocky9281
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josh View Post
I can't help you with what to look for in this case, as I don't base entries on block trades I see on T&S.

In that case, please teach me your entries and exits.




josh View Post
Why do you want to learn it so badly? Have you tried other methods and failed? I keep T&S up, but I don't center my trading around it because I feel that it's too difficult, especially in a market which has very high volume. If your tape shows 90 rows, then if a large order comes in, you will never even see the orders. I like to see if a large number of orders comes in and price doesn't move, for example--I find this helpful, but do not make primary trading decisions based off of that.

Please share with me how you combine Time and sales with other methods that you use.




josh View Post
For modern-day computer age trading, I don't know any. Wyckoff has a book, "Studies in Tape Reading," but in his day he would see prints occur every few minutes, or seconds in a very fast stock, not milliseconds like today. There is a tape reading pdf/video that has the word "BS" in it, I'm sure you can find it if you look, but I wouldn't pay much for it, it's not very helpful to me personally, but then again I never put that much effort into watching it as it's based mostly on trading bonds.

Its called nobsdaytrading course. I have the book as well as the video.




josh View Post
Can you post a 5 minute chart of the stock for that same day, with volume at the bottom?

Please find the chart attached

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 josh 
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rocky9281 View Post
Please find the chart attached

Can you post the same chart, only not as wide? The horizontal to vertical ratio is almost 3:1 on your chart, please make your chart narrower.

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rocky9281
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josh View Post
Can you post the same chart, only not as wide? The horizontal to vertical ratio is almost 3:1 on your chart, please make your chart narrower.

Will this do?

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rocky9281 View Post
Will this do?

Yes, I will make some annotations either late this afternoon or when I get home tonight, I'm walking out the door in 5 minutes right now. I don't trade stocks, bear in mind, much less that stock, so I don't know how useful my chart will be.

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