liquidity disappeared - Traders Hideout | futures io social day trading
futures io futures trading


liquidity disappeared
Updated: Views / Replies:3,514 / 29
Created: by adamov Attachments:7

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 7  
 
Thread Tools Search this Thread
 

liquidity disappeared

  #1 (permalink)
Elite Member
Budapest, Hungary
 
Futures Experience: None
Platform: ninjatrader
Favorite Futures: FGBL / FESX / ES / ZN / ZB
 
adamov's Avatar
 
Posts: 84 since Jun 2012
Thanks: 37 given, 48 received

liquidity disappeared

In the last couple of days the liquidty dramatically decreased at some instrument I follow. I mean the depth of this markets are only its fractions compared a week ago. /Of course in the same time the volatility has increased a lot/
I am talking about: ZN / ZB / FGBL / FESX / ES

If somebody could explain it why that would be great!

Reply With Quote
The following 2 users say Thank You to adamov for this post:
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
Market Wizard
virginia
 
Futures Experience: Intermediate
Platform: ninja
Favorite Futures: ES
 
cory's Avatar
 
Posts: 5,220 since Jun 2009
Thanks: 628 given, 6,318 received
Forum Reputation: Legendary


i think it relates to this https://futures.io/elite-circle/4890-hft-high-frequency-trading-high-frequency-trading-37.html#post434120

Reply With Quote
The following user says Thank You to cory for this post:
 
  #4 (permalink)
Elite Member
Tampere/Finland
 
Futures Experience: None
Platform: N/A
Broker/Data: N/A
Favorite Futures: N/A
 
Peke5's Avatar
 
Posts: 89 since Mar 2011
Thanks: 284 given, 90 received

Well if the volatility is something like 4 times more than usual, I wouldn't keep my size the same and take 4 times more risk. And when there is more volatility and uncertainty, it's also more easier to get trapped by headline or big player etc. so it's just risk management to offer/bid less imo.

Just my 2 cents.

Reply With Quote
The following user says Thank You to Peke5 for this post:
 
  #5 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,653 since Mar 2010
Thanks: 4,226 given, 25,602 received
Forum Reputation: Legendary

Highest volume since 3 years


adamov View Post
In the last couple of days the liquidty dramatically decreased at some instrument I follow. I mean the depth of this markets are only its fractions compared a week ago. /Of course in the same time the volatility has increased a lot/
I am talking about: ZN / ZB / FGBL / FESX / ES

If somebody could explain it why that would be great!


Let us first check your statement:


ZN:

Thursday (today): liuqidity running at 238 % of average of the last 26 weeks
Wednesday: liquidity running at 318% of average over the last 26 weeks
Tuesday: liquidity running at 194% of average over the last 26 weeks
Monday: liquidty runing at 63% of average over the last 26 weeks

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


ZB:

Thursday (today): liuqidity running at 226 % of average of the last 26 weeks
Wednesday: liquidity running at 345% of average over the last 26 weeks
Tuesday: liquidity running at 171% of average over the last 26 weeks
Monday: liquidty runing at 44% of average over the last 26 weeks

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).



ES:

Thursday (today): liuqidity running at 217 % of average of the last 26 weeks
Wednesday: liquidity running at 331% of average over the last 26 weeks
Tuesday: liquidity running at 216% of average over the last 26 weeks
Monday: liquidty runing at 227% of average over the last 26 weeks

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).



FGBL:

Thursday (today): liuqidity running at 199 % of average of the last 26 weeks
Wednesday: liquidity running at 253% of average over the last 26 weeks
Tuesday: liquidity running at 156% of average over the last 26 weeks
Monday: liquidty runing at 95% of average over the last 26 weeks

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).



FESX:

Thursday (today): liuqidity running at 265 % of average of the last 26 weeks
Wednesday: liquidity running at 306% of average over the last 26 weeks
Tuesday: liquidity running at 205% of average over the last 26 weeks
Monday: liquidty runing at 193% of average over the last 26 weeks

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).



I conclude that the volume that can be observed this weeks is about 2 times to 3 times higher than normal. This week's volume is actually the highest volume since October 2011. Markets are struck with panic, investors are driven by fear, stocks have lost 10% over the last weeks.

I have not paid attention to market depth, because I am not an order book trader. But I believe that many high frequency traders engage in counter trend trades which only work when the markets stay calm. The algorithms may switch off, when volatility gets too high. Anyhow, I would not call those orders showing in the order book liquidity, but I think those quotes are just something between parasites and freeriders, not reflecting real liquidity.

Reply With Quote
The following 6 users say Thank You to Fat Tails for this post:
 
  #6 (permalink)
Elite Member
Austin, TX
 
Futures Experience: Intermediate
Platform: F-16CM-50
Favorite Futures: JDAM
 
tturner86's Avatar
 
Posts: 5,784 since Sep 2013
Thanks: 9,849 given, 11,160 received
Forum Reputation: Legendary

I think he is confusing volatility with liquidity issues.

Reply With Quote
The following user says Thank You to tturner86 for this post:
 
  #7 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,240 since Jun 2009
Thanks: 29,357 given, 83,238 received

He is only talking about measuring depth, not volume.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
The following 2 users say Thank You to Big Mike for this post:
 
  #8 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,653 since Mar 2010
Thanks: 4,226 given, 25,602 received
Forum Reputation: Legendary


tturner86 View Post
I think he is confusing volatility with liquidity issues.

There are several ways to measure liquidity. I usually only look at volume, as transactions show me whether there are buyers and sellers. Another way of measuring liquidity would be to look at market depth. However, quotes may be cancelled before orders are executed.

During this week, with volatility being relatively high, the order book may have been more widely spread than usual. However, I would not call a market illiquid that shows 200% to 300% of the average volume. It is just possible that some of the usual free riders are scared and stay away.

Reply With Quote
The following 3 users say Thank You to Fat Tails for this post:
 
  #9 (permalink)
Elite Member
Budapest, Hungary
 
Futures Experience: None
Platform: ninjatrader
Favorite Futures: FGBL / FESX / ES / ZN / ZB
 
adamov's Avatar
 
Posts: 84 since Jun 2012
Thanks: 37 given, 48 received

There is a misunderstanding here and the reason of it that we measure and define liquidity in different ways.

this is from invetopedia:
DEFINITION of 'Liquidity'
1. The degree to which an asset or security can be bought or sold in the market without affecting the asset's price. Liquidity is characterized by a high level of trading activity. Assets that can be easily bought or sold are known as liquid assets.

How I interpret this: in a rising market how much sell limit order must be bought at each price level in order to advance price further.
So I measure liqudity by volume at price levels during a period of time instead of only volume.

This is why I prefer range chart.
I attach 2 charts to show how dramatically increased volatility in the last 2 days dut to lack of liquidity.

When I am writing this the average of limit orders in ZN around 400, Monday it was 1700 in the same time..
looks like that the majority of market makers left and that makes markets more noisy and unpredictable.

Still don't know why, and how long will this last.

Attached Thumbnails
liquidity disappeared-zn.jpg   liquidity disappeared-fgbl.jpg  
Reply With Quote
The following 2 users say Thank You to adamov for this post:
 
  #10 (permalink)
Elite Member
Budapest, Hungary
 
Futures Experience: None
Platform: ninjatrader
Favorite Futures: FGBL / FESX / ES / ZN / ZB
 
adamov's Avatar
 
Posts: 84 since Jun 2012
Thanks: 37 given, 48 received


Prepare For Epic Volatility: E-mini Liquidity Is Nonexistant | Zero Hedge

Reply With Quote
The following user says Thank You to adamov for this post:

Reply



futures io > > > liquidity disappeared

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
CL liquidity calitrader The Elite Circle 1 October 11th, 2012 11:24 AM
liquidity arnie78 Emini Index Futures Trading 2 April 17th, 2012 10:17 AM
LIQUIDITY SHOCK tigertrader Traders Hideout 1 November 20th, 2011 02:12 AM
Disappeared indicator !? jtrade NinjaTrader Programming 3 March 1st, 2011 11:59 AM
Liquidity On CL webart The Elite Circle 8 May 20th, 2010 03:29 PM


All times are GMT -4. The time now is 04:45 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-18 in 0.13 seconds with 38 queries on phoenix via your IP 54.221.136.62