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Liquidity 'flipping'
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Liquidity 'flipping'

  #21 (permalink)
Market Wizard
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Zefi View Post
One important thing to note is, its not so much how the order book is reacting as to where the market may go, but where and how much trading takes place that really determines the outcome. I do hear a lot people who try to judge the direction based on how many limit orders there are on bid vs the ask and this isn't a credible strategy to trade from or even use as conformationally information for signal given from technical/profile analysis.

Of course. My question wasn't so much rooted in the belief that the resting orders can really help judge which way the market might be going - I do believe it's the volume of contracts traded that's definitely more important. Facts trump stated intentions every time in my book - No, it's more a question of what might be happening at a particular point in time that intrigued me and what - if anything - could possibly be gained by that kind of gamesmanship, and I think you've answered it below.



Zefi View Post
From looking at the videos these seem to be at a time when there is very little market participants around and HFT algos operating on the bid/ask at a range high/low and simply attempting to judge from how many people are with them on the bid or offer, joining the majority to either break the range or fade the range. This is pretty common in a low volume/volatility late in the session environment. As a profile scalper I personally wouldn't trade at all after 9:30am BST on a low volume/volatility day that lacks any pertinent fundamentals. You are literally up against the robots then and you won't win.

I'm pretty sure I've seen this kind of stuff go on at most times of the day, low volume, high volume and so on. But it feels like what you say makes sense about algos trying to work out how much participation there might be and perhaps enticing people to join them one way or the other.

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  #22 (permalink)
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xplorer View Post
Of course. My question wasn't so much rooted in the belief that the resting orders can really help judge which way the market might be going - I do believe it's the volume of contracts traded that's definitely more important. Facts trump stated intentions every time in my book - No, it's more a question of what might be happening at a particular point in time that intrigued me and what - if anything - could possibly be gained by that kind of gamesmanship, and I think you've answered it below.

Sorry if I sounded a bit presumptuous, that wasn't intended. I think your inquisition is valid as sometimes just before a high low or volume step is broken you'll get a large order hitting the side about to break that will instantly shift a lot of algo orders onto the other side of the book. I don't trade that way as the Eurostoxx tends to have a lot of 3/4 tick shake outs before the break however if you were trading something like the ZN as it's a much thicker product, then you could hit in at market and hoping for real liquidity behind your order to get the break and the impending stop run.

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  #23 (permalink)
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Zefi View Post
Sorry if I sounded a bit presumptuous, that wasn't intended. I think your inquisition is valid as sometimes just before a high low or volume step is broken you'll get a large order hitting the side about to break that will instantly shift a lot of algo orders onto the other side of the book. I don't trade that way as the Eurostoxx tends to have a lot of 3/4 tick shake outs before the break however if you were trading something like the ZN as it's a much thicker product, then you could hit in at market and hoping for real liquidity behind your order to get the break and the impending stop run.

No problem Zefi, you did not sound presumptuous at all - at the end we're all here to learn and I'm first in the queue

You appear to have an insight on EuroStoxx - is it the product you trade the most, may I ask?

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  #24 (permalink)
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xplorer View Post
No problem Zefi, you did not sound presumptuous at all - at the end we're all here to learn and I'm first in the queue

You appear to have an insight on EuroStoxx - is it the product you trade the most, may I ask?


Yeah it is. I love the liquidity of it as it allows me be selective at trade locations and limit my risk to 2/3 ticks.

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