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Online very few resting limit orders in NQ left


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Online very few resting limit orders in NQ left

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  #1 (permalink)
Bellheim Germany
 
Experience: None
Platform: Sierra Chart
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Posts: 11 since Jan 2017
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Hi there...

I'm stitching together a trade plan for NQ.
It involves finding ft71ish interesting prices on daily, marking them up and zoom in to intraday and see what market does at those prices.

I also use number bars (sierra chart) similar to footprint to get a feel if there are traders hitting buy or sell and so on.

Problem is, all my settings are completely off. Or let's say have become useless. I set up my charts last year. I have recorded videos where I see about 1000 resting limit orders in the dom. Today I see in sum about 300 limit orders...

I see, excuse my french, shitty number bars like that from a few minutes ago:


Well ok, I spent a lot of time using replay and trying this or that approach. But seriously, what happened to the market? This is totally different than in october or november last year, when I last traded live.

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  #3 (permalink)
Houston, TX
 
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NQ has dropped over 2.5% today. Liquidity on NQ dries up quickly on crash days like today.

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  #4 (permalink)
Bellheim Germany
 
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I hope it finds back to it's former self.
The irony is that mid last year I switched from ES to NQ because trading ES was a bit like watching paint dry...

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  #5 (permalink)
charlotte nc
 
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The NQ took a big hit today because of some of the underling stocks. Facebook had it's worse day in quite a while over the whole Cambridge Analytica mess. https://qz.com/1232362/facebook-stock-is-down-following-the-cambdrige-analytica-disaster-fb/

Generally speaking when the market moves like it did today, certain types of market making trading algorithms tend to go offline. There is either an oversupply of market orders or an under supply of limit orders on days like today. It's great for trend followers though.

It is tricky to use 2017 as any sort of a baseline because it was perhaps the lowest volatility period we had in years, so there was a serious oversupply of limit orders and a serious under supply of market orders. The market is moving crazy in 18 by comparison, but I would use 15, or 16 as a baseline for normal. Once the 18 market gets back to 15, or 16 levels I would consider it re-balanced. I don't think we will see the market environment from 17 again any time soon.

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  #6 (permalink)
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pema83 View Post
I hope it finds back to it's former self.

That's not going to happen.

Liquidity has become a bit of an absent father, prone to disappearing when you need it most.

But for real, the liquidity you see on a low volatility day is never really there. In an environment like today, you can see more realistically how the structure of market has changed.

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  #7 (permalink)
Bellheim Germany
 
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iantg View Post
I would use 15, or 16 as a baseline for normal. Once the 18 market gets back to 15, or 16 levels I would consider it re-balanced. I don't think we will see the market environment from 17 again any time soon.

Thank you, I will try that!
Unfortunately I won't see a DOM in market replay and I won't be able to decide if market depth history (think of bookmap) will help me with my entries.

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