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Is Orderflow An Outdated Concept?

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Is Orderflow An Outdated Concept?

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  #111 (permalink)
sacramento ca us
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thanks for the info

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  #112 (permalink)
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the idea behind the order flow grail is you can use a very small stop .. a few ticks not 4 or 5 points on the ES for example ... sure it can be done its possible. but it takes less time and pain to look for larger targets 12 to 20 points. you also suffer less slippage , commission , over trading , cost of the grail software and training ..ect. ect.

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  #113 (permalink)
Richmond Virginia
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What causes bars like this to sometimes appear out of "nowhere"?
CL 08-20 (15 Second) 2020_06_18 (9_29_51 AM)bigbar

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  #114 (permalink)
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Given the very short time frame of the bars, and the fact that CL usually has a fairly thin book of resting orders, my guess is that a single institutional OTC order caused that sharp a move. It could be a speculator or hedger, but Iím pretty sure a fairly sizable institutional investor probably had an order to fill, was not overly sensitive to price (perhaps a position or risk limit was exceeded and they had to downsize their position), and the order caused the sizable, but very temporary price fluctuation. I usually trade Treasuries, which is a much thicker market than oil, and usually all the longer duration contracts (ZB, UB, TN, ZN) are in very tight correlation, but sometimes I will see one of them quickly move erratically , but quickly correct, and I can tell from the timing of it that itís an institutional order from a customer that doesnít really care that much if they leave ticks ďon the tableĒ.

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  #115 (permalink)
Munich, Germany
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RickW00716 View Post
What causes bars like this to sometimes appear out of "nowhere"?
CL 08-20 (15 Second) 2020_06_18 (9_29_51 AM)bigbar

A combination of factors. The chart pattern just before the break shows wedging / coiling / consolidating price action with a fairly well-defined trend support line. Once this support broke, it likely touched off several stop orders, which simultaneously hit at the market and took out a large number of resting bids. While this happened, market makers who got hit pulled their remaining bids and went offer (basic position and risk management), while range / volatility breakout traders and algos jumped in with their own sell orders just as liquidity was being pulled.

So it was not one large trader slamming the market for several hundred contracts all at once (no one trading that kind of size would do something that silly), it was several traders who were triggered for different reasons within a very short time-period. Actually quite similar to the flash crash, although on a much smaller scale. Happens all the time in crude - so much so that some traders build strategies around just this kind of a move (the range breakout traders alluded to above).

Look at a footprint chart for this move on a small range or reversal bar periodicity and you might glean some further insight.

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June 21, 2020

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