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I don't like NinjaTrader for analyzing this kind of data. I've had a lot of luck with the guys at tradingresearchgroup.com (Emoji tools is affiliated). They use SierraChart. TPO charts + Footprint charts are analyzed.
Can you help answer these questions from other members on NexusFi?
Hey man, I feel your pain, as I was similar. Your ground covered is somewhat similar to mine. Finally gave up futures for the moment on, as I was always a tight stop kind of guy, 6 ticks for a long while, just because I had trouble dealing with accumulating large losses. So I changed up my routine to find a consistently profitable strategy where I could somewhat count on a paycheck! I looked into more forgiving options, i.e. selling 0DTE credit spreads, and happy I did. You not only get the benefit of selling, for some premium (vs. laying out money buying them), but you also get theta decay, which is $$ in your pocket, since the option expires that day! If you are careful, you can make great bank. If I was in your shoes, which I was, that is what Id do! Do a YouTube search on 0DTE options and check it out. I get an 80+% win rate and limit my losses to 1X net (2X - the prem recd); thus it is consistently profitable. The difference from trading futures is that options are more forgiving vs. a stop out, and if you can identify in general, the overall market direction...you can kill it! I picked up Market & Volume Profile along the way so that sure helps when you have the overall market context in mind.
This is such an interesting conundrum because "context" can mean so many different things. Context suggests there is additional information beyond just the basic setup that is necessary for successful trading. Presumably it would be possible for such context to be accounted for in your automated strategy. That might not be true if that context is not visible from historical data though. At that point though one has to wonder if it's the context or the signal that is actually generating the edge.
But with enough memory and time you can use tick replay to backtest these sorts of strategies. I've found some statistical abnormalities, but it's hard to extrapolate much from the data. For starters there's a limit to how far back most data providers will go for that level of data. Mostly only give you 1 year. So it's difficult to know how reliable the signal really is. I also frequently find that the market has already accounted for it in the risk reward. So as soon as you add a stop to the strategy it becomes break even. Some of these abnormalities might not even have anything to do with the order flow. For instance, an unfinished auction means there was a short term reversal there. If the market is turning it can increase the chances of further turns. Hence a higher probability of price later "finishing" the auction. You're picking up on "prices are martingales" more than anything, and hence it doesn't result in a profitable strategy.
In general I'd say it's shaky ground to say "something happened at this price so something will happen here in the future". It basically becomes applying technical analysis to order flow. So you're just recreating the same problems you're trying to get away from.
the most understanding to get from the Price Action, is to understand the correlation between price movement (UP or Down) with the Bar Delta reading (Positive Delta or Negative Delta)
Trading: Futures (stock index and treasuries), Stocks
Posts: 1 since Jun 2021
Thanks Given: 21
Thanks Received: 1
Hey!
Just wanted to throw out a suggestion that's a bit different from what you were asking about footprint charts, but since you're into order flow it's related of course.
First of all, I fully admit that I am not an experienced and profitable futures trader. I used to work as a retail investment advisor and I've been longer-term investing and swing trading for years profitably, and now I'm getting deep into scalping order flow off the DOM, I have a very regimented sim trading/training progression I've put myself onto, and I'm planning to go live soon when I'm feeling very confident about my consistency. I tried scalping the micro eminis for a little while with different charting and technical analysis strategies and was trading live, but I went back on SIM when I got into learning about order flow and the extra volume information it presented. Now I'm focused on trading the ZN (10yr treasury notes) which is a super thick market with lots of order flow information.
I know this is no secret so my apologies if you've already looked into this and feel it isn't for you, but my suggestion is learning about trading off a depth of market platform like jigsaw, and using that instead of charts, along with volume profile. I watched John Grady's youtube videos (no bs day trading) and I've done his basic and intermediate course, as well as drills from the Price Squawk guy (free on his website pricesquawk.com).
I'm just mentioning it because it's in the same order flow vein you're asking about, and I absolutely love it. It definitely fits with my style of trading, which I would not have known on first look. And I find John Grady's teaching has really helped me gain a lot of confidence and clarity. But I like discretional trading rather than mechanical systems and I like scalping super short term moves. I also love doing the drills and gaining a feel for the markets in a way that feels like I'm training a skill like martial arts or sports. I have a degree in psychology and I feel that this style of learning clicks with my understanding of psychology. I can feel consistent progress and growth in my understanding and it feels very under control. I also love how those two guys and even just John Grady provide such a thorough feeling education. Before, I was always kind of doubting whether what I was learning was the right or the best thing to learn, but not anymore. It could be that it's just particularly suited to me, but it seems a lot of other people respect these guys as well. If you haven't looked into it, could be a worthwhile thing to check out as you're defining your order flow tools and methodology. BTW I have absolutely no interest in promoting these guys, I'm just happy I stumbled onto them. Also, if you're in Europe John has a eurex course. He's very in tune with the specific flow of the market he trades.
Now I'm literally going to go watch a John Grady video again to keep baking the info into my head, which I was about to do before checking my email and seeing this thread. :P
One can also trade on NADEX.COM for options on the indices, commodities and currencies. Quite a few different expiries on that site in case anyone would be interested.
Ps. Nadex can be used for hedging your futures position if you are swing trading. I use Nadex to take a longer position on the NQ while scalping (NT*), mostly when there has been an extended morning move and expect a reversal.
