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Learning to trade the ES using volume profiling


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Learning to trade the ES using volume profiling

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  #121 (permalink)
Rio de Janeiro, Brazil
 
Experience: Beginner
Platform: SC, S5T
Trading: Es
 
Posts: 617 since Jan 2013
Thanks: 321 given, 589 received

Economic data: claims

ON Profile: We have an interesting double distribution profile to look at this morning. Yesterday's LVN at 1518.25 capped the upside to the tick (albeit leaving a poor hi behind) while some apparent bad GDP data out of europe sent spoos below yesterdays low and thru the 1510.75 CLVN by 3 ticks. Buyers responded to those prices and we are now back knocking on the door to the upper balance area after a decent claims report. We have higher than normal volume so far (273k vs ~180 normal-total guess on that btw)



After yesterdays strong rejection of 13 level, I didnt expect an overnight test of the 10.75 CLVN. But we got it and spoos bounced 5 handles off it. I'm expecting an OAIR rotational day with upside bias but keeping my eyes open to a potential trend day down if volume remains heavy and sellers step up. How buyers react to 13 and 11 levels will determine it. If they can't hold then I expect exploration down to 05, 2.75 and 98.75. If buyers step up again then first battle is 18.25 and then yesterdays hi.

Levels Above: 1518.25 LVN/ONHI*, 1522 pHi

Levels Below: 1513.25 mc vpoc, 1510.75 CLVN*, 1505 mc vpoc, 1502.75 CHVN, 1498.75 CLVN*

Hypo#1- Spoos open OAIR below value and sellers make first push lower, perhaps to 1510.75 CLVN where buyers step in and auction higher thru the day.

Hypo#2- Spoos open OAIR below value and auction lower and fail at 1510.75 CLVN encouraging a more aggressive seller to step in seeking out prior fair value at 1505 and lower.

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  #122 (permalink)
San Diego California
 
Experience: None
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Profiler View Post
Until last year when some new algos took my edge away. Over 3 months my steady profits dwindled to nothing and after losing 8g's the first week of april i just walked away.

what markets were you trading in?

could you please tell me what date it was that you lost your edge?

as i am wondering if it is something that i have been just started to research, order matching algorithm.

it is possible that the exchange updated it's order matching algorithm, and that it was not a trading algo at all.

which would mean that the info you used is still there it's just changed it form a bit.

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  #123 (permalink)
Rio de Janeiro, Brazil
 
Experience: Beginner
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Trading: Es
 
Posts: 617 since Jan 2013
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i lost it over xmas break 2011, in FESX. Eurex updates their engines in november so this was clearly a new algo and they waited for xmas break, usually a slow week, to deploy it. then over next 3 months they gradually tightened it which is when i walked away.

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  #124 (permalink)
San Diego California
 
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Posts: 145 since Apr 2011
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I thought so, it was the exchanges order matching algorithm that killed your edge. bummer

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  #125 (permalink)
San Diego California
 
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have you looked into other exchanges to see if you read the their tape?

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  #126 (permalink)
Rio de Janeiro, Brazil
 
Experience: Beginner
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Trading: Es
 
Posts: 617 since Jan 2013
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1. Sold 1518.25 LVN/ONHI on 3.5 pt move. Breadth +27 and tick +458. Breadth trending higher all day, tick mostly positive but not excessive. Scaled after 28 min and .5 MA. No second scale given




Recap
Spoos opened out of range today with kind of an OTD or ORR open type and went right to the 1510.75 CLVN to the tick before reversing. Man I wish it would have gone 1 tick through so I could have been filled, what a cherry set up. It quickly re-entered previous day's range and never tick below it again. As expected it grinded higher through the day, stopping at the 18.25 LVN from yesterday before making new highs and selling off a bit into the close. Value area just slightly overlapping higher and vpoc just a pt higher. For the second day in a row price closed at vpoc. Volume once again bush. Profile shape looks pretty toothy again. The MP profile looks very p-shaped indicating short covering which could make sense as sellers have just not been able to get anything going last 2 days. The sell off yesterday was bought and then they had another chance today with the gap down and completely blew it. The fact we didn't close on highs means to me that bulls are tired/indecisive. The ball is still firmly in their hands though. Todays action doesn't change the MC at all, just fills in the upper end a little bit. MC vpoc still remains at 1513.25.

I am disappointed with my trading today. Only 1 trade, thats just not going to cut it. Could have been a really good day if I had been filled on my bids but I wasn't. It all relates to me not knowing when to pay up or not. Since I don't know how aggressive to be I just work my bids to the tick and if no fill then I am just stuck watching. Any pb could have been bought today and made money. Vwap provided all the support in the world today but you had to frontrun it by 2 ticks because otherwise you weren't filled.

In other news, checking the S5T chatroom logs today I see my blog was talked about this morning! I suspected the cat would be let out of the bag at some point.

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  #127 (permalink)
Michigan, Jackson
 
Experience: Intermediate
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Profiler,

What is the S5T chat room?

Your end of day reads are very helpful. Adding more knowledge and tools to my arsenal.

Ken

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  #128 (permalink)
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  #129 (permalink)
Michigan, Jackson
 
Experience: Intermediate
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Thank you, Mike. Ahh ... FT71. I recently listened to a pre-recorded Webinar by him. Great guy so willing to help the retail traders. God bless him.

Ken

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  #130 (permalink)
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COTtrader View Post
Thank you, Mike. Ahh ... FT71. I recently listened to a pre-recorded Webinar by him. Great guy so willing to help the retail traders. God bless him.

Ken

There are multiple FT71 webinars on futures.io (formerly BMT), highly recommended. He's back for another one March 7th.



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