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Scalping the Bund with orderflow (DOM reading)
Started:October 1st, 2014 (04:40 PM) by nestor2022 Views / Replies:3,939 / 22
Last Reply:October 9th, 2016 (06:48 PM) Attachments:5

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Scalping the Bund with orderflow (DOM reading)

Old October 1st, 2014, 04:40 PM   #1 (permalink)
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paris france
 
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Scalping the Bund with orderflow (DOM reading)

Hello everyone,
Here will be the place for my orderflow reading trades.

First things first, I’m French, not English fluent, so there WILL be language mistakes, mix of words and so on. (and you haven’t heard me yet, because I will post videos. Static DOM explanation is pointless)

I rely almost solely on the DOM to trade (but I do observe longer term price action on my prep). I sim trade the Bund wich is the German 10 year note for 8 month now (now you know what to expect, I’m a beginner). This contract as a temper that suits me : volatile, but not that much. Thin, but not that much. And above all, it has inertia and that’s all need to grab a few ticks (at least try). The mornings are very different from the afternoon in terms of liquidity since in the morning you (U.S. guys) are sleeping. That’s a thing to know.

I use the Jigsaw set of tools (ninjatrader) as my main component but also:
- macro and daily volume profile on a 30mn chart
- cross market analysis (light)

I watch several DOM at the same time: Bund, FESX, FDAX, ZN, 6E, 6J.
I should be watching other European and U.S. bonds contracts, but my demo account has not those live, and I am missing a fourth screen to put them on. I am probably missing a few trades without those, but so be it.

I tend to fade swings on the estimate high probability side (the less resistance side and I’m talking about orderflow). I’m basically trying to spot momentum ignition and ride it a few ticks. Deep pockets WILL move the market when entering. They are just too big for the available liquidity. I’m not. If I can spot the early signs, I can ride that entry wave. They fail? If I’m early enough AND they have moved the market I can still grab a tick or be even. If they succeed? It’s generally a 4 to 8 ticks trade. But that kind of trade requires a little room since it’s often a pullback reversal or a range. So the risk lies in being too early or in being smacked down. No fixed rules here. I’m just trying to weight what people are doing and where they are positioned. If it seems the shorts have weakened (which means some exits to the long side) AND the 2 last pullbacks where 8 ticks deep and the current is at 7 AND a big player just took the offer and bid it, well… time to enter.

I record every session I make (only the main screen). The point is to be able to watch again and again some key elements. I need it too to complete my journal. I take 5 to 20 trades a day and I just can’t be typing while I’m in a position. So i usually reserve a day just to review the sessions i want to analyze. It’s half a day of work for a day of trading.

To be close enough to the combine, I’m resetting my sim mode starting now. And I will respect the combine’s restrictions (except of the contract obviously). I will trade the full 15 contracts size since i’m basically all in / out (and since it’s not big enough to really affect the fill). The commissions are based on the lease license of ninjatrader brokerage.

Due to the extra work needed for this futures.io (formerly BMT) journal (besides real work who puts food on the table), I don’t think I will be able to post more than 10 days of trading in October. I will try to make them count here and try to make a video to explain at least 1 trade a day (Winner or loser).

I will explain my workspace in the 1st video.

Let’s begin… tomorrow

Ps : I know people are arguing about the definition of scalping. That’s just the way I call what I do. Don’t be mad about it.

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Old October 1st, 2014, 04:40 PM   #2 (permalink)
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Old October 1st, 2014, 04:58 PM   #3 (permalink)
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Old October 2nd, 2014, 12:49 PM   #4 (permalink)
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Day 1

This first day is nothing i was expecting. Many things went wrong. So let's begin.
- data problems this morning. I was unable to load yesterday volume profile. so i was missing some my usual references
- i own a tired mouse. sometimes it don't click. (a new one is coming). So my recording didn't launch and i didn't notice it. I can't do my review nor show you something.

Now context :
As you probably know, An ECB press conference and min bid rate annoucement was due today. It made the european morning so slow it was untradable (i was expecting it). Usually i don't trade ECB press conference etheir because it induce too much volatility for my tight stops.

And here lies the first mistakes :
I took a trade before the press conference. It was a goog setup. +5 ticks.

But i wanted a bit more than a single trade to show here. So i traded the press conference. And what should happen happened: I took a full stop loss (that's 8 ticks for me) due to a spike.

Do you recognize this? I should have stoped. I haven't and now i'm down 3 ticks + commissions.
I spent the european afternoon trying to catch a few ticks without too much risk (remember the high volatility? that does'nt make it easy)

and now, i was scared. I missed a lot of entries by waiting too much. Tired of missing entries, i forced a trade that almost became a 2nd full stop finally scratched at +1 ticks, but it should have yield at least 10, if i were not scared.

final results +3 ticks. Time to stop or it won't end well.

Tomorrow is another day. (or not because german banks are closed)

Ps: here is my workspace with the trades of the day. the journal is not fully filled because of the missed record...

Attached Thumbnails
Scalping the Bund with orderflow (DOM reading)-20141002_2.png  
Attached Files
Register to download File Type: xlsx BUND combine sim.xlsx (44.9 KB, 54 views)

Last edited by nestor2022; October 2nd, 2014 at 03:46 PM.
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Old October 7th, 2014, 06:06 AM   #5 (permalink)
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journaling

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Hi Nestor2022

Great job starting a journal. I've traded the Bund outright on sim for a while. I do like it, but if I had a choice I would still spread trade it together with either the Bobl or Shatz. From what I know every 8 ticks is a basis point, and these are key levels that are often turning points. When I traded the Bund outright I wouldn't have an 8 tick stop loss, for me it would be 4 or less. If you follow the Bund prices closely you'll see the 8 tick levels very clearly, which should help you together with your orderflow to anticipate turning points. Either way great job starting your journal, look forward to see more.

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Old October 9th, 2014, 06:24 AM   #6 (permalink)
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Day 2 20141003

-2800Ä
Like in all disaster, there is several separate causes which add up.

- German holiday. The FDAX is closed. Very low liquidity is expected. So I should not be trading at all. Not even watching it because it will be boring. And in days like this, you can easily be GAMED by someone with firepower.
HERE IS THE MOST FUNFAMENTAL MISTAKE, because if I shouldnít be trading, so why am I?
I cannot say ďto make moneyĒ since if I really wanted to make money, this not the day to do it. So I was there for the wrong reasons, and I paid the full price for it.

- So, I am not in the right state of mind. The result is 3 full stops at -8 ticks. I havenít been stopped out in the last 10 days before I began this journal, and now, thatís 4 full stops in 2 days. I need to focus on the right things again. And that lies in CAPITAL PRESERVATION. When I look at my trading journal, I can see that I never cut my losses early today (or yesterday). Here is the second mistake.

- The third is more common and less harmful. Itís simply that I didnít let some winner win enough. I know I have to work on that. Sometimes I get perfect exits, sometimes Iím very early. It just means Iím comfortable with some context and not with others. Thatís a work in progress but not the main one. (Which is cutting losses early enough).

I took a first trade but forgot to modify the quantity and did it with the exit (absolute lack of concentration). So Iím short 12 contracts instead of being flat. That only should have warn me I was not there enough. And then I let someone gamed me on a bottom and took a full stop. I was stuck then, because I wanted it back, and instead of leaving, I stayed.

Does it sound familiar?

Attached Files
Register to download File Type: xlsx BUND combine sim.xlsx (47.9 KB, 37 views)
20141003_afternoon.mp4 (123.04 MB, 249 views)

Last edited by nestor2022; October 9th, 2014 at 09:17 AM.
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Old October 9th, 2014, 02:05 PM   #7 (permalink)
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the video takes a while to launch, but it does.

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Old October 16th, 2014, 10:36 AM   #8 (permalink)
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BenG View Post
Hi Nestor2022

Great job starting a journal. I've traded the Bund outright on sim for a while. I do like it, but if I had a choice I would still spread trade it together with either the Bobl or Shatz. From what I know every 8 ticks is a basis point, and these are key levels that are often turning points. When I traded the Bund outright I wouldn't have an 8 tick stop loss, for me it would be 4 or less. If you follow the Bund prices closely you'll see the 8 tick levels very clearly, which should help you together with your orderflow to anticipate turning points. Either way great job starting your journal, look forward to see more.

hello BenG

I am studying the bund as well. What you mentioned sounds very interesting. Could you explain how to calculate those basis point levels?


Thanks

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Old October 16th, 2014, 11:21 AM   #9 (permalink)
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adamov View Post
hello BenG

I am studying the bund as well. What you mentioned sounds very interesting. Could you explain how to calculate those basis point levels?


Thanks

Hi adamov,

Its not a matter of calculation, just look at a recent chart and look at key levels, then from there take note of all the 8 point different levels. So if you have picked a specific price, from there each level is 8 ticks. When you do this everyday on the Bund it's 8 ticks, the Bobl its 4 ticks and the Shatz its 2 ticks and Euribor its 1 tick for a basis point. I use it for calculating spreads also. These levels will fluctuate a bit, but you can spot them from looking at a recent chart. I hope that helps.

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Old November 12th, 2014, 08:20 AM   #10 (permalink)
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I want to apologize for not having updated this journal.
I have been absorbed in my everyday job in October and it just adds to the fact my techniques are not yet stable enough. this was too early to make a public journal on all this. I need better foundation before confronting my views to others.
I'm going back to drills for now, but i will start this again later...

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