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bund futures - intra day trading journal
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bund futures - intra day trading journal

  #231 (permalink)
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5 min confusion

.....or just nothing going on? see chart:

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i sold at blue arrow - my area below this i posted was 65s - that shld have been my realistic target, mistake one. a 27 tick from high to low is hardly a trend day, so looking to add to posn when a retrace into value is more than possible is hasty. and as you see on chart the new HH voided short setups - though on the 15min its still valid selling area. to conclude i really dont know what to do.

and i have just taken 4 ticks loss on scalping when nothing going on. just going to wait now for US open.


Last edited by rosho01; April 7th, 2015 at 08:30 AM.
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  #232 (permalink)
Keab
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rosho01 View Post
Hmm not entirely sure what you mean by people trapped? Arent people always trapped (assuming its trade entry and the total bid/offer amt is hit/lifted in one) as the only way to move the mkt is to exhaust sellers by buying (lifting the offer) to move price up and vv for down? All the delta is showing is that on way up or down when price has been taken at mkt (lifted offers for up/hitting bids for down) when that price flips eg from offer to bid, for example, is that price now hit greater or less than it was lifted, for that time period.......if less than then its positive delta. So the sellers in the offer are trapped short (assuming this was their entry, not hedging etc), unless they puke it and lift the next offer (assuming noone hits the bid they joined to scratch)........which means they are now flat, and not trapped.

In other words not as many ppl were as interested in selling that price once it went from offer to bid, when taken out by mkt orders. Nothing more, nor less.

Pls correct me if I am wrong, or have misunderstood you (esp the trapped bit).

Hi Rosho,
No trading for me today as datafeed issues-yay!

To explain delta to you (or how I see it)-it's best to use someone else's words!
"The Cumulative Delta calculation is Market Buy Orders – Market Sell Orders. If the Cumulative Delta is positive, then we have more aggressive buyers. If it is negative, we have more aggressive sellers. This is the basis of delta analysis."
The whole explanation is here:
Lesson 8 - Practical Use Of Cumulative Delta Charts - Jigsaw Trading

So what CD shows, to me, is the total amount of people who have bought the market above and beyond those who have sold the market. So if volume is showing at 15,000 contracts traded in 15 minutes, and CD is positive showing 3,000, then it shows that there are 3000 more buyers in the market than there were sellers at the market. In the absence of limit orders (oh if only) then it would show 9000 bought at the market, and 6000 people sold.

Obviously, it does not take into account limit orders so does not provide a complete picture. But it most certainly does provide a glimpse behind the curtain of where, and how many, some people are positioned in the market.

In the case of the bund on Friday, it showed lots of people long. But they had got nowhere with their trades, so some/all of them would have had to sell to unwind their positions, and that is what we saw.

I have a great few examples of this on the eurostoxx 50. The red zone on the chart shows where buyers were trapped on last week. Unfortunately, the next day was dead as a trading day (day before Easter) so any expected reaction was pretty much non-existent in the yellow shaded zone where I would be looking for a reaction.

But in that same yellow zone, which is also circled in black, we see a large amount of Delta activity from both the buy and sell side. If price had opened lower today, then the bottom of that price channel would have been my area to look for a short as the green positive delta shows trapped buyers here.

But what actually happened was the market opened higher-those sellers that you see circled in black are trapped. As a result, price retraces down and hits just the top of this area where sellers are trapped and boooom-there you go.

There are two things that I need to make money in these situations. I need to make sure i have the area picked correctly which ensures that I am trading with those who are closing their losing positions and creating the Support/Resistance scenario. And then I need enough like minded people to trade with me (but with bigger accounts-obviously) and to convert the trapped buying/selling bounce (where people are buying/selling TO CLOSE losing positions at a better exit price) but to trade in size to OPEN their positions. This will result in a sizeable move such as this one today.

Once again-delta is not a complete picture by any means. But it still gives a glimpse of numbers of people in the market, and where they are in the market. That's better than anything I've seen so far. Well, for me at least. Hope that makes sense and you've had a good trading day?

Not too sure what's going on with the bund today-quite low volume, maybe an extended easter break-who knows?

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  #233 (permalink)
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Sold 80s


sold 80s paid 82s, saw it go to 73s - 71 bid & then its trading 80s again not long after.

2x11 tick ranges for the last 5 or so hours. if i had taken 5-7 ticks profit on every trade i wld be up reasonable amt. have scratched loads & down 14 ticks for the day. if its more of the same tmrw i am going to look at another mkt for rest of week.

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the PA is so messy round here that i wont be trading til it moves away, not sure if that will happen today, the algos seem happy here.

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  #234 (permalink)
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Hey Rosho, if you're paying for euro data for the BUnd then you should also get the eurostoxx 50 as well so might be worth taking a look. Those are the two markets i trade, although i don't do anywhere near the same amount of trades as you so not sure if monitoring 2 markets would work!

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  #235 (permalink)
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Eurostoxx 50-potentially trapped buyers on delta. Heavy buying-price being held down by unseen limit orders. If that swing low gets beaten significantly I'll be looking to enter short on a retrace into this buying area.

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  #236 (permalink)
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bootsyjam View Post
Hi Rosho,
No trading for me today as datafeed issues-yay!

Hope that makes sense and you've had a good trading day?

Not too sure what's going on with the bund today-quite low volume, maybe an extended easter break-who knows?

hey bootsyjam - cheers for the post, yes thats what i understood it to mean (no mention of anyone getting trapped) - theres just a lot participants wiling to trade at mkt & can explain/represent 'aggressive' moves; & whether price moves with it or not is what you are getting info from. some moves are with high delta though & some with low delta, & generally you can see the delta by just looking at the ladder. when stops are being hit then poss expect high delta. i need to do more work on the footprints to be able to comment much more.

yes agree re the bund, ppl still on hols, i shld have just played the ranges.

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  #237 (permalink)
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bootsyjam View Post
Hey Rosho, if you're paying for euro data for the BUnd then you should also get the eurostoxx 50 as well so might be worth taking a look. Those are the two markets i trade, although i don't do anywhere near the same amount of trades as you so not sure if monitoring 2 markets would work!

yeh looking at eurostoxx also, & snp. and maybe the gilt - thats been moving nicely today.

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  #238 (permalink)
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rosho01 View Post
yeh looking at eurostoxx also, & snp. and maybe the gilt - thats been moving nicely today.

Good idea-think two markets is enough!
As for the delta thing, I know it works for me but fair enough if it doesn't for you

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  #239 (permalink)
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bootsyjam View Post
Good idea-think two markets is enough!
As for the delta thing, I know it works for me but fair enough if it doesn't for you

indeed gd to have different opinions else wld be tedious, mine albeit v ltd with experience using footprint. i find footprint useful when there are icebergs holding price, & to view absorption also. just struggle with delta itself, esp as the bund is majority algos i assume doing a mixture of both.

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  #240 (permalink)
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Done for the day, had to leave office.

-14 ticks for day (8 of these comms).

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