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@nirvikalpasamadhi very interesting & thnx for sharing. however like yr nickname. Seems from yr posts u have attained that state in your trading. Cheers n best
I do not trade NQ/YM...ES strictly at this point. However will follow along.
what are the purple magenta markers on your candle sticks. Do you extrapolate certain events/volume,etc from your ladder to charts?
either ways you are not using any exotic 3rd party candles/charts ...& showing 2Min charts is what i like. As and when you get into methodologies will be interesting.
hi there, yeah, these markers are volume/orderflow interpretation of one sided auction - not particulary crucial, could be without them.
the metodologies will follow. to put it simply, there are some orderflow patterns that preceeds the prices change. currently i have like 10 different entry schemes which are applicable for timing entry. in my viewpoint, timing enrty is absolutelly critical in modern hft markets.
basically, i try to understand two things: (1) how does price react to particular volume and (2) how does volume react to particular price. when i talk about volume, i mean both "new" volume comming into market as flow of orders (possitions opening) and "old" volume in the form of stoplosess of weak retail traders.
the last two days vere quite complicated to read, but anyway, the market behaves in quite a logical way i would say.
the blog i was reffereing to is the one i have in my profile...
btw which ladder are you using?...is it home grown and do you have filters or can trigger audio and or conditions using the ladder from Level2 data/quotes, etc
what you are referring to are basically Order flow signatures. will be very enlightening to see what you have to say. Am also wondering when you say you use some of this as timing tools... ...Do you also refer to T&S transaction intensities or Limit Book/order intensities..etc. Either ways I think people can glean into whatever you share. And since am guessing many of the tools/methods you use to detect the OF signatures...these must be developed and tested by you.
i use normal price ladder - depth of market which is implemented in sierrachart. i dont use any alerts, nor visual neither audio,.. or anything like this. depth of market is good but problematic tool to use, because the liquidity can be fake.
i filter the market/stop orders on times and sales according to the volume the active market order match with the passive limit order side. it allows me to interpret some phenomena, eg. "smart" algorithmic activity, huge limit side wall protecting price or some other.. these are usefull to know. then i can try to assess whose this activities belong to, which market subject (fonds/banks/market makers etc..).
it goes hand in hand with the limit book you ask about, which is something you can basically see as the depthh of market. it is very important to understand how limit side quoting the price works, because everything stars here in fact. as i said, the liquidity provided on dom doesnt need to be real (and sometimes is really not) - it is a market making strategy (which of course can be used by other market subject, not only market makers). for intraday traders i would sa it is crucial to know where and how it opens its possitions, in which volume, where is the liquidity it needs to rebalance its risk etc.of course it will always be a gauge only, nothing precise, but it is crucial to understand that market maker is the only subect in the market that (1) has the same risk as intraday traders and (2) is long term profitable . it opens its possitions (only) with limit orders and thus can be traced
limis are never aggresive, they are the passive side of market auction. on footprint charts you can easily see which side prevails and if the market auction is balanced or imbalanced.
generally speaking, the more the imbalanced the actual market auction is, the higher the probability of price reversal. i will post a screen if i find some..
when it comes to my trading style - i would not say i am a scalper, i go for profit about 10-12 ticks (first part of the possitin to make risk-free state) the second part of possition i close at double (about 20-25 ticks), sometimes i try to trail little bit more. but the second part of position is something like a bonus.. what i focus on is the rotation to hit the first target (10-12 ticks).
scalpers go for 3-4 ticks as far as i know. i dont do that.
thanks for your inputs. However that is not true. Limits are equally if not can be more aggressive than Market Orders. Limits could be passive or aggressive. Limit Order aggressiveness is determined by the rate at which they arrive or cancelled. It is also with Limit order that (Hidden Liquidity is refreshed...aka iceberg or hidden Limits)
thnx for your discussions and sharing. And what you state may well serve your trading style.
However since many read these posts and hoping some contribute. Wanted to point out that Limits are not solely passive when it comes to discussions revolving LOB.
