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Soooo lets do a recap. Will try to post all lessons I have written here so far (except the long post that was a big one lesson)
Lesson:
If I want to try trade setup with cum delta, wait for new high or low to be made
Lesson:
Observe ranges! If you want to trade ... do it in sim. Observe ranges and look for high volumes and test of them. Wait and be patient.
Dont be ashamed that you are wrong. If you think you are wrong, better to leave earlier and maybe jump back if you were right
Lesson:
Wait for confirmation or put a tight stop where you know you are wrong for that small trade. It doesnt mean you cant have another opportunity few sec later (like divergence with other swing high/low that established earlier)
For ranges ... JUST WAIT FOR THAT DAMN CONFORMATION! Its better to not trade then loose .... OBSERVE!
Lesson:
Well ... I really want to give myself some lesson here. But im not sure yet. So at least this:
Look for absorption and pulling offers. Try to develop a strategy out of it. Try small with 2 tick targets
Lesson:
Managing trades is as important as trade itself! Managing good trades for nice profit and bad trades for small loss is really important!
Try to look more at book! When you see some funky order flow, observe! Try to learn and distinguish between actioning and absorption and icebergs. When they happen, observe what will happen after. AND DONT FORGET ABOUT CONTEXT
So looking at this it looks like I had problem with confirmations and I was not patient enough.
But it also looks like I got one setup that I can look for and try to learn it. Range breakout. Which is great! Im really glad
Trades I tried:
Range breakout Delta divergence
Iceberg and absorption
Treasuries
Breakouts are great. What I want to try this week is when I see them Ill try them live. No sim for them. I have to learn it!
Ill try to fade ranges as well. Or trade volume profile. HVA and LVA. Will try to look at delta divergence and ices and absorptions. Maybe I can learn some patterns here. For breakouts I mainly use footprint. For range fades or volume support and resistance I will try to look more at DOM. I think there has to be something that can show me what will probably happen. But will try it mainly in sim. Im still not sure what to look for.
Treasuries .... thats sth completely different. I see huge potential in this market. I want to learn DOM here. I want to feel this market. Then I can trade steps in profile and breakouts for in highs and lows. Maybe retracements or ranges. Will see
Thats it for a sum up.
Im looking forward for next week
Well today was really wild. Im done trading. It wasnt a complete disaster, but had my two live trades for a day with 2 looses. I have my new rules and I have to follow them so I turned it off.
So lets start.
ETH no trades. Nothing really looked good for me.
Then RTH started and daaaamn it was wild for me. I just couldnt grab it. We developed a nice volume profile and thought I can maybe fade it. Or play for breakouts out of big HVA. But I missed everything. I was in sim and just trying to catch market's rhythm. I couldnt.
So I switched to ZF and had one nice sim trade:
3 levels of huge bids. More then 3.2k
We took offer and those bods moved up. Interesting
We had huge selling and price didnt move. I get in with long. My target 2 ticks. Got filled in 2 mins ... which is really fast for ZF
Then this developed. I actually missed this one. I tried to switched from sim to live and then missed momentum
We developed this nice HVA
This was low of the session
Nice breakout. I saw momentum and found out Im on sim and I wanted to trade it live. So I switched and missed it
As I missed this one and I didnt want to chase it I observed here. My idea was that we will develope another HVA and we actually did. From this point we get back to initial HVA
Then ZF was slow so I switched to ES. It was very wild and I just could do anything. Then we came to this interesting area of low support.
We already bounced 2 times from this point so I hesitated a little bit here. It could have been a nice breakout to lows as well. In heatmap we can see a huge bid sitting there for a long time. We traded into it first time with small amount of lots (around 25) and bid didnt pull. I had long bias now. We traded second time and we took it with around 300 lots and we immediately bounced. I missed it. Was too slow and I didnt want to chase it.
Some time later we came to the same spot again. But now it was a resistance. We traded below it and we came back for a second time.
So as you can see (red arrow) I went short. I saw nice momentum and was like I just cant miss another nice trade. So I went in. Well .. I got stopped. We traded 3 ticks in my favour and I was like YEAH! Finally! It came to my price and I wasnt really worried. But then boom and I was out.
Then this happened:
Some time later we traded higher. There was this huge momentum upwards into 4150.25. Then there was this INSANE amount of selling. More then 2k contracts were sold into 4150. But price held. WTH was this? Was this some kind of absorption? Algos magic? I was so confused. It happen so quickly that I can observe just from this picture. So we traded into 50.25. On 50 suddenly huge bid appeared. Dont know how huge it was, but we traded 2k lots into it to finally break it. Then we traded just few ticks below and we jumped back into that lvl.
So ... I did this:
We came back to 50.25 and bounced back to 49. From there back to 50.25 but slightly higher and we started chopping. In my head this was a great place for long. I thought that buyers are holding this zone and just absorbed 2k lots and we will jump into moon. So I went long. We traded few ticks higher really slowly and then back to my price. I should have scratched it in this point but I didnt. Then sudden momentum and I got stopped out.
So ... today was wild and I just couldnt do anything. Had some ideas but either missed it or got stopped. But Have a nice lesson here:
Lesson:
Work on trade management. Having stop orders is nice, but if Im expecting a momentum and there is no momentum, just scratch the trade! Or take one tick winner or looser. If that momentum will come in few seconds, do another trade. If not, you wont loose.
But this is really hard! Its much easier to do it in treasuries. But Im here to learn. So learn it damn!
I found out a gold on YT. His name is Fat Cat. He trades order flow. He has some excellent videos. He has this series about learning orderflow and DOM trading and he suggested this one tick drill. Take just one tick winners or try to scratch trade for break even. Do at least 20 trades a day for a month.
I think purpose of this is to develop a skill for reading DOM and where can market go in next few seconds. So when you have your strategy and looking for entry point, this might really help. And maybe even more importantly to develop a skill for going out from bad trades with as low damage as possible. I will try it next few days
EDIT:
I couldnt resist and opened sierra one more time to have just a look what was going on today. It looks like If I took those missed trades, if I would jump on momentum even on not the best entry price, I would gain some nice profits. This usually never worked for me. But today it was really volatile and this could work. So I will make a note here for future studies
I made a nice LIVE trade today and I couldnt be more happier. I actually did 2. With first one I got stopped really quickly, but I immediately went in second time and got really nice trade! I will post it here in a sec. But before that ... some WTH time
Huge move down in about 20+ points ... yes ... points. ETH was wild
Zoomed in little bit here to this section
See this? Huge absorption. I underlined it also in footprint
As you can see. It was a bigger player. My tape has filter for 20+ volume. Its set up for RTH for mid players (got 90+ for big ones) And all those selling (and absorption) was done in bigger chunks
I didnt know what to do, so I observed
Then this happened:
We trader back to absorption zone and we traded little bit above. Immediately HUGE bid popped up. I was like damn thats weird. Some trickery is going on. That has to be a spoof order.
We traded into it. Just 90 contracts and bid disappeared. But it appeared few ticks below I was like well ... what will happen now
It happened again. Now we traded into it little bit more and it again showed up few ticks below. But now closer to original price. We traded there again but this time it stayed and we bounced.
Was this done by guy who was selling before or who was absorbing before? Somehow tricked market with spoof orders that were actually then real? Who can explain I really wanna know what happened here.
But I watched this price from that point
RTH session and my greatest trade that I ever had
But before ... I wanna discuss this:
I was done live and jumped back to sim. (my rules ... will talk about that in a sec)
Huge bid again after traded above 4145.00. We traded huuge into that but price didnt move. I went long
Momentum was lost so I get out
We traded below that absorption so I tried short with like 2 tick tight stop
Momentum lost, I was out
WTH?!??! This happens from time to time ... Somebody just boought like 10 prices at once. But it was 1-10 lots accoridng to my tape (not visible here)
Again huge selling into 4145. Huge bid and huge absorption.
I also attached a tape here, but is really long so I wont embed it into text
And it happened again:
We traded into 4140. Remember that price from ETH? We had momentum down, so I went short after test of that price
In this point somebody again bought like 10 prices with small lots
My stop was here ... was trailing down because we had nice momentum
But that bying was so quick that even Sierra got tricked and I was out in this price and not on my stop
So what is this? It happens from time to time. This huge buying or selling. But with really small lots. Are those big players? Institutions?
LIVE TRADE
Back to live trade it happened before all these sim trades I showed you
Zone of big offers sitting there for long time. Somebody tried to buy more then 2k lots there but it got absorbed. I went short immediately. It either bounce a liitle or we will have nice down move
Had a tight stop for 4 ticks. Price jumped into my stop precisely at a tick and jumped right back to that zone I was like damn!!!
But there was no momentum upwards ... Still looked like it will go down ... So I went short second time
Great! it went down. Nice momentum. We chopped a bit here and I was so nervous. My hand was sitting on my target stop to move it there, but I waited, because momentum was still nice
I knew that we can go at least to this price. Looked at volume profile and there was this edge. I anyway moved my target even lover and decided to move my stop closer to price. As soon as I saw moemntum started to loosen up I moved my stop there end exited
Im so proud of myself now!!! I didnt panic at forst throw out and still had my bias and I saw momentum and did a good trade. My rules are: -25$ or +25$ max 2 trades live a day. Well ... that was second trade. Thats why I went back to sim. Where btw I did another good 3 trades.
Well thats it for today.
Lesson:
Well ... not a real lesson for today. But observe all kind of absorptions. In ETH we had one that was developing for longer time. In RTH there are many absorptions. Some of them are huge. Observe them more! There might be a pattern.
Also observe volume profile. Volume can show us support and resistance. There are patterns how to trade developing volume profiles. Also small ones for a scalps. It can be applied maybe to a range fade. I know there are patterns. Also for breakouts. Need to find out more and then look for those patterns
"So what is this? It happens from time to time. This huge buying or selling. But with really small lots. Are those big players? Institutions?"
It's the spoofing you talking about? It's happens everyday?
Of course it's big players 'legitimately' doing this, trapping us retail traders everyday, every time. It's part of the game!
Have you noticed despite ES earning the title of one of the most traded liquid instruments, it's getting worse and worse everyday with these kinds of bull%$%$ false moves and breakouts?
It does happen everyday. So I have a question now. Can we somehow utilised this? Or just wait and dont trade at all if I see this. Or that is really high end trading strategy
Oh and btw, Im trading MES, but on ES charts and DOM. Sierra has this feature, you can put trades on ES DOM and chart and it will go to MES. Is this still relevant? I still have MES DOM open, just to confirm my trades are going there and Im not accidentally putting ES trades and looking at MES DOM there were no huge orders on those prices.
I couldnt trade much today. Was away during most of RTH
But I got few observations and I love observations looks like that is the only thing Im good at rn Hopefully I will create sth out of these observations
So again some absorbing or iceberg
So I saw this iceberg here. Or absorption. Its the same thing for me I guess. So nice selling and price didnt move. On tape you can see 20+ lots in left and on thop that is combined for 100+ lots
I went long ... But there was no momentum so I was able to strach it
Initial absorbing
Second absorbing, but we moved through. There was huge selling
So we moved back to initial absorbing zone. Went long. No momentum so I scratched
Nice momentum down so I changed my mind and went short. I thought that well we tried break that zone long but it didnt so this move can actually be big. Maybe even to low of the day
Holding also because delta divergence looked awesome.
It moved to my price so I scratched again
Well ... there was iceberg on bid side. No big moves there. There could be a trade for 1-2 points .... I mean ... I will take it everyday But I expected long and short. I guess trade a momentum here? Will see OBSERVING PHASE
But then I observed very nice thing! This actually can develop into a proper strategy if I can observe it more
I faded High of the day. I just had this feeling. There was nothing on tape. Momentum looked nice, but not strong. Also I put my stop to VPOC of that HVN and we ended up right there
But this was more interesting ... We started to trade above POC. Then we tested high of HVN and then I saw some bigger players buying. And that was a real momentum. This looked strong and it was and we broke it
Tape showing 20+ lots and not singles. So bigger players traded there and wanted to push price higher
So let write some lesson now:
Lesson:
Icebergs and or absorption has to have momentum for a nice move. Observe it more, but momentum can play a big role here Breakouts from range or HVN are more probable with big players. I guess Look more at tape at these zones of probable breakouts or fades
Cumulative Volume Delta
Are there any setups? Or its just lacking indicator.
Look at this:
Price went down. We had lower high. But Delta went up with higher high
Now we had lower low with price and higher low with delta
So .... how to look at this? There definitely was a divergence. But How to look at this? Should we establish a trend? Like in up trend we should look at highs and in downtrend to lows? Or it doesnt matter? Should we look at higher timeframe or any? And .... ok ... heres the thing. Imagine we are getting higher high with price, but delta is not following. Like obvious divergence. But ... where is the end of that move? What if we just suddenly jump into moon and delta will follow.
I found great article and nice picture I wanna share here (hope its not a problem, but that blog is free)
Its from tradingriot com. Very nice blog.
In this picture we see absorption and exhaustion. But there should be a trend. But it should be in bigger trend? Or maybe just a small trend?
I tried 2 trades:
Price going down, delta up
I saw nice buying ... I thought this might be bottom and we maybe bounce. My target was high of that HVN, but I panicked in middle
So we made another lower low, but delta went up again. I waited for a small up momentum and tried to hold it to high of HVN.
I took 1 tick win ... we bounced and went to my entry so I was out
Well .. I jumped from ES to treasuries, because I still wanna learn them so Im observing them as much as possible
And this was really interesting. This was a prime example of absorption.
Big down move. And here we traded more then 5k lots into bid. 8k lots it total
We broke that level with 831 lots. But it was so quick that my heatmap didnt even updated so buyers moved it back to 124 even in split f a second. So this was like a barrier
From that point we just move up. I was expecting at least a bounce, but nice reverse ... but now I saw like a prime example how buyers just stood there. If we stopped at that price and chop around ... that is happening all the time. Now I could really feel up momentum
Sooooo lesson Lesson:
Well ... what to do with delta divergence? I dont think it can be traded just like that alone. It might help in some cases, but just help. I have to lean on other things and maybe confirm it with delta divergence?
Treasuries are really slow ... big moves has real momentum and absorption is really feel-able
I could trade much on friday nor today. I wasnt even home during weekend. But I was watching some fat cat videos (fat cat trader ... I dont have any weird fetish) and I really like his style. Volume profile orderflow trading. I like volume profile. I think it has huge meaning. But its very new for me.
So I was thinking, because Im in a state where I find sth new which is exiting and it might work and I start to look just on that new thing and its obviously not working for me. So I want to write about it and write myself a lesson here. Because it is just so easy to look at volume profile as a holy grail and ruin everything that Ive already learned.
So I cant! I will write this here so I can then look on volume profile and add it to what I already know. Like: watch VP during range breakouts. Watch VP with range fades. Watch VP and absorbing. Maybe they have sth in common. I bet they do! I just need to find it. Boy this is nice lesson ... I will copy paste this in the end of this post.
So after weekend away and noot looking at any charts I tried only VP trades today. I still cant see any setups, but I know HVN and LVN can create support and resistant. And that VP ... or better ... HVN are created because price is in balance. When in balance, we are in range. Aha! sth in common. So breakouts and fades can be somehow applied to VP and HVN and LVN.
So lets have a look on this:
This was during ETH. And it was painfully slow as ETH can be
Range we established
Hmmm how convenient... low of range at LVN ... support?
We traded under. Like a test .. it was to slow to be a breakout
I was thinking, that this LVN can act as a resistant now. So I tried several shorts and put my stops at the high of LVN. Well ... we didnt trade back to range, but I got stopped. Maybe its not precise on on tick. Maybe I should look at it as a zone ... but then where to know Im on wrong side?
I panicked (even I was in sim) and stepped away from trade
My initial target. It was previous close (I think ... or some other kinda important zone from friday)
Well ... my bias was good. I was right. But I could see if im wrong. Where to put stops? Or it will be just feeling?
LVN from overnight session. We had momentum and I thought we would just blast through it. I went long
Ther was this HVN here ... just one price. And now looking at picture I dont know why I was thinking this can go higher. It was obvious resistant
I had different think in mind. I wanted to try fade a range. I was still long biased. So I thought I can fade range and maybe catch a bigger ride. It went 2 ticks against me and I wanted too go out, but I misclicked ... But we went higher. We went higher then LVN and actually ... as Im looking at it rn. We went into POC of HVN that was above that LVN
We traded into LVN. I panicked. But ... funny ... because I can see it now and I could before. Now that LVN really act as a support. We just traded higher and we tested it.
See this edge? Resistant for HVN range we established later.
This is soooo great!!! As Im writing this I just noticed stuff that I couldnt see before. That is so awesome!
So ... HVN and LVN do act as a support and resistant. But I guess its not precisely on tick perfect. Maybe like a zone? I dont know yet.
But as I said with my breakout trades ... wait for confirmation ... maybe confirmation of support or resistant is when we trade through and we test it and bounce ... like in point 4 here in last picture.
I have to observe more ... But with VP I think some nice scalps are possible and also nice runners If I will be able to see bigger picture. Like yesterday's volume profile and you know ... TPO? But that is too much for now ... have to keep it slow and simple and slowly build my skills ... damn im still in sim
So observe this!!! and now ... copy pasted lesson:
Lesson:
Watch VP during range breakouts. Watch VP with range fades. Watch VP and absorbing. Maybe they have sth in common. I bet they do! I just need to find it. HVN and LVN can act as support and resistant ... watch closely for retests from other side when we trade through
And only nerds can trade that. 
Lets beat those huge institutions in their own game!