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Order Flow Analytics' D.B. Vaello (President) - Ask Me Anything (AMA)
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Order Flow Analytics' D.B. Vaello (President) - Ask Me Anything (AMA)

  #41 (permalink)
 Vendor: orderflowanalytics.com 
San Antonio, TX, USA
 
Futures Experience: Advanced
Platform: OFA, Ninja, eSignal, R-Trader
Broker/Data: Dorman/ZenFire + IQfeed + eSignal
Favorite Futures: ES, 6E, 6B
 
OrderFlowAnalytics's Avatar
 
Posts: 53 since Dec 2010
Thanks: 17 given, 75 received


artemiso View Post
Thanks. What I don't like about C# (I'm guessing?) is that the data visualization tools are rather weak. I saw some of the screenshots on your site and would recommend a graphing library. In the long run, $750-1500~/year is cheap compared to the time it takes to work with low-level, probably less performant/visually appealing/stable code. Back offices of .NET shops like GMO, JPM all use some kind of commercial library.

I totally agree and I doubt we'll ever continue with .Net in future builds for a variety of reasons. OFA was originally built on a budget specifically for me, not designed to be a commercial tool but to solve a problem I found with the current capacity of existing applications and their lawyers. I never thought it would be a commercial application and never dreamed of dealing with support, requests or trying to explain the logic to other people. Hard to say where I got off track but at some point I started helping people and then realized how insane and unappreciative people can be when you give them your time for free. At some point they want more from you than you can justify and then the vendor-turd moment happens. That's when "how it looks" becomes more important than "how it works" because you have to start listening to the people that pay you. Yep. I know how that sounds.

The sale of my soul to the devil aside, we've taken a different path moving forward... We've learned a lot over the last 5 years with custom integration into professional systems (who are much less dramatic to work with than the average retail trader). We'd like to bring that functionality and customization to the retail side - but it comes with a price. Most retail traders have never walked into the trading rooms of energy companies - they would probably expect a Hollywood set with amazing technology and incredible visualizations. Sad to say you will see a lot of Excel and crappy graphics. Sometimes simple is just better. Less people to call and complain to when things go wrong. With OFA the buck stops with us. We'll solve your problems because you are our customer - even if we have to deal with your 10 other vendors to make it all work. If anyone has ever worked with IQfeed support, you know what I mean. They assume it is their responsibility to fix the problem regardless of the components. We're the same way. Not a support forum and we'll get back to you deal. I personally do remote access sessions and solve problems.

You'll see some interesting new things from us in the coming weeks and even more by year's end. I doubt we'll ever have the sharp retail look that most expect and desire these days - but we will always focus on the data and how to make the most logical sense out of it.

Thanks for the input - it's always appreciated and taken into consideration. If you'd like to discuss ideas or possible directions please don't hesitate to PM me.

DB

If you have any questions about the products or services provided by Order Flow Analytics, please send me a Private Message or use the BMT "Ask Me Anything" thread.
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  #42 (permalink)
Elite Member
Salt Lake City, UT
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Dormans/Zen-fire
Favorite Futures: 6E ES YM
 
Posts: 233 since Mar 2010
Thanks: 46 given, 321 received

My definition of order flow is based on a measure and or analysis of trades at the bid or ask. Wonder if you would be so kind as to comment on my craziness…

I track the aggressor trader, many times the “herd “. This may or may not be the traders who are in control, which is what I refer to as the right side of the market or “smart money”. I want to be on the right side of the market. I categorize trades at the ask as buys and trades at the bid are as sells – simply a way to consistently quantify who’s who - namely who is the aggressor. I read somewhere that it is a market fact limit orders cannot be filled by other limit orders. All limit orders must be filled by a market orders, it’s how the market works. Thus, if a buy limit order is triggered, the aggressor was a seller. To further reinforce this concept, what type market order is filled at the bid? A sell market order is filled at the bid. Also keep in mind that stop orders become market orders when hit.

Watching bid and ask ratios and applying their possible meaning to market context provides an edge. For example, at the bottom of a downward thrust one typically sees an increase in volume or trades. Did the orders occur mostly at the bid or at the ask? How is price responding? Are the aggressive bids being instantly filled or are the sellers met with buyers without pace? Or, is price bobbing up and down, like a bobber while fishing? Did the substantial pickup in bid trades cause price to go down or up? Was price at this location recently and if so how did it react? These informational items are the edge that order flow provides, aiding in my decision making process as a scalper. Then and only then, and after hours and hours and hours, and even more hours, of live chart time does this information provide a “feel” of things. I don’t think it’s complex, just a lot of things to consider in an instant.

It’s also very interesting to see where most of the volume occurs on a bar, such as a 5 tick range bar. Let’s you know where some traders are.. who may or may not be on the right side of the market. I sure do like to “help” those unfortunate soles who find themselves on the wrong side of the market exit their positions.

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  #43 (permalink)
The Narrow Road
Belgium
 
Futures Experience: Intermediate
Platform: Ninjatrader
Broker/Data: Ninjatrader Brokerage, CQG
Favorite Futures: FDAX, FDXM ...maybe
 
podski's Avatar
 
Posts: 379 since Sep 2012
Thanks: 443 given, 457 received

Demo - Practical Application


Hi DB,

I'm sure you have this kind of thing ready but if you don't it would be very useful. Can you post a PPT or PDF with the answers to the following types of questions and general info.

1. Intro to Order Flow Analytics (the theory .. not the company .. yet)
- historical background
- basics of how the analysis is done
- Key useful information that is revealed by OFA

2. How to trade with it
- general ideas and applications of the concepts
- types of decisions that will be supported by OFA data (i.e. when do traders turn to this information .. )

3. Your Company Briefly
- why you think you have been offered a spot on futures.io (formerly BMT)
- your offer to retail traders
- price list
This sort of compact package will help us focus on who you are and what you do - as opposed to anything else.

Following this I'm sure that any requests for webinars can be based on a solid intro. So far I'm afraid that your message is a bit lost on me.

regards

podski

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  #44 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,041 since Jun 2009
Thanks: 29,184 given, 82,303 received

The AMA session is open now:
https://www3.gotomeeting.com/register/362893990

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

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  #45 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,041 since Jun 2009
Thanks: 29,184 given, 82,303 received

I want to thank DB for his time today especially given his family emergency. Due to the emergency he was on a remote computer and unable to share video, but we did get a lot of questions answered by audio.

Attached is the recording of the event. We'll do it again

I also want to remind everyone that Order Flow Analytics has a full blown webinar on futures.io (formerly BMT) on April 4th.

These Ask Me Anything sessions are designed to be quick and casual, capped at 30 minutes and with no formal prepared presentation. The goal is to answer questions from members.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Attached Files
ama-ofa.flv (28.54 MB, 360 views)
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  #46 (permalink)
Elite Member
Chicago Illinois USA
 
Futures Experience: Advanced
Platform: Ninja Trader
Broker/Data: IB
Favorite Futures: duh hammer!
 
wldman's Avatar
 
Posts: 2,057 since Aug 2011
Thanks: 966 given, 2,587 received

I want to add..

to what Mike said by noting that anytime a guy says he doesn't know...in DB's case..."doesn't have any idea", that is a guy you need to pay attention to. ESPECIALLY true in a situation where there is a product or idea on the line. This is a person of integrity. What he has to say is now something that I need to hear simply because of the I don't know response. When someone says that, listen to what they do have a degree of certainty on and you will increase your knowledge for sure. DB

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  #47 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,041 since Jun 2009
Thanks: 29,184 given, 82,303 received

What did everyone think of the AMA session?

If you did not get your question answered in the AMA due to the 30-minute limit, ask it here in the thread.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

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  #48 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,041 since Jun 2009
Thanks: 29,184 given, 82,303 received

Looking for feedback on our first AMA live session. Over 100 people attended and many downloaded the recording, please take a second and give feedback.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

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  #49 (permalink)
Banned: trolling
NYC + NY / USA
 
Futures Experience: Advanced
Platform: "I trade, therefore, I AM!"; Theme Song: "Atomic Dog!"
Favorite Futures: EMD, 6J, ZB
 
kronie's Avatar
 
Posts: 798 since Oct 2009
Thanks: 216 given, 497 received


OrderFlowAnalytics View Post
Sorry I was going to PM you earlier when I replied to the first batch but then the Euro started producing and I forgot about your other post...



Totally depends on the client. We obviously teach them not to have their stops where we expect the bulk of stops to be triggered in directional moves. Outside of that I don't address how a small lot trader should try to hide his stops somewhere in the market depth. They have enough to worry about just managing a position. The stop is the price that invalidates your initial premise for taking the position. It might be modified slightly from the positioning of other nearby trade - but the song remains the same in the end.



Simply put, huh? I don't buy the premise so I don't hide my stops or worry about the things you're asking about. I put on the trade, manage it and then put on another. Maybe this is more relevant in thin markets? It could be I'm just ignorant on the subject.



I don't think our conclusions really are derived from the same premise... Order flow or print reading or whatever you want to call it is really not that hard or complex. Like anything it just needs some explanation of what to look for and then practice implementing it with a simple strategy.

Which can be analyzed instantly?
1. place order
2. pull order
3. exit position
4. maintain position
5. add on to position
6. stay flat
7. go play golf / seek medical attention

I'm probably missing a bunch here but isn't that exactly what trading tools are supposed to assist you with? If they don't then throw them away.

We teach traders how to focus on the historical print, the current print and to have realistic expectations about the future based on what evolves in the print (History/Current/Future) all in equal balance when possible. With the historical you can find inflection points or invalidate areas that you'd think would have been important but weren't - and therefore shouldn't be part of your future analysis (note to Mike who hates chart patterns!). You can also learn a lot about what to expect in the future when these events happen. In the current print you can find patterns of momentum or exhaustion (or 2-sided trade) and act on them if they fit into your trading plan.

Will reading the print solve all of your trading woes? Nope. But it's real-time feedback and many of us see the value in that - whether through OFA or any of the numerous other tools that do similar things.

DB


thanks for the answers,

its completely acceptable to reject the premise of the question, after all we're using Socratic and Academic Q&A (protocols)

also, thanks for simplifying the answers, so that they clarify the value of your products and teachings...

for those of us familiar or aware of some of the "guts" of these "black box engines" and techniques that they have used to garnish, maintain and then hide their edge, its refreshing to know there still are products, like yours that equip the retail trader to still have "a chance"

in the marketplace.

great answers....

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  #50 (permalink)
Elite Member
Saratoga, NY USA
 
Futures Experience: Intermediate
Platform: NinjaTrader
Favorite Futures: CL, GC
 
Posts: 377 since Aug 2010
Thanks: 141 given, 790 received

OFA License avail....


I too have license to transfer to anyone interested.
My REAL life has thrown a curveball and I need to focus on day job
than trade.
Great system and DB + George are great people.
Make it worth anyone's while for the transfer of licensing.

Thank you

Mike Sullivan

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