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Jigsaw Trading's Peter Davies - Ask Me Anything (AMA)

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Jigsaw Trading's Peter Davies - Ask Me Anything (AMA)

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  #591 (permalink)
Salt Lake City, Utah
Platform: Jigsaw, NinjaTrader8
Posts: 521 since Apr 2016
Thanks: 18 given, 498 received

Jigsaw Trading View Post
Yeah - I don'[t think that's going to yield the results you are looking for.

If you look at Order Flow in general - you have to always consider that some people are arb/spreading & some are longer term (and don't react to short term fluctuations)

Not all flow is reactionary - BUT you can often consider everything to be short term because that's who reacts in the short term. Short term players cause short term moves, so you can exclude the ones you don't.

For this reason - counting the orders is problematic because the counting doesn't exclude the arb/spread/long term.

Stops are an order type but you can have stops without them being stops at the exchange legging out of a bad spread would be done on an autospreader, not with stop orders placed at fixed levels because it's the RELATIVE move that stops you out, not absolute moves on 1 leg.

So let's say you have a range where 100k contracts trade and for example:

- 40k are arb/spread/non-directional - any stops they have will be automated based on the entire position - most likely not actual stop orders but not directional anyway
- 30k are long term
- 30k are short term

Now, of course every buy is a sell but put that to one side for now.

When you see stops - you can't really compare the volume of stops to traded qty. Some stops aren't stop orders, so won't be visible in MBO. The Qty you are comparing against has too much non-directional, non-reactionary trades to make comparing the values.

This issue is coming up a lot and we are going to do a session on it at the end of the month: https://us02web.zoom.us/s/89660447494

This will be an interactive session, so you can come along and we can discuss different positions on it.

Isn't this the same case with plenty of things that we see in jigsaw though? Why would this make seeing stop orders useless, but not make things like say cumulative delta useless? Yeah there's lots of noise, but that doesn't mean it can't tell you something about current market conditions.

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futures io Trading Community Trading Reviews and Vendors > Jigsaw Trading's Peter Davies - Ask Me Anything (AMA)

June 19, 2020

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