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Webinar: OrderFlowAnalytics on Game Theory, Part II


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Webinar: OrderFlowAnalytics on Game Theory, Part II

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  #1 (permalink)
 Big Mike 
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Hi guys,

We are continuing this webinar series with DB Vaello of OrderFlowAnalytics on Tuesday, September 17th @ 4:30 PM Eastern US.

If you missed Part I of the series, you can find the information here:


In Part II, DB will focus on:

- Using Volume as a Strategy
- Tick-by-Tick trading
- Order Flow Execution and Management
- Decision Point Trading using Volume Cluster Analysis

You can find OrderFlowAnalytics on their website:
orderflowanalytics.com

There is also an "Ask Me Anything" thread with DB here:


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  #3 (permalink)
 Big Mike 
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Registrations are now open:

https://futures.io/webinars/#registernow

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 Big Mike 
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Reminder for tomorrow's event.

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 londonkid 
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I am looking forward to this webinar although I can only catch the recording. Really enjoyed part 1

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 Big Mike 
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The webinar room is now open.

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 Big Mike 
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I want to thank DB for the webinar today. I'll post the recording once available.

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 Big Mike 
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Here is the webinar recording:



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 pmat 
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Hello everybody,


has anyone succeed in downloading the free plug-in ? I did come through the registration process and got the message that I will receive the download link in my mailbox, but nothing came in (spam checked ok).

Many thanks in advance for your feedback,

pmat

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 oldspot 
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Highly informative, smashing older concepts while illuminating new ones. This particular methodology is intensive and marrying it to what I currently use is intriguing. Thanks to both futures.io (formerly BMT) & OFA.

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 davidfa 
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Hello,
tried from different computers, but it seems the recording has problems with the audio from minute 24. Is it just me? Do you know of any work arounds?

The subject is very interesting.
Thank you

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 ignacmostovic 
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Hi there, Im new here and this is my first post - I found the forum because of volume, tape, delta etc analysis that im much into... and so I decided to join when Iv read about the footprint like charts on ninja trader. Anyway, I really liked the webinar and the aproach in general I find pretty informative. But the reason I write here now is delta thing which was mentioned in the webinar. Im not going to lie, I use marketdelta in my trading for couple years now and I must say, at first I was really confused - still am actually - but I belive, correct me if im wrong - that the concept of the delta is pretty different than what the author of webinar actually pictured. The way I understand it in the webinar you can see the prints of bid ask sizes which ofcourse are meant to be read diagonaly. If you look at the tape you can see the bid ask size, bid ask price but also you have vol and price of last transaction. Delta is not bid-ask size.
Lets take time and sale example:
things you have in the window: time, last price, vol, bid price, ask price, bid size and ask size.
Now, the misunderstanding of delta is that it is calculated bid size-ask size, no, its not delta - that would actually be ridiculus - as the author of the webinar stated, especially calculated at lat price.
Delta is taking volume from volume at last transaction price - not bid size or ask size above/below last price.

Im not sure if I explained this clearly but woud be great to hear form others if im completly wrong.
Thanks.

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 ignacmostovic 
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Just a quick reference image which might better explain what I meant above.


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 jodistrict 
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I have been observing the OFA charts for a few days and would like to give an example of how the charts are good at revealing support and resistance lines.

Below is an OFA chart for today October 1, 2013. I have added the green and red arrows. At the bar of around 13:50 I identified the upper resistance line drawn in purple by drawing it through the two bars at around 10 am identified by the green arrows. I drew the lower support line through the points identified by the two red arrows. Thus, I had the resistance and support lines in place to trade after about 13:50.

I was able to trade on sim and make 3 ticks several times. For example when the bar at 13:50 was forming by moving from top downward, when it reached the upper purple line I could see in advance it was going to break. It slowly approached the line, then started moving rapidly back and forth and then broke through for a nine tick run. The other bars could be traded at the end of the ranges to make three ticks. Towards the end of the session around 15:50, I had plenty of indications from the formation and movement of the bar that there was going to be a breakout. When it finally broke out it moved 18 ticks.

I have enclose two charts below. The first is a picture of the OFA chart used to trade. The second is the range chart of the same area with the two support lines (drawn in orange) to illustrate that on the range chart it wasn't obvious where to put the support lines in advance.





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 Deucalion 
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jodistrict View Post
I have been observing the OFA charts for a few days and would like to give an example of how the charts are good at revealing support and resistance lines.

Below is an OFA chart for today October 1, 2013. I have added the green and red arrows. At the bar of around 13:50 I identified the upper resistance line drawn in purple by drawing it through the two bars at around 10 am identified by the green arrows. I drew the lower support line through the points identified by the two red arrows. Thus, I had the resistance and support lines in place to trade after about 13:50.

I was able to trade on sim and make 3 ticks several times. For example when the bar at 13:50 was forming by moving from top downward, when it reached the upper purple line I could see in advance it was going to break. It slowly approached the line, then started moving rapidly back and forth and then broke through for a nine tick run. The other bars could be traded at the end of the ranges to make three ticks. Towards the end of the session around 15:50, I had plenty of indications from the formation and movement of the bar that there was going to be a breakout. When it finally broke out it moved 18 ticks.

I have enclose two charts below. The first is a picture of the OFA chart used to trade. The second is the range chart of the same area with the two support lines (drawn in orange) to illustrate that on the range chart it wasn't obvious where to put the support lines in advance. ....

Would you consider this simple and obvious line drawing on a naked and simple 5M chart as insignificant and worthless as compared to this 3000$+ solution? The only tricky thing about this naked chart is the 2 DP zones that marked areas of interest, the rest would be simply money management. I agree these are interesting charts, however it is obvious to naked traders (), where the market buyers and sellers are, . Perhaps, in time, one can appreciate this without the use of complicated tools.



Going further, if one were to use market orders, this is a picture of of a 1tick PnF with filtered orders (>150cars) using Acme's volume tool (or using Gomi Tool, or using FinAlg, etc etc). One could use any volume ladder setup to see were the big lots where. Perhaps this is more valuable to those that prefer OF charting (having being one myself for over an year). Both increasingly I question myself what the quantum advantage of such tools is over the basic naked charts. And so far, I find few, if any at all, valuable (and robust) answers.


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 jodistrict 
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I am just giving the experience of what actually happened when I sat with this for the entire day. I wouldn't have been able to identify the lines from the 5 minute because I can't see two point for each line before 11:00 am (especially the lower line).

I did have a GOM chart open which I include below in compressed form with the two purple lines. But the lines didn't pop out at me on GOM. Maybe because of my lack of experience.

lines

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 Deucalion 
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jodistrict View Post
I am just giving the experience of what actually happened when I sat with this for the entire day. I wouldn't have been able to identify the lines from the 5 minute because I can't see two point for each line before 11:00 am (especially the lower line).

I did have a GOM chart open which I include below in compressed form with the two purple lines. But the lines didn't pop out at me on GOM. Maybe because of my lack of experience.

lines.....

I have been through this road myself. It was, for me, a lack of experience, and the false hope that more is better. I know that is the OFA version of the reversal bar, I know what type of bar and span it is.

Here is another way to look at it. Below a 5tick reversal bar (it is not an OFA implementation). The visual cues are there. I wish you luck in finding your answers. Don't be bothered about convincing others, what is your belief? Is this your edge? Can you make it your edge, can you robustly reproduce it. There is the cornerstone of your business, if you can answer that.


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 ignacmostovic 
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I belive that there is no need to state which aproach, which tools or whatever "which" is better. The thing which seems to me convincing is that until you are able to operate on visual represantation of price or price and volume which are just that, rough data from the market, your in much better position as far as logic reasoning goes. Ofcourse you might get it all wrong, build wrong idea how market operates but as I said it seems to me that the risk you will get it wrong is much less than when using all the indicators which are built upon the price or volume. This is why I was a bit confused when author of this webinar put delta in thesame basket as other "magic" indicators. Its just the visual representation of data from the market - same as candlesticks might visualize price in time.

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 sands 
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useful presentation thank you. the key difference between order flow and price action is timing. You can plot key support and resistance (anyone trading should clearly know how to do that) but that is a probabilistic forecast where as order flow will be able to tell me where at key levels (such as the S/R levels I might draw) whether my guesses were correct or not (and hopefully earlier than other market participants.

I personally think that tools (any tools) are only ever going to be as good as your application of them. It's also a subjective thing. no tool is perfect or totally without merit, but equally not all tools are made equal (to paraphrase George Orwell).

Good presentation and interesting comments. Thanks.

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