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Order Flow Analytics (www.orderflowanalytics.com)


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Order Flow Analytics (www.orderflowanalytics.com)

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  #91 (permalink)
Austin, Texas
 
Experience: Beginner
Platform: NinjaTrader
Trading: ES
 
Posts: 22 since Sep 2011
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exiledgoblin View Post
Quick questions:

1. You said there were two groups in the room but only described one. How would you characterize the second group?
2. Trying to get a fix on your profitability. Avg loss 3 ticks. Avg win 3-4 ticks. Win/Loss ratio 55-60%. Is that about right or did I misread you?

1. Already said - one group of people who has been with DB for a long time. Second group are new traders, and out of that, there are people who are seriuosly about learning and some who aren't.

2. Read my post again - average loss 1 tick (0.30), average win about 3-4 ticks. Again, that's the way the tracker was tuned to be extremely aggressive since my entries sometimes weren't best - he just wanted to make sure i minimize losses and not necessarily going for gains. The whole process for me right now is just to finetune my entries.


BTW, I am not sure why people keep wanting to say OFA is market profile, it is NOT.

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  #92 (permalink)
Vancouver, BC
 
Experience: Intermediate
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Thanks! You're right -- I mis-read max loss for avg loss.


paganini View Post
1. Already said - one group of people who has been with DB for a long time. Second group are new traders, and out of that, there are people who are seriuosly about learning and some who aren't.

2. Read my post again - average loss 1 tick (0.30), average win about 3-4 ticks. Again, that's the way the tracker was tuned to be extremely aggressive since my entries sometimes weren't best - he just wanted to make sure i minimize losses and not necessarily going for gains. The whole process for me right now is just to finetune my entries.


BTW, I am not sure why people keep wanting to say OFA is market profile, it is NOT.


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  #93 (permalink)
NJ
 
Experience: Intermediate
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Paganini,

Glad to know you are doing good with OFA software. Do you mind posting a chart or two on ofa trades you took.

Don't you feel you are doing black box thing,..by using OFA tools? or does DB explain as to what their signal actually means in order-flow?

Thanks
Focustrader

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  #94 (permalink)
Austin, Texas
 
Experience: Beginner
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Focustrader View Post
Paganini,

Glad to know you are doing good with OFA software. Do you mind posting a chart or two on ofa trades you took.

Don't you feel you are doing black box thing,..by using OFA tools? or does DB explain as to what their signal actually means in order-flow?

Thanks
Focustrader


Most of what OFA has is not proprietary nor black box. Once you go through the training you'll know.

The tracker is proprietary - i have a 11 years working experience as a software engineer so i knew exactly which part of his software is proprietary which isn't.

OFA's plot of the volume chart is unique (and no software does this, but the logic is CLEARLY explained in the training).

Not quite sure what the legal status of rebroadcasting/posting images from the chart is, so I won't post the images. However, one of the trades i took was at 8:40 pm tonight. It was simply a COT change (it shows -300 contracts and changing to +400 which is A LOT in overnight trading). I was originally short at 1303.25 and saw it move against me. Took a small loss at -2 ticks.

Now, the high of the day was 1304.25. And the ES closed near the high. The expectation from everyoe is that it wll drop over night. It should after an extended rise and practically the entire day was a strong move up. I went in on a responsive selling peeriod and saw the COT turning. Naturally i knew that i was wrong and took a quick -2 tick loss.

However, since we're at the day high (loss was 1303.75, high was 1304.25, 2 ticks away) Chances are really good that it will attempt break out.

Why? Not because it will break - it's beceause institutional investors want to get filled with retailer's stops. The chart shows about 500-600 contracts at teh bid/ask between 1303.50 and 1304.25. When the market finally broke the high, it shot up because there is no market depth overnight other than the limit sellers who are eager to short against those stops outs. The prices tick to 1307.50. My original target was 4 ticks but my ATM strategy has a 3 point target (i always manage it myself). Well, it hits it in 3 seconds after the break out. It was literally stops after stops.

Those 500-600 contracts at the bid at 1303.75-1304.25 ends up at 1305.50 and 1305.75 at the ask with ZERO trade at the bid (after hours). The data shows 8:46:14 to 8:46:16 as the trade period for that rotation yep, 3 seconds of stop out and shot up 3 points.


Everyone of those shorts as well as the market stop buy orders got stopped out because the market shoots up 3 points and falls back down through the range and now is below the day's high.

Total gain in 5 minutes: 2.50 points. Check out the spike on your chart at around 8:46 pm central time (big spike up, eh? Yup, institutional investors causing retailers to stop out to take their contracts and sell to their buy out orders). Much harder to do during day time but easily manipulated after hours at night.

Those stop outs? the cluster shows 1.75 ticks (or close to 2 points). Amazing, isn't it? I wonder how many ES traders uses 2 point stops... look around at the systems out there, most are using 2 points as a stop. And everyone who shorted (and remember, I DID SHORT but OFA tells me that i'm about to get nailed, so i took the small 2 tick loss and changed my position). Also, my tracker which was showing a positive 200 contracts for me was showing -140 when i exited. 340 contracts shifted after i entered the market in overnight is a lot of volume.

COT, etc. are not proprietary, it's just a measure of the number of traders in the rotation process. Again, all covered in the training.

The stuff that is proprietary are the tracker software (not the contract counting but the automation stop out and target out levels), the gold market depth alert signals, the volume pivots (algorithmic pivots) genreated by their server which is used as a potential targets area, are proprietary. The rest isn't. However, the way the volume charts are printed is unique - there is no fixed length of volume length (unlike Gomi or Market delta or time based or range bars, it's none of the above). The logic though is clearly explained in the training.

Maybe Big Mike can ask OFA to do a presentation - i know OFA has done several for Mirus and you can see it on their youtube.com channel:

OrderFlowAnalytics's Channel - YouTube

Their stop run one is particularly interesting. We see it all day long on those volume levels and stop out levels.

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  #95 (permalink)
NJ
 
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Thanks Paganini for describing the details of your trade.

I already saw their youtube videos/mirus presentation,but was more interested to know how traders were using it and from user's perspective. Regarding posting charts, I think it should be fine, unless ofa has something in their user agreement.

Thanks
Focustrader

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  #96 (permalink)
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paganini View Post
1. Already said - one group of people who has been with DB for a long time. Second group are new traders, and out of that, there are people who are seriuosly about learning and some who aren't.

2. Read my post again - average loss 1 tick (0.30), average win about 3-4 ticks. Again, that's the way the tracker was tuned to be extremely aggressive since my entries sometimes weren't best - he just wanted to make sure i minimize losses and not necessarily going for gains. The whole process for me right now is just to finetune my entries.


BTW, I am not sure why people keep wanting to say OFA is market profile, it is NOT.

Why didn't you buy the Synthetic Order Routing tool from OFA?

Wouldn't the conditional OFA orders help you to fine tune your entries?

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  #97 (permalink)
Legendary  Vendor: www.jigsawtrading.com 
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paganini View Post
1. Already said - one group of people who has been with DB for a long time. Second group are new traders, and out of that, there are people who are seriuosly about learning and some who aren't.

2. Read my post again - average loss 1 tick (0.30), average win about 3-4 ticks. Again, that's the way the tracker was tuned to be extremely aggressive since my entries sometimes weren't best - he just wanted to make sure i minimize losses and not necessarily going for gains. The whole process for me right now is just to finetune my entries.


BTW, I am not sure why people keep wanting to say OFA is market profile, it is NOT.

Paganini - do you enter using limit orders?

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  #98 (permalink)
Legendary  Vendor: www.jigsawtrading.com 
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Reason I asked that question - my opinion is that an average loss size of 1 lot is impossible.

If you take all of your losses and average them out, you can't have a lower stop than 1 tick. This means max stop is also 1 tick. That's the pedant in me talking...

The trader in me thinks about this:



There are always 2 prices in the market. Hence a 1 tick stop is nonsense.

Market Orders
If you took the above example, we have 1165 bid, 1165.25 offered. If you sold at market you would sell at 1165. Once sold, your 1 tick stop loss would be at 1165.25, the current inside offer. So - at this point you are not only betting that the market will move down but you are also betting that this will occur before anyone puts in a buy market order. The moment that just a 1 lot market buy order comes in from Joe Retail you will stop out.

Nobody trades like that. Nobody can trade with enough accuracy that they know the price will tick down before someone else puts a buy market order in UNLESS their order is large enough to tick the marked down through the inside bid. In this case that would be 61 contracts or more. Even then you also have to know that no-one will add to your bid.

Limit Orders
Let's say you want to sell with a limit order. This time you want to join the limit order at 1165.25. There are 17 contracts ahead of you. So - your entry price would be 1165.25 and your stop 1165.50.

So - you put in your limit order. Let's say 5 contracts. Now you need 22 buy market orders to hit the offer and get you filled. If there are 23 market orders, then you will get filled and then price will tick up, 1165.50 will trade and you will stop out.

17 buy market orders - you don't get filled
22 buy market orders - you get a full fill
23 buy market orders - you get filled and stopped out

In either case, the 1 lot stop is a ludicrous proposition and needs you to not only get direction right but to actually know the future to an impossible degree.

I can't see how anyone that says they an average 1 tick stop is actually trading live. It simply can't happen. To do it, you actually need your stop placed as soon as your fill - if you don't do that then you are going to be losing 2+ ticks and your average will be more than 1 tick...

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  #99 (permalink)
Erfurt Germany
 
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..."However, the way the volume charts are printed is unique - there is no fixed length of volume length (unlike Gomi or Market delta or time based or range bars, it's none of the above). The logic though is clearly explained in the training."...


good news one -> the logic of the OFA chart print is this:
-> it's a "ReversalChart",
-> this say the end of a bar is defined as a Reversal (OFA use for ES 4Ticks)
-> the start and the Direction of ReversalCheck is Volume triggered (this give the minimum len of bar)
-> the end is a Bid/Ask/Price triggered correction of "n" Ticks (4 for ES) => the absolute len of bar is variable
-> the result is exact the same and full comperable to all OFA videos
-> this logic work under NT7 as simple BarType, or with no many work for "gomi" data


good news two -> the OFA TradeTracker logic is a up to this time prop VolaLogic plus the open NT7 prometheus project (i hope its is now reactivated )
- the vola logic for the stop line work now nearly comperable to OFAv5
- the concept of entry based start any calculations is good
- the concept of the dynamic vola+volume+Delta based stop management is the "only one" special feature of OFAv5 (old OFAv4 has a simple logic without additional adjustable parameters for different symbols/market conditions/entry types)
- as external solution is the OFA logic with a good longtime Level1 historical datafeed(DTN IQfeed) now 97% exact rebuilded
- i hope for more actual new OFAv5 videos or webinars, this help to adjust the vola part of "StopLine"
- a internal NT7 version as port from Delphi is a hard work, i hope the new "prometheus" source give a good base for add the OFA stop logic to this
- for better comperable replays, i hope gomi make a converter from long time DTN-IQfeed Level1 download to the GomCD file format, this is the better way with backfill in compare to the actual "Recorder" solution without backfill


=> DTN-Backfill + gomi's delta data + ReversalBartype + PrometheusGauge + "VolaRule" = a free/open OFA for NT7

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  #100 (permalink)
San Diego
 
Experience: Beginner
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DionysusToast,

I believe paganini uses the Trade Tracker. I don't have it, but my understanding is that the tracker manages the stop for you based on the current order flow. So the ES may go up 1 tick, but if the order flow becomes negative the tracker may take you out at minus 1 tick in order to prevent a potential larger stop out. The stop doesn't start at minus 1 tick which as you say, wouldn't make sense.

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