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Order Flow Analytics (www.orderflowanalytics.com)


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Order Flow Analytics (www.orderflowanalytics.com)

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  #101 (permalink)
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BeachTrader View Post
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.

I do admire the way you want to give him the benefit of the doubt.

But think about it...

A break even trade isn't a loser.

A losing trade is minimum 1 tick.

For your average to be 1 tick, you effectively have to have your max loss @ 1 tick.

It's just not feasible.

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  #102 (permalink)
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DionysusToast View Post
A break even trade isn't a loser.

Sure he is....

Commissions... Platforms... Feeds...

Time invested...

Opportunity costs...

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  #103 (permalink)
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Big Mike View Post
Sure he is....

Commissions... Platforms... Feeds...

Time invested...

Opportunity costs...

Mike

So then not being in a trade is also a loser? Time invested, opportunity cost, platforms, feeds?

OK - perhaps on futures.io (formerly BMT) you guys have average losing trades of 1 tick.

Here on planet earth meanwhile...

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  #104 (permalink)
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DionysusToast View Post
OK - perhaps on futures.io (formerly BMT) you guys have average losing trades of 1 tick.

Here on planet earth meanwhile...

Of course not. I didn't say anything like that.

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  #105 (permalink)
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AFAIK OFA bars has nothing to do with volume. It is a 4 ticks reversal chart, where the direction of the bar is determined only after you get a 7 ticks range (called "probe"), and then 4 ticks reversal.

Say bar opens at 1234.25 goes up to 1235.75, thats a 6 ticks range, so no direction determined yet, next price goes down to 1234, now you got a 7 ticks range, the 7th tick was down, so now a 4 ticks up move will open a new bar.

Cant say it is better than the regular 4 or 6 ticks reversal bars, sometimes it is sometimes not.

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  #106 (permalink)
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No one is putting 1 tick stop loss on the order.

And yes, getting 1-2 tick stop loss average is perfectly doable, especially with the tracker. YOu also have to undersatnd that break even trades happen.

The actual raw stop loss is 3-4 ticks away but the tracker takes the trade out a lot sooner than the hard stop.

And no, i don't use market orders and yes, it is possible to get to the exact tick at times.






DionysusToast View Post
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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  #107 (permalink)
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A break-even trade is a loser - that's how NT calculates it anyway - the winning ratio is done by looking at the winners in the gains.

So yes, at times the tracker will take out the trade at break even, at times it will take it out at -1 ticks, -2 ticks - it depends on the settings.




DionysusToast View Post
I do admire the way you want to give him the benefit of the doubt.

But think about it...

A break even trade isn't a loser.

A losing trade is minimum 1 tick.

For your average to be 1 tick, you effectively have to have your max loss @ 1 tick.

It's just not feasible.


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  #108 (permalink)
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BTW, your scenario with the DOM is overly simplistic.

You're assuming that there is 25 contracts on the ASK/BID and that's that. You're not accounting for additional market depth colming in (new orders hittin the same price). To me, orderflow trading is about where potential market depth occurs, it's NOT just reading bid/ask volume - that's TRADE FLOW, not ORDER FLOW. You're looking at prices that has already occured.

Perfect example - on the ES, the limit/ask is often 300-400 contracts, and yet, we see 2000-3000-4000 printed all the time and the price doesn't move. Why? Additional market depth.

Like wise, you'll see DOM showing 2000-3000 contracts and as soon as it ticks up there, those contracts dissappear because market makers are paid to place those orders in, they really have no intention of being filled. Reading the dom like that isn't all that helpful.

No one is forcing you to buy OFA or use free tools if you think you can replicate it. I'm just sharing my experience here. As far as the tracker result goes - the one i was using has a really really tight settings (and as I said, the average gain is only 3 ticks because it's aggressive enough that any shift in the volume automatically takes out the trade. Put it this way - if there is a vaccum (less market depth), prices will trade and move, agreed? So as soon as hits market depth or bid volume shifting, it'll take it out of the trade if it's long. Because the setting is so tight that as soon as the prices rise/fall due to lack of market depth and assoon as it hits a slight wall of resistance, it will take it out of the trade.

And if you think you can't trade with a say, 2 tick stop on the ES, you're just wrong. Just read the chart and find where the ranges are, how many times do you see it creep out 1-3 ticks beyond the range beofore it reverses? ALL the time. Now, if you're trading in the middle of the churn, yeah, you'll get burned - and taht's where GOMI, etc. will also show the biggest volume. That's NOT where i'd want to be, especially in the recent weeks since January when ES has been in a major churn, 4-6 point range days.

And this is why most people who uses orderflow type of tools or volume tools don't get it - it's not just "buying at the biggest ask volume". Wish it was that easy.






DionysusToast View Post
I do admire the way you want to give him the benefit of the doubt.

But think about it...

A break even trade isn't a loser.

A losing trade is minimum 1 tick.

For your average to be 1 tick, you effectively have to have your max loss @ 1 tick.

It's just not feasible.


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  #109 (permalink)
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BeachTrader View Post
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.


You're exactly right. My hard stop is actually bigger. But, he's also wrong in assuming that just becauase you buy at 1234.00 with 100 contracts there, that as soon as you get 101 contracts, it'll down tick. He's assuming no one will will put in new orders. Orderflow is about trading where potential market depth occurs. In means, ADDITIONAL volume should come in and for the most part, I can actuall live with a 3 tick stop loss without using the tracker. The tracker is simply icing on the cake.

And what you describe is what the tracker does. It takes you out of the trade when it sees volume shifts against you but also has the same issue when you hit a wall of volume when you're profitable, it will take you out. So, tighter the setting, tighter your target/profit is.

I just find in open forums like Big Mike's people have the wrong assumptions on whatever they want to discuss. They all think that everyone is wrong and they're right, but yet, 90% of traders lose money and most are undercapitalized.

Maybe Dionysus will now argue that you can't take a 2-3 tick stop on the ES either lol. Like I said, my hard stop is more often than not, 3 ticks, and some trades, 2 ticks. Just look at the ES and see how often momentum traders get completely TRAPPED and CREAMED by buying on some range breakout, only to see the prices pop 1-4 ticks and reverse back into the range. The FUN one are the ones that goes up about 8-10 ticks on a break out, only to fall all the way through the range. Those are fun, because they generate massive retail trader stop runs, trapping both the long and the short. (i..e. momenum traders who bought 1 point beyond the range, see it hit 1 point above them and PROMPTLY drove down below the range, taking out their stops 7-8 ticks away. Meanwhile, people who shorted at previous high got stopped out at 7-8 ticks above it and only to see their original direction is correct.

And yes, every now and then I don't get my order filled on an entry while if i was using a market order, i probably could get filled. But that's trading. I typically try to limit the number of trades, if i can, down to 2-3 on the ES per day. And sometimes, the tracker can get really aggressive and take me out of a trade at -1, -2, or break even and only to see the trade goes up 7-8 ticks. Sure, that happens. Nothing is absolute in trading. People who are looking at some magical indicator and stop run lines, free indicators, etc. to work are going to be sorely dissappointed. You have to last long enough and you have to learn what you're doing.

To me, trading is a business and I don't see any business that you can be successful in with a $5000 investment. Most retail business out there requires a capital of $50-100k, minimum (restaurant, whatever). Trading is no different and most businesses fail in 5 years also. Not sure why people are so jaded to question others' motives It's funny how it works. Then again, most people don't own their own business (i do, trading is not the main income) and so most people don't understands how easy it is to fail running your own business.

So yes, there will always be people questioning $10,000 or $5000 for OFA depending on the training, etc. All I can say is that the value is definitely there, and whether you believe it or not is up to you.

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  #110 (permalink)
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paganini View Post
BTW, your scenario with the DOM is overly simplistic.

You're assuming that there is 25 contracts on the ASK/BID and that's that. You're not accounting for additional market depth colming in (new orders hittin the same price). To me, orderflow trading is about where potential market depth occurs, it's NOT just reading bid/ask volume - that's TRADE FLOW, not ORDER FLOW. You're looking at prices that has already occured.

Perfect example - on the ES, the limit/ask is often 300-400 contracts, and yet, we see 2000-3000-4000 printed all the time and the price doesn't move. Why? Additional market depth.

Like wise, you'll see DOM showing 2000-3000 contracts and as soon as it ticks up there, those contracts dissappear because market makers are paid to place those orders in, they really have no intention of being filled. Reading the dom like that isn't all that helpful.

No one is forcing you to buy OFA or use free tools if you think you can replicate it. I'm just sharing my experience here. As far as the tracker result goes - the one i was using has a really really tight settings (and as I said, the average gain is only 3 ticks because it's aggressive enough that any shift in the volume automatically takes out the trade. Put it this way - if there is a vaccum (less market depth), prices will trade and move, agreed? So as soon as hits market depth or bid volume shifting, it'll take it out of the trade if it's long. Because the setting is so tight that as soon as the prices rise/fall due to lack of market depth and assoon as it hits a slight wall of resistance, it will take it out of the trade.

And if you think you can't trade with a say, 2 tick stop on the ES, you're just wrong. Just read the chart and find where the ranges are, how many times do you see it creep out 1-3 ticks beyond the range beofore it reverses? ALL the time. Now, if you're trading in the middle of the churn, yeah, you'll get burned - and taht's where GOMI, etc. will also show the biggest volume. That's NOT where i'd want to be, especially in the recent weeks since January when ES has been in a major churn, 4-6 point range days.

And this is why most people who uses orderflow type of tools or volume tools don't get it - it's not just "buying at the biggest ask volume". Wish it was that easy.

Paganini...

I use order flow. I trade. I make a profit. I don't use OFA. I have seen what they have, I have spoken to George. I think it looks OK. As a vendor in a related field, it doesn't actually clash with what I have. I think they are cool guys.

On the other hand, I think your claims of having an average loss of 1 point is an insult to the readership of futures.io (formerly BMT). Just my opinion.

My example was simplistic. Still - the fact is, you can't trade with a stop equal to the spread. It has nothing to do with depth, it just requires you to be right to a degree that is impossible. Once you get that, then of course averaging a 1 tick stop is also a ludicrous proposition.

I can tell you at times when price will move up. I sure CANNOT tell you that it will move up before Joe retail puts in a market sell order. Hence you can't have a 1 point stop.

It's best to ignore this. I sometimes see silly comments on trading sites and I can't help to point out the silliness. Now you are saying sometimes it's 2 ticks. Well - you trade the ES like that day in day out, your hit rate will be in the low 30%s...

Treasuries - sure, the ES - it's not feasible with the way it moves. Not with all the magic bullets in the world.

This whole 1 point stop thing is ludicrous, OK? It's not worth telling people they can have a 1 point stop. It certainly does nothing for OFA to have people saying it's a magic bullet.

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