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The Intensity of Commercial Trade at Local & Session Extremes
The Intensity of Commercial Trade at Local Extremes
Information = Equity
For a very few seconds and sometimes for only milliseconds, as local extremes are being formed, the dynamics of trade change dramatically. Fortunately this trade has a signature that is detectable in real time.
Before electronic trading one key advantage astute floor traders held over off the floor traders was that they all knew each other and knew how each trader traded and for whom. Most important was to know who traded for the big commercial trading houses.
If you knew who these guys were you knew that when they put their palms out (palms outward for selling and inward for buying) they probably had size to do and more often than not such size would put in either the session extreme or at least a tradeable local extreme.
Now there is no pit, the traders with the power/size to put in these local extremes trade from all over the world and the trade that forms these extremes is often executed by computers that issue these orders in a stream separated by milliseconds or even microseconds.
While many of these operators go to great lengths to conceal their intentions and their trade, the truth is that they cannot hide the fact of their transactions. The opportunity is that with proper analysis this trade can be detected and the astute practitioner has the opportunity to join a trade at or near a local or even session extreme.
Operating in the sub-second time frame it has been discovered that when taken in combination and properly weighted, the acceleration and deceleration of buying and selling volumes, total volume and the velocity/rate of change in the balance of trade will reveal a dynamic of the price/time/volume continuum that some astute operators find present at many, if not most, intra-session extremes.
One measure of an indicator or method's true worth is how well its efficacy transfers both to other instruments as well as to different time frames. Below are some screen shots of one version of such an indicator taken from 10yr Treasury Notes, Soybeans, ES and an ETF.
When this very intense, speculative, often auto-executed commercial buying or selling is coordinated across several markets of the same ilk then there is a very good chance that this activity is marking a local if not session extreme.
The first of the charts below shows such activity. On that particular day, at that exact time, this indicator registered the precisely coordinated, very intense commercial selling across all 3 major US Equity futures that formed that session's high.
TY - Treasury Notes - Sell
SoyBeans - Buy
Emini S&P Buy
OIH Buy
Emini S&P Sell
UrmaBlume
Can you help answer these questions from other members on NexusFi?
I have noticed that the images you have presented here are from last year. And also from different days.
I would be very interested in seeing an overall performance of your indicators. Not just a few "selected" charts.
To give the members here a clearer picture of your stuff, could you please post these same indicators on morning and afternoon charts for 3 consecutive days.
Three days this week would be nice.
Its important for members here to know who is the real deal is and who might be trying to take advantage.
would also be interested in some recent charts, so I could have a more detailed look.
If the indicator measures participation of commercial traders, how do you define this?
- block size
- feedback patterns created by algorithms trying to hide size (iceberg orders, ...)
- bid-/ask split of volume
I am personally not using any of these. I tried bid- and ask-traded volume, but this was not satisfying, as sometimes passive and sometimes active buyers set a bullish tone. Difference between stopping-/churn volume and breakout volume. Differentiation is easier with time of day and/or chart patterns than bid/ask analysis. I am not trading very short time frames.
Would be really nice to have a hew recent charts to compare with other indicators. Don't want to go back to October last year.
I'd also like to know the success rate on this. I personally looked into this a while back, finding no real edge. I've seen others attempt it with the same results. Alot of people abandon it eventually.
have written in earlier posts also on fio. I did use Pats indicators not just the HUD(Heads up Display) which dealt with the Spikes, but also something which he called as the Indicator pack.
After Pat passed away. Yes i was fortunate to have met this excellent gentleman in Vegas over drinks and dinner. few years ago However some of the stuff he left working was later and now being followed up by Bonnie his wife in case there is feedback and interest. I on my part have recently started broadcasting his spike charts. Yes i can tell they definely are awesome but might have a learning curve.
If someone wishes to really watch and learn. Feel free to ping or put in the thread. Currently its being broadcasted from my PC to a friends discord server for the foreseeable future free for ES futures only with full permission from the makers of the software. Yes it is a room so it is manned by a trader....but is also free to watch. So if u dont like...dont watch. if u get any value u r welcome to leave any feedback..good / bad or ugly . Tradestation as a platform i personally think is great..though i also luv Ninja. Currently this runs solely on tradestation.
i wont comment on edge ////no edge.....thats in the eyes of the beholder
streaming a stream is so darn easy these days....is all about video....luv it