Welcome to NexusFi: the best trading community on the planet, with over 150,000 members Sign Up Now for Free
Genuine reviews from real traders, not fake reviews from stealth vendors
Quality education from leading professional traders
We are a friendly, helpful, and positive community
We do not tolerate rude behavior, trolling, or vendors advertising in posts
We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community. It's free for basic access, or support us by becoming an Elite Member -- see if you qualify for a discount below.
-- Big Mike, Site Administrator
(If you already have an account, login at the top of the page)
Hi, There is a closed-source order flow indicator in NT that detects large trades. Does anybody know what is the logic behind it? What is being calculated? Do they look at tick data? Does such an indicator exists in this forum? I appreciate your comments.
Can you help answer these questions from other members on NexusFi?
Thank you for your suggestion. Probably I could not find that feature in trade indicator in the github indicator you mentioned. As I understood, the github indicator has an indicator that detects volume above a threshold for each price which seems to just sum the total buy/sell volume at that price; however, the trade indicator in NT seems to find large trade initiated from a single order not just total volume. Please correct me if I am wrong. Thank you.
It will be difficult for you to find something that accurately detects large order execution consistently. Many brokers have a suite of execution algos that do a pretty good job of hiding large orders. Some of these are easy to understand like splitting a large order across time but some are slightly more complicated like concurrently executing nearly half of the order passively and the rest aggressively.
Besides, large orders are also executed as a basket spanning intra and inter product instruments. In commodities with a liquid forward curve, positions can also be taken in spreads to express a bias. Plus there are TAS markets that you don't hear about much but have decent volume every day. So unless your indicator program is analyzing many instruments simultaneously, it will be difficult to get any sort of accuracy and consistency detecting large orders using anything that is commercially available, let alone for free.
Best option, if this is truly something you want to go after, is to build your own to implement specific hypothesis, not generic, like specific to a product, and that has its own challenges which are not trivial. Sorry, probably not the answer you are looking for but I have been down this road and its tough creating something meaningful.
Yes stuff showing large trades is available. There are two packages that do that with an expensive data flow. They re-assemble the info after the brokers algos break up the trade. Convergent Trading's in house program and the other one Futures Trader 71 was using before his in house program came out. Occasionally he will show the cumulative delta for the day broken out between small, mid and large trades on his free morning U Tube video.
Hulk is correct in that most programs do not re-assemble from markers in the order flow that most data providers do not show you. Not sure why you want to know when some hedge fund is active because in the end it is just another component of price. Haven't seen anyone around here saying how Edge Clear has made a huge difference to their trading because of that one feature.
Hi, can you help me to understand the logic between small and large trades. I follow future trader 71 and I was trying to understand how to use this elements in my analysis. In one of his live he told that small is between 1-9 lots. I don't really understand what is really detected. For example a filter up to 9 means that you can see multiple of order 9, 8, 9 max done in the book? Instead if we assume large trades we filter with min 40 lots. Means that a single order contain 40 lots?
Yes and no. Small traders are us little guys trading one to 9 contracts at a time. Mid size traders could be independent or my guess someone managing some money for family and friends. FT 71 and most others call that fewer than 100 contracts. Big hedge funds, CTA's etc. are the large lots and their motivation can be very different. Like they may be hedging their long-term positions in the market. So why do we not see their large orders? Mostly because the standard is any order over 20 contracts will move the market. As others have stated in this thread all the brokerages and software outfits that cater to the pros offer a system that breaks up a large order into smaller chunks.
Personally, I follow a system where I have blended PATS (price action) with an overlay of volume profile. With decent volatility I trade 4 contracts at a time with a typical hold of 5 minutes. I am background noise. I subscribe to an Elliott Wave service that I guy I have followed for years runs as a hobby. Last week he had 8.5 million dollars in the market spread over 20 positions. He is a large trader and his trading choices reflect that reality. He is swing trading and holds positions for several days. I would not know how to use our trades as an actionable forecasting tool. In fact, I did waste half a year going down rabbit holes looking for a system that would take advantage of the COT reports. Those weekly reports are wonderful and you would think they are valuable to trading. But I could not find anything that really used them directly. They are more like government numbers.
I have an MBA and that requires some statistics courses. The one thing I learned from that is wet sidewalks cause rain. If you don't get their motivation right their actions are meaningless.