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Order flow with charts, it works like this


Discussion in Treasury Notes and Bonds

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Order flow with charts, it works like this

  #41 (permalink)
 
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 rahulgopi 
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bobarian View Post
i had the vol ladder up for years, as well as vol on a 1min chart.I had the same thought...when is vol being absorbed vs acceleration?I think the vol ladder ,theoretically, is an amazing tool...but, so much info for me is very overpowering, and i would just get caught up in it, seeing the leaves and not the forrest.I always thought ,that i just want to trade with order flow...trying to be on the correct side of the trade.,and not getting run over.....I like the direction you are going...Good work!

I am not very keen on watching these charts. I am looking to generate signals when these conditions are met. I dont trade order flow / scalping but, if these charts can generate signals that complements a level I am watching, it will increase the probability of that trade.

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  #42 (permalink)
module0000
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rahulgopi View Post
I am not very keen on watching these charts. I am looking to generate signals when these conditions are met. I dont trade order flow / scalping but, if these charts can generate signals that complements a level I am watching, it will increase the probability of that trade.

Well that's the idea The charts are just there to visualize why your system took the trades it did after the fact. You don't stare at them and try to make discretionary trades(at least I don't). This is all about generating the automatic entry and exit signals. Attached this morning's chart as an example - this explains to me after I wake up why the trades that were taken were actually taken.


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  #43 (permalink)
 
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 rahulgopi 
milpitas, ca, usa
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I ran into issues with loading historic trade records from a file. Adding a trade size filter to weed out retail seem to help without loosing the essence of the footprint.


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  #44 (permalink)
 adam777 
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module0000 View Post



Is the yellow line Cumulative Delta? ...and what's the green line?

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  #45 (permalink)
 n7ekg 
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module0000 View Post
Well that's the idea The charts are just there to visualize why your system took the trades it did after the fact. You don't stare at them and try to make discretionary trades(at least I don't). This is all about generating the automatic entry and exit signals. Attached this morning's chart as an example - this explains to me after I wake up why the trades that were taken were actually taken.

Have you tried trading this on any other market than bonds, and how is it holding up?

Have you posted the algo anywhere else that I could look at? I'm looking for something to code up for Sierra. I've already got a volume profile-based algo I just started coding over the weekend. So far, it's looking good - made 25 ticks on an overnight CL trade...

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  #46 (permalink)
 DangerousD 
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module0000 View Post
A little bird told me order flow was about me taking all my charts, throwing them in the fire, and promising to never ever use such naughty tools in the future. I think order flow is better expressed on a chart than any other available medium. It looks like the attached screenshot. I'm posting this in the hope of finding other people employing similar techniques and automated analysis, that(like myself) aren't afraid to talk about it and explain what we are doing.



The chart isn't cherry picked, it's the most recent trading day. There are no short entries, because order flow never indicated a short entry with the appropriate probabilities of 1) low risk of loss, 2) short-term profit.



So, who else is looking at something similar to what I'm looking at, and not afraid to show it because people will "steal my secrets!!"?






Hi

I recently joined Futures.io and have combing through the content these past few weeks. This thread really caught my attention. I trade Bunds primarily with order flow and some technicals. Your indicator produces signals that look very compelling for any order flow trader. Coding this must have been a very complex endeavour. Are you still using this indicator in your trading?

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  #47 (permalink)
module0000
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DangerousD View Post
Hi

I recently joined Futures.io and have combing through the content these past few weeks. This thread really caught my attention. I trade Bunds primarily with order flow and some technicals. Your indicator produces signals that look very compelling for any order flow trader. Coding this must have been a very complex endeavour. Are you still using this indicator in your trading?

Regards


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It took some time - I am still using it. It's evolved a lot since the first versions, but the core idea is still powering what I'm doing these days. Most of my trading is now on the NQ instrument, simply because of increased volatility. I seem to have a higher return on my margin there versus the ZB.

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  #48 (permalink)
 n7ekg 
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module0000 View Post
It took some time - I am still using it. It's evolved a lot since the first versions, but the core idea is still powering what I'm doing these days. Most of my trading is now on the NQ instrument, simply because of increased volatility. I seem to have a higher return on my margin there versus the ZB.

Can you share the methodology? I'd love to see how this works on ES and CL.

On Sierra, you can chart DOM activity on a price chart. It's very instructive to see how price moves when orders are added or pulled from the DOM.

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  #49 (permalink)
MichaelFlowTrader
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This is interesting because today I saw a video of a guy using Sierra Charts and trading Bonds with an Excel script that looks just like what OP posted.
I added a screen grab of it:

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