I really appreciate the video you posted dom64; it was very informative. One thing you did for me is clear up what it means when there is heavy volume on both sides. I ran into a similar situation this week in the 6E. I took a trade when I should have realized it was an area where there is temporary agreement on price.
To me the footprint is just a visual representation of previous trades on the DOM. It is a lot easier to see the imbalances and exhaustion on the footprint. With Jigsaw I tend to start seeing absorption on the DOM first but it's nice to see it visually on the footprint as well.
Thank you very much for making and posting the video.
Can any one recommend a course that teaches you how to read the footprint
Fake orders are pulled from the market. You watch for this in Jigsaw. Limits subtracted away. If limits orders make there way to the front of the queue the probability of them getting filled goes WAY UP. There are no "fake" orders. If you place limits on the bid or offer side there is always a chance they can be fill and you need the account size to do it. It all depends on how fast traders going market, hit into the bid or lift the offer. If the queue is chewed through very fast for whatever reason they will be filled. Just wanted to clear up some this idea of "fake" orders. And this "spoofing" has gone down a lot since the CME's new rules regarding it, IMHO. But traders can still "change their mind".....lol.
IMHO first before the trading day in preparation for it you need to have a plan based on market context, big picture. Which is a skill developed over time but sped up if you have competent instruction. Without an idea of market structure watching theses order flow tool for long periods of time can be counterproductive.
Start with the last trading session's high and low for example.
Also ask these questions:
Are we in a range?
A wide range or a tighter one?
Are we trending, looking for a new area to range around in, new value?
After a large move in one direction on the day timeframe does it take a longer time to undo that move? For example, big up move followed by three days lower yet not completely undoing the up move? What does that mean?
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We must be like the fountain or spring that is continually emptying itself of all that it has and is continually being refilled from an invisible source
Buy Low And Sell High (read left to right or right to left....lol)
Last edited by Blash; August 14th, 2016 at 06:06 AM.
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There is no fake order as such in the sense that the capital is needed in order to place an order, but there a numerous moments during each session when liquidity (limit orders) is being added to be pulled as the price gets nearer to it. It's typical algos' activity but it does happen quite frequently. The Closer to the inside the more likely it is to remain and not be pulled and any unpredictable wave or market orders can indeed consume this liquidity.
Regardless it is very useful to watch and just looking at the tape is missing half of the story as we can have as many volume imbalances in the tape/footprint and huge volumes, if the Limits absorb, the price won't move much. It's part of the story where each element tells how it unfolds.
It depends on the context. There is no "rule". Either liquidity is pulled and price goes through, or it remains and depending on the volume and momentum of marker orders, it either reverses.. or goes through.. I know this is not useful info but there is no right/wrong answer. You can easily take a chance and risk very little with a tight stop, so not very risky trades with decent potential reward.
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well an interesting thread. I like to see what others are looking into.
also interesting to see one of the few videos out there which try and capture Js & BKMap. I like this statement of yours as it is an important consideration in OF "Either liquidity is pulled and price goes through, or it remains and depending on the volume and momentum of marker orders, it either reverses.. or goes through.. I know this is not useful info but there is no right/wrong answer."<<The holy grail of Limit and Market Orders.
@dom64 i use both JS n BkMap and both have very unique insight into the world of trading (Limit Orders/Market Orders and how they are used). So it's great that you show a video of the GBP being traded. Would be great to see videos of the ES being traded with Full liquidity of the day "RTH". I guess that might show people what you trying to illustrate. Either ways there are many videos out there by JS itself or Bkmap itself. Use of both and exchange of context between the 2 tools is not something i have seen very much......and both have it's core strengths and imho the best OF tools available to retail.
Either ways good to see someone using these tools.
I did see in your videos something called HFT candles. Wonder what that was as you did not share that screen.
cheers n best
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Thanks Paps, glad you find it interesting. I can't do without Jigsaw and really find Bookmap valuable too, so the combination of both, to me, is key. In my opinion, the fact that nothing is definite and a set rule is what makes Trading difficult and one of the main reasons why the 90/90/90 statement is probably true (90% of traders loose 90% of their capital within 90 days). From young age we are conditioned to
learn rules. If x then y or if z then w type of reasoning. Here, we have to make do with something which might be gamed (limits) and something that might or might not be what it appears to be (is a market order an "intentional" aggressive decision to buy/sell or is it just exiting a long/short position?), and make sense of this combination. Sometimes it is what it appears to be and sometimes it is not, but this is completely against what we spent our life learning. There is of course much more to it than just that limit/market realtionship, but in effect this is the only thing that makes the price move.
I wish I could tell you the HFT Candles tab is some magical indicator but I am sorry to report it is not.. Just a candle chart where I have added a number of order flow related stats that I find useful.
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In your opinion what does Bookmap have to offer a trader over Jigsaw? Since Jigsaw has added a similar feature (Auction vista heatmap) it looks very similar to bookmap. I have just started using the heatmap with Jigsaw.
I agree with your statement "It depends on the context. There is no "rule". Either liquidity is pulled and price goes through, or it remains and depending on the volume and momentum of marker orders, it either reverses.. or goes through.. I know this is not useful info but there is no right/wrong answer. You can easily take a chance and risk very little with a tight stop, so not very risky trades with decent potential reward."
Just because there is absorption happening doesn't mean the market will reverse. Once you get burned once or twice it is a lesson learned. I think it is wise to let it play out and like you say enter with tight stop.
Surely there are "rules" aren't there? Otherwise, the market making algos of Virtu or Citadel wouldn't know how to react to incoming orders to the market. Additionally, other fast scalping algos surely also have rules to determine if there is sufficient liquidity to deal for the scalp. The challenge lies in breaking down how those other algos behave (which are rules based, not a generally human market maker anymore adding or removing liquidity) and then calibrate the strategy accordingly.
Admittedly, this is probably not something that can be simply done without computer assistance of data feeds breaking down orders by the microsecond (or at a very, very bare minimum millisecond).