Stream Of Consciousness
Thanks Peter
I think I am getting it
Here is a summary of my current train of thinking.
Order Flow theory, (big) limit orders or icebergs, market orders, liquidity absorption etc all make sense. The effect that fits this theory appears to be observable in some but not all situations. Big Banks(BB) etc are cunning and their interactions difficult to interpret at times but sometime quite blatant. Solution: look for and trade the easy ones.
Order Book : we are never going to get access to the well guarded BB order books i.e. EBS & Reuters. Even if we could the information would still need to be interpreted. There are complex interactions going on within and amongst the BB’s. Some of it is possibly illegal but who cares. Unless you can get access to inside information you can probably never figure out exactly what is going on. Inside info is difficult and too risky. Retail traders go to jail if they get caught. Solution : forget it. Just look at readily available public and readily available commercial information like price and volume data, news releases etc.
Volume Data: People persistently say that FX markets are decentralised and there is no single source of volume data available. If we could get access, why could we not just extract it from the EBS and Reuters systems? But getting access is the problem so we have to use proxies. FX Futures and market maker tick volume are both available. Correlation tests show that both are viable but neither are perfect or 100% correlated. 70% + correlations however are probably good enough and there seems to be a reasonable causal hypothesis as to why correlations for either type of data work. A cheap source of CME FX futures data is readily available from Russia with Love.
Collecting operational data from traders in the field is proving to be difficult. Trying to filter the good stuff from the bullshit can be challenging. Solution: keep trying:
The Interface: That is where I am now at and looking - Excel, AmiBroker, Metatrader, DOM FootPrint Charts, Cumulative Delta Charts, Siberian Igloo Charts, etc
Solution: Dust off designers hat and create the best design I am capable of. Then dust off programmers hat to deploy the above design.
Intended outcome: Hopefully trade more successfully using volume/order flow. Share findings with any others on this forum thread who are interested, willing and able to follow this discourse.
Regards
Tim
QuoteDislikedPeterCaleb Post 1,353
re: DOM. Before one dismisses its usefulness, consider this - The "function" of DOM if anyone cares to notice, is hardwired (usually) into the platform. This means, technically, you can use any data you want if set to use dedicated data. No I've not done it myself but I know people who have. I suppose, either through using the platform as a thoroughfare OR, as I have done, create a "mimic" of it in Excel or another platform that allows for coding and programming eg Amibroker
Thanks Peter
I think I am getting it
Here is a summary of my current train of thinking.
Order Flow theory, (big) limit orders or icebergs, market orders, liquidity absorption etc all make sense. The effect that fits this theory appears to be observable in some but not all situations. Big Banks(BB) etc are cunning and their interactions difficult to interpret at times but sometime quite blatant. Solution: look for and trade the easy ones.
Order Book : we are never going to get access to the well guarded BB order books i.e. EBS & Reuters. Even if we could the information would still need to be interpreted. There are complex interactions going on within and amongst the BB’s. Some of it is possibly illegal but who cares. Unless you can get access to inside information you can probably never figure out exactly what is going on. Inside info is difficult and too risky. Retail traders go to jail if they get caught. Solution : forget it. Just look at readily available public and readily available commercial information like price and volume data, news releases etc.
Volume Data: People persistently say that FX markets are decentralised and there is no single source of volume data available. If we could get access, why could we not just extract it from the EBS and Reuters systems? But getting access is the problem so we have to use proxies. FX Futures and market maker tick volume are both available. Correlation tests show that both are viable but neither are perfect or 100% correlated. 70% + correlations however are probably good enough and there seems to be a reasonable causal hypothesis as to why correlations for either type of data work. A cheap source of CME FX futures data is readily available from Russia with Love.
Collecting operational data from traders in the field is proving to be difficult. Trying to filter the good stuff from the bullshit can be challenging. Solution: keep trying:
QuoteDislikedprobably from ancient sufi (Islamic mystics) teachings
“He who knows not,
and knows not that he knows not,
is a fool; shun him.
He who knows not,
and knows that he knows not,
is a student; Teach him.
He who knows,
and knows not that he knows,
is asleep; Wake him.
He who knows,
and knows that he knows,
is Wise; Follow him.”
The Interface: That is where I am now at and looking - Excel, AmiBroker, Metatrader, DOM FootPrint Charts, Cumulative Delta Charts, Siberian Igloo Charts, etc
Solution: Dust off designers hat and create the best design I am capable of. Then dust off programmers hat to deploy the above design.
Intended outcome: Hopefully trade more successfully using volume/order flow. Share findings with any others on this forum thread who are interested, willing and able to follow this discourse.
Regards
Tim
Don't Guess Test
2