Most volatile EU/GU/XAU/BTC trading

Tuesday night around 10pm, in a box with no windows and a roof with a spinning fan that offers only a slight breeze, I start work.
I suppose its my trading den but thats being kind, its an unused cupboard with a sign outside above the door with the words "Millionaire Trader works here"
Maybe its a joke in my household, but we have to believe don't we,

I open up my chart ESZ22 on Jigsaw which is the S&P 500 E Mini Futures - Heatmap on the left and the DOM on the right - two time & sales columns as well flash down the side. Below the Heat Map I place a Cumalive Delta Indy for reference so I know what direction the market is moving, but so i know when traders are active in the markets.



10.03pm
4006.50 - Buyer limit orders - 58 Market Sells - 32 Market Buys - 123 Selling limit orders - 67 Selling Limit orders removed - 23 Buying limit orders added 78
This is my crazy world, sip on a coffee and deciper this information in 0.5 seconds and decide to do one of five things

Do nothing -- Buy Market -- Buy Limit Placement -pop- Sell Market -- Sell Limit Placement

Have you ever slapped your face, "wait up, concretrate boy" yes its may battle to understand whats going on. On the right column I see the Algo's removing liquidity directly off the Selling limit orders. Its incredibly fast and interesting at the same time they are adding Buy limit orders to the Bids. We call in stacking and pulling and the Algo's do this faster than we can see.

Almost

Takes practice and we can run with the wild horses too. That reminds me about my Easter trading trip to Phonix where I was looking for the wild horse at Tonto National forest. There was a group of 4 white horse and 8 brown stallions there, they call then the Salt River horeses. I took a canoe ride down the rapids to spot them, a real highlight of my trip.

4006.75 - Buyer limit orders 88 - Market Sells 22 - Market Buys - 143 Selling limit orders 61 - Selling Limit orders removed 85 - Buying limit orders added 115

Only 1 second has passed yet I see what I need to see. They are pulling Sellers while adding Buyers to the limit orders. The Market Buyers are increasing and their is no back tick, and no coffee if my cup which I need to fix up soon,

10.22pm

I could see but could I react fast enough to trade it?. I took 7 Market Buys during this time and 2 Limit order placements which were executed.
Market Orders were creating a Bullish momentum tail, I was hitting ESZ22 with 4 contracts each trade. My average trade time was 15 seconds a trade, some were 4 seconds. This amounted to about $1200 in the 18 minute period, but I wasn't done.

Climax at 4011.75 Large Bearish candle hit the market, strangly no large Buyer than hit exhausion - a trick or a treat?

Every bloody move is a trap, how should we play it?

I look at the market orders, back tick - forward back tick - forward back tick - forward back tick - back tick back tick fast
Back tick Sellers pouring in to limit order book Buyers being removed from buy limit book
More Sellers
More Sellers
More Fuckin Sellers

THEY ARE SELLING - hang on is this a trap? No I don't see a uptick

Buyer limit orders 18 - Market Sells 142 - Market Buys 23 - Selling limit orders 167- Selling Limit orders added 78 - Buying limit orders removed 115

In 40 seconds, somehow I need to DO SOMETHING and thats a Sell


I take 23 Sells as the order books shouts at me SELL SELL SELL
All trades 4 contracts and I notice days profit has passed 2 grand.

Time 10.48pm
The fan spins still and I think I should replace the blade, I look at the screen to see Red news is 40 minutes away, I will take a break and escape this room with no windows and calm down.
Thats the tough part, my payment to the devil is stress, sometimes bad temper when I see nothing but ................ I don't know at times.

This was my first trading hour of the S&P 500 last time pre open.

I ask myself if I am the trader I want to be?
Think so but who cares, the fan needs replacing first.

RickM - i stumbled upon a book which is great in its genre:
https://www.goodreads.com/book/show/...k5NcQNL&rank=1

Just maybe that’s a book we should all read.

Cheers

It is good in every aspect. The kind of book you wish would never come to end.
+ basically it happens on Ukrainian front, amazing insight.

RickM there is interesting metric in Sierra (Bid/Ask Volume per second). For some reason i find it relevant like showing some pressure. I know that in OF it is all about context, however i find dynamic of this metric gives some bar-to-bar probabilities. Did you have this impression too ?

BTW i follow the money... volume, delta, dominance - unfair advantage.

We were talking hard about that kind of metrics with three amigos. But not bid ask (it make no big sense), but about trades per millisecond (200ms if be accurate).

And I have found that metric extremely useful. I call it speed of market. Of you are trading against the market filing imbalance created by big player that metric is a must have one on your trading dashboard. It helps to avoid early entries and make your entries more accurate.

I observed "BID/ASK Volume per second" and have some preliminary conclusions about its application. I would say it is an inside look into Delta. It is changing in real time like Delta, but sopmehow it is easier for me to watch dynamic of these two metrics than one Delta. I will try more and check.

If so, this is gold.

I must tell you that i can't imagine trading without orderflow information. Somehow you both gave me push into this direction and i really appreciate this.
I feel like up to this point i was using tools like illustrated by that scene. Not quite adequate tools i might say.

I think it’s just best to monitor the time and sales column for speed, otherwise we have too much distractions on the screen. I have two columns, one that shows the lot, the second one is filter to show only sales above 20 contracts, plus one that highlights sweeps and a few other events.
On Motive Wave or Jigsaw, there is sexy gauges to show speed which take up little room if needed.
What I do find more useful is a depth of orders histogram (one at bottom of my chart) which shows what the depth of limit orders is at execution. I am not talking about limit orders 3 to 5 ticks further away from price, they are more than likely fake. What you notice is long limit orders pull the market down, bearish limit orders puts the market up which is useful to know because if the pulling and stacking of orders 1 tick up or down goes extreme - it’s reversal time or breakout time.

Clever!

RyuRyu uses scan of volume per minute - this is 1st dimension. His 2nd dimension is: breathing space / potential of the move. Simplicity of that combination is impressive. It is hard to make sth easy.

I have been contemplating this and what i think is worth checking:

3rd dimension - price range.
-Example: Volume Per Minute: UP. Delta Buyers: UP. Price range: 0 (not moving). Equals: absorption.
-I saw these levels today few times - good target levels, take profit levels, after the price revisits.
-Volatility is WHERE we earn, lack of volatility is HOW we earn. I want volume + lack of volatility.

1) I replaced metrics (BID/sec ASK/sec) with (1) BID/ASK Ratio (percentage), (2) VOL/sec.
Indeed VOL/sec is better than BID/sec nad ASK/Sec.

2) I think that DELTA dynamics (change bar-by-bar) can be treated as an early warning of delta switching sides. New Delta may have the same color as old Delta, but change may be dramatic.

3) Additional metric which works good as absorption confirmation - VOLUME/RANGE of the bar.

May I ask you guys what is your preffered device for manual operations - keyboard, mouse, or sth more fancy ?

I think mouse, it’s the quickest.

The third amigo and myself often traded the EURUSD Futures contract using the footprint chart on Motive Wave. Particularly we were looking at the percentage of each delta on each bar and waited to trade reversals when there was a higher ratio switch at a likely fading point. N……. almost never lost a single trade I saw - it’s a great highly efficient signal.

It does seem most orderflow traders discover this aspect of delta reversal early on before moving on to more sophisticated ideas of trading later.

keep it in your arsenal of trading strategies, it’s one you will use many times in your volume trading career

Everybody is short on EU. Who is long ? Aliens Algos ?

Always a Algo untill a big player attempts to sweep the market.
It used to be one big trade up to two years back, but now they cut it up to 5 or 6 pieces then machine gun them in.

I believe this hides their identity plus makes it harder to fight.

If so, they had to use market orders back than and now then can use limit orders distributed in the zone of interest.

Guys i am designing tool for risk management of multiple positions. Main assumptions is i am used to lock loss ("hedge"). There is never ending debate about it. I do not intend and never did to martingale - just to clear this out. Simply there are obviously situations where SL is licked by price OR news events.

I know that RyuRyu is locking losses ("hedging"). Are you still doing it ? I am doing it it is like a second nature to me. However maybe yoy can share your point of view. I only ask because i do not understand why there is so much emotions about it. It is just a technique of accepting loss or avoiding, thats all.

I should expand the story a bit.

They use limit orders to move price via pulling and stacking the top level of the order book (The Wall) until they decide to be aggressive and sweep the market with large volume market orders. We used to see extremely large market orders go through the books a couple of years back, now it seems they break those large orders up a bit and hit the market hard with smaller repetitive market orders.

All we can be sure about is what we see in the executed order book, volume. So following market orders is the best approach otherwise we start line drawing and the guessing game again.

My Strategy is to add an addition element by watching the Algo's pulling & stacking that's occurring at the first level of the wall
WHILE
Following market order direction.

As for Hedging, you said the H word. I don't like to swear in Ryuru's room.
In my opinion does it work, yes but it's so wasteful and causes me mental strain I rather would not like to deal with.
I found you get so obsessed with trying to trade out of a hedge, you miss many A++ trades that would have paid far more.
My comments are only concerning scalpers like me - long term loonies will probably have different opinions.

IF THE TRADES WRONG - GET OUT THE BLOODY TRADE QUICK AS YOU CAN = smart trader