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Price movement as a function of Supply and Demand

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  • First Post: Jan 21, 2007 8:49pm Jan 21, 2007 8:49pm
It is a no brainer that Supply and Demand pushes prices up/down. True for commodities; true even for Currencies.

Its about time that I start analysing this Supply/Demand into the Forex field. Is there any place in the internet that I can find info/data on current orders for particular currency pairs?

FXCM's trading platform have a piece of "Order Flow" data. However that is insufficient. I'd like a more comprehensive data so that I can analyze how much buy/sell is floating in the market to predict the direction of the currency.

Thanks.
You might want to consider data from the Committment of Traders Report issued by CFTC. It only applies to futures contracts but it does give some idea of the number of long and short open positions.
Quoting BurgerKing
It is a no brainer that Supply and Demand pushes prices up/down. True for commodities; true even for Currencies.

Its about time that I start analysing this Supply/Demand into the Forex field. Is there any place in the internet that I can find info/data on current orders for particular currency pairs?

FXCM's trading platform have a piece of "Order Flow" data. However that is insufficient. I'd like a more comprehensive data so that I can analyze how much buy/sell is floating in the market to predict the direction of the currency.

Thanks.
Although this only applies to OANDA customers, you can look at Open Positions and Open Orders summaries in the FXLabs section of their site.
There is more then enough data contained in the FXCM news system to profit from supply/demand related orderflow. The trick is in thinking about the trade mechanics and participants behind the orderflow.
Quoting Darkstar
There is more then enough data contained in the FXCM news system to profit from supply/demand related orderflow. The trick is in thinking about the trade mechanics and participants behind the orderflow.
Do you mean the orderboard? It says: "This is a whispers and rumors section on what big global forex traders (major hedge funds and fortune 500 companies) are buying and selling, and where they are placing their stops, etc." Can you give a few examples?

I am searching for some information on ordeflow. According to scientists (Lyons) orderflow gives a reliable prediction of the future prices, but I don't know where to find good information about orderflow.
Quoting JosTheelen
Do you mean the orderboard? It says: "This is a whispers and rumors section on what big global forex traders (major hedge funds and fortune 500 companies) are buying and selling, and where they are placing their stops, etc." Can you give a few examples?

I am searching for some information on ordeflow. According to scientists (Lyons) orderflow gives a reliable prediction of the future prices, but I don't know where to find good information about orderflow.
Read some of the literature on market microstructure. Applying that information to the orderboard is going to require alot of thought on your part, but it can be very lucrative. The orderboard information is about as reliable as you are likely to find with less then a $1mil account, so use it for all it's worth.

Unfortunatley I'm not going to hand it to you. Think about some specific methodologies you can develop from that information and I'll point out what is workable and what isn't.
Quoting Darkstar
Unfortunatley I'm not going to hand it to you. Think about some specific methodologies you can develop from that information and I'll point out what is workable and what isn't.
If I have accurate orderflow-information I would build a model with a neural network. According to several articles (Lyons, Gradojevic and Yang) this could result in a 75% accurate prediction of the direction of the exchange rate.
However the website writes about whispers and rumours, so I was curious how these whispers and rumours looked like. Could they maybe be "translated" to more abstract orderflow-signals, which could be used as input for a neural network?
Quoting JosTheelen
If I have accurate orderflow-information I would build a model with a neural network. According to several articles (Lyons, Gradojevic and Yang) this could result in a 75% accurate prediction of the direction of the exchange rate.
However the website writes about whispers and rumours, so I was curious how these whispers and rumours looked like. Could they maybe be "translated" to more abstract orderflow-signals, which could be used as input for a neural network?
Agreed, not sure what you mean, yes, and in theory but if your smart enough to develop a neural network your smart enough to just think about the order flow that exists and trade off of it. The hard truth is your NEVER going to get enough orderflow data out of the forex market to develop the models that the articles describe. There is no central exchange and as such, no consolidated orderflow data available. The only orderflow you have to work with is what the major brokers and financial institutions are willing to divulge about "their" orderbooks. So basically it all amounts to rumors. Most of the rumors are pretty damn good, but you never really know that until after the fact.

The concept of convering the market into a mathmatical equation always cracks me up. Yes there are some institutions that utilize statistical arbitrage and similar methodologies, but the vast majority don't. So regardless of what the computer tells you to do, if there is no traders to push prices in the direction it says to go, it isn't going there. Why spend all that time trying to develop an equation when it's so much easier to just watch what the humans are doing and follow them?
Quoting Darkstar
Agreed, not sure what you mean, yes, and in theory but if your smart enough to develop a neural network your smart enough to just think about the order flow that exists and trade off of it. The hard truth is your NEVER going to get enough orderflow data out of the forex market to develop the models that the articles describe. There is no central exchange and as such, no consolidated orderflow data available. The only orderflow you have to work with is what the major brokers and financial institutions are willing to divulge about "their" orderbooks. So basically it all amounts to rumors. Most of the rumors are pretty damn good, but you never really know that until after the fact.

The concept of convering the market into a mathmatical equation always cracks me up. Yes there are some institutions that utilize statistical arbitrage and similar methodologies, but the vast majority don't. So regardless of what the computer tells you to do, if there is no traders to push prices in the direction it says to go, it isn't going there. Why spend all that time trying to develop an equation when it's so much easier to just watch what the humans are doing and follow them?
I don't see a problem with a "mathematical equation". If it predicts the market for 60% or more, I will put it in MetaTrader, start the program and collect the money.

There are people who know the (historical) signals from an institute like the "Deutsche Bank". They show that you can get that 60% or more and some of them trade according to those rules profitable.
I have looked at Oanda ordeflows, but couldn't get any result. The question is whether retailtraders have the same orderflow as the big guys. If I look at the succespercentages of retailtraders, maybe I could use it as a contra-signal, but it seems to me it is mainly random (50% right, 50% wrong). Someone wrote (wasn't that you?) that small traders are used by the big traders as people who provide liquidity, that those big traders can use to get profits.
Quoting JosTheelen
The question is whether retailtraders have the same orderflow as the big guys.
Thats my point. As a retail trader you have only what is provided by the moneycenter banks through IFR and related services. You won't ever have access to the real orderflow because you don't have orders that your managing for other people and there is no central exchange. I suppose you could get a job at a bank, but then you would be trading "their" accounts and that would defeat the purpose.

As a retail orderflow trader you can't take the type of trades a bank does so their winrates are all but irrelivant. Most of their orderflow trading consists of specific trade frontrunning which is a high probability methodology.

Our only option is to look for concentrations of liquidity and make assumptions about how prices will respond to those concentrations based on our understanding of market microstructure. Liquidity is liquidity and prices always respond to it in the same way. All we need to do is find those concentrations and watch what happens when they are encountered. See what happens enough times and you can develop a simple methodology around it. Once you understand the mechanics you don't even need a chart.
Felix of KingForexSignal claims that his partner ROB has access on these info and the reason why he is making good pips day by day - claiming to have more than 600 pips for January already.

600 pips with 1 lot is a good $6000. That is stupenduously good if you ask me.

Either the claim is a myth or fact remains the mystery. Thus why I am curious about all these. The FXCM Orderflow is vague. Yesterday, they claim that there are heavy USDJPY sellers (exporters and profit takers) at 121.50 which takes to mean to limit any USDJPY rally. Guess what? USDJPY still manage to shoot past 121.70. So the FXCM orderflow is crap data board. IF I remember it right, I used their orderflow info months ago as confirmation to my TA trades - crap lost most of the time.

I had long since thought that FXCM's orderflow is mis-information meant to screw traders to loose money (like I did). Hmm.. perhaps I should take that orderflow and "think the other way".
Quoting BurgerKing
Felix of KingForexSignal claims that his partner ROB has access on these info and the reason why he is making good pips day by day - claiming to have more than 600 pips for January already.

600 pips with 1 lot is a good $6000. That is stupenduously good if you ask me.

Either the claim is a myth or fact remains the mystery. Thus why I am curious about all these. The FXCM Orderflow is vague. Yesterday, they claim that there are heavy USDJPY sellers (exporters and profit takers) at 121.50 which takes to mean to limit any USDJPY rally. Guess what? USDJPY still manage to shoot past 121.70. So the FXCM orderflow is crap data board. IF I remember it right, I used their orderflow info months ago as confirmation to my TA trades - crap lost most of the time.

I had long since thought that FXCM's orderflow is mis-information meant to screw traders to loose money (like I did). Hmm.. perhaps I should take that orderflow and "think the other way".
<Shrug> How Rob manages to get all the moneycenter banks to provide him with their complete orderbooks is beyond me, but I suppose it is possible. Let me know if you find anything even remotely close.

As far as the FXCM (Which is just a delivery provider of the Thompson financial IFR service mind you) data, like I said it requires thought. Just because orders exist at a given level says nothing about how substantial they are or how they compare to the buy side interest. You might want to examine the other information on the orderboard...
Currencies are no different than any other market.

Sometimes price moves toward size and sometimes price moves away size. It is all a matter of where the big boys want it to go and then there are the rare times when it goes against where they want it to go.

Trading with the trend, whichever way that is - is the only way to go. Why it is going one way or the other is immaterial. By the time we find out is too late.
Quoting SunTrader
...Trading with the trend, whichever way that is - is the only way to go...
This is exactly what the big boys want us to think when they hunt for idiot traders. Many months back when I trade TA, I follow the trend only to loose money when the trend quickly reverses. I also tried following the trend but got kicked out when the market reverses as well. I was trading London and NY sessions btw.

As you mentioned, why the movement is beyond me. TA's moving average or whatever technical indicators out there could not explain to me the reason. The only way I could find any "logic" behind the movements are supply/demand info. Where those big money is placed.. I am particularly curious where to find such info. Felix explains that Rob has this info from some feeds:
Quote
...Banks exchange such information, for the convenience of creating the same price and converting currencies for their big clients. When Rob left Deutsche bank, he was able through some contacts to get a similar feed on his home computer through another source. Then he hired somebody to develop a software to analyze this feed, and based on that analysis plus some other factors, he comes up with his entries...

Anyone with such an info?
I saw on forexyourself, on the main page "see banks buy and sell to confirm your trades. Sign up now..."
Does anyone already try this?
Prof Lyons from Berkeley has done a lot of work on what he calls New Micro Exchange Rate Economics. You can read all kind of things about it on his webpage, although it is no easy read: http://faculty.haas.berkeley.edu/lyons/

But you don't need to be a professor in economics to think about it. If a company as Sony wants to sell a zillion dollars for yens, the yen will go up. So if you are a big bank and see all those orders, you can more or less predict what will happen.
It's just my opinion but how can anybody take this Felix guy seriously; sounds like any other scam-artist, nevermind his friend rob who makes money everyday. Give me a break.

This orderflow stuff is pretty interesting. The guys who does the daily forex webinars at fxsol and infinity brokers is pretty heavy into this stuff but he never gets very specific. I guess I understand why he wouldn't want to give it all away, but simply stating, "the order flow shows it's time to sell" doesn't help all that much if you don't know what the guy is specifically looking at.
Quoting faure
It's just my opinion but how can anybody take this Felix guy seriously; sounds like any other scam-artist, nevermind his friend rob who makes money everyday. Give me a break.

This orderflow stuff is pretty interesting. The guys who does the daily forex webinars at fxsol and infinity brokers is pretty heavy into this stuff but he never gets very specific. I guess I understand why he wouldn't want to give it all away, but simply stating, "the order flow shows it's time to sell" doesn't help all that much if you don't know what the guy is specifically looking at.
I don't agree about Felix. He sends free messages about news, so you cannot complain about that. And he has organised the signals from that Rob. Assuming that Rob bases his signals on that orderflow, it could be good information. If I could trade 5 days each week, I would try it for a month. But with only 2 tradingdays for me, it is far too expensive for me.
Quoting BurgerKing
It is a no brainer that Supply and Demand pushes prices up/down. True for commodities; true even for Currencies.

Its about time that I start analysing this Supply/Demand into the Forex field. Is there any place in the internet that I can find info/data on current orders for particular currency pairs?

FXCM's trading platform have a piece of "Order Flow" data. However that is insufficient. I'd like a more comprehensive data so that I can analyze how much buy/sell is floating in the market to predict the direction of the currency.

Thanks.
When you look at the 'order board' it might pay to look closely at the options expiries for the day and where they are likely to be supported or defended. There is no foolproof way to look at it though as sometimes options players get overcome by bigger players and prices pierce through the strike level to render the options worthless. At other times, these strike levels are well defended. I dont know if anyone can build a trading strategy around this though.
Quoting BurgerKing
This is exactly what the big boys want us to think when they hunt for idiot traders. ............
To put it in simple enough language. They don't give a fuck about us idiot traders. They are too busy moving the market. Currencies are THE best markets for trends so if you can't trade a trend before it reverses, I think it might have something to do with how you are trading it?
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