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The brutal truth of day trading

  • #1,001
  • May 31, 2021 10:46am May 31, 2021 10:46am
Quoting TraderTim125
Quoting RickM
I see you have put a lot of work into that indicator. Using Cumulative Delta can also work best when you can convert Bids and Asks into candles to show actual bias of delta. Cumulative Delta Candles High Rick I did put a lot of work into the Volume Profile indicator but the Cumulative Delta Volume (CDV) indicator is a relatively new project that was inspired by some stuff I came across on the FF forum. It is therefore very much a work in process. I am still thinking about whether or not it is worthwhile trying to develop it
...
I worked a bit on this earlier in the year, (also triggered by a post I read here on FF) but I was going by the legs of the ziz-zag, and resetting the deltas at each turn -- thinking that all Open-Orders must have been exhausted (at the central clearing system - whatever/wherever that is), else Price would not have changed direction. I thought that the difference in my Broker's Volume data was the reason why I wasn't turning at delta=0.

Like you said, it is not a clear buy/sell signal.
  • #1,002
  • May 31, 2021 4:39pm May 31, 2021 4:39pm
Quoting Kafin
{quote} Hi Rick, I've been trying to understand price movements from the point of view of clearing active buys and sells, but your post makes me think that Pending Orders also get recorded in Volume - is that true? i.e. if price is currently 1.20, and someone place a big Buy Order to buy at 5.00, will that be reflected in Volume? TIA
Hi Kafin

Volume is executed market orders only and liquidity is pending limit orders.
Hopefully my post didn’t confuse that issue.

My point is big players use density of orders in either large size or high density (packing large orders close together) to manipulate price. Well over 1/3 of limit orders are removed before execution in my opinion, to hide their true intentions.

When I talk about Clarity of vision, I mean they have played their cards for everyone to see. For brief periods, we can understand what they are doing in live time so we need to act immediately or lose that clarity.

The trade I took became apparent about 30 seconds before I entered the trade and they removed the block about 3 minutes later. You have to be watching both the DOM and footprint chart to have any hope in seeing their manipulation.

Cheers
Trading thin liquidity at the boundary of the charts
  • #1,003
  • May 31, 2021 6:03pm May 31, 2021 6:03pm
Quoting RickM
{quote} Hi Kafin Volume is executed market orders only and liquidity is pending limit orders. Hopefully my post didn’t confuse that issue. My point is big players use density of orders in either large size or high density (packing large orders close together) to manipulate price. Well over 1/3 of limit orders are removed before execution in my opinion, to hide their true intentions. When I talk about Clarity of vision, I mean they have played their cards for everyone to see. For brief periods, we can understand what they are doing in live time so...
Hi Rick.

Yes. That's exactly what iceberg orders, spoofing & layering techniques (many algorithmically automated), are used for. Further advancements in Machine Learning will get things even more interesting, I believe.

What strikes me the most, is the apparent almost complete correlation that you noticed between FX futures and inter-bank swapping proportional liquidity, timings and volumes...

Cheers.
  • #1,004
  • May 31, 2021 7:15pm May 31, 2021 7:15pm
Quoting RickM
{quote} Hi Kafin Volume is executed market orders only and liquidity is pending limit orders. Hopefully my post didn’t confuse that issue. My point is big players use density of orders in either large size or high density (packing large orders close together) to manipulate price. Well over 1/3 of limit orders are removed before execution in my opinion, to hide their true intentions. When I talk about Clarity of vision, I mean they have played their cards for everyone to see. For brief periods, we can understand what they are doing in live time so...
Hi Rick
Nice post is this called spoofing? Is it legal.

https://www.fxcm.com/markets/insights/what-is-spoofing/

https://www.google.com/amp/s/m.econo...w/57081547.cms
"Exchange of hands"
  • #1,005
  • May 31, 2021 7:20pm May 31, 2021 7:20pm
Quoting Viktory
{quote} Hi Rick. Yes. That's exactly what iceberg orders, spoofing & layering techniques (many algorithmically automated), are used for. Further advancements in Machine Learning will get things even more interesting, I believe. What strikes me the most, is the apparent almost complete correlation that you noticed between FX futures and inter-bank swapping proportional liquidity, timings and volumes... Cheers.
Hi Viktory

Yes, that is exactly what it is but let’s no give them power by creating these fancy terms for theft.

While we can’t compete with their Algorithms, we can join them in their journey and also make a few dollars riding their backs.

You are quite correct about the correlation between FX futures and spot, I took only about 30 trades last night due to the bank holiday’s with the average trading period about 30 seconds. I had 28 winners, 2 losses but every liquidity imbalance that was present on FX Futures presented itself on Spot FX

And yet the big side of town try’s to hide this fact.


Cheers
Trading thin liquidity at the boundary of the charts
  • #1,006
  • May 31, 2021 8:19pm May 31, 2021 8:19pm
Quoting ryuryu
{quote} If you trade with EA, then 1. You don't need to understand of your psyche 2. MM already built-in 3. PA, TA, structure etc are already here 4. 5. You can execute 1m or less. I'm just curious how in 2021 people still believe in manual trading.
people still trade manually because they have an edge, they know how , (something that you dont know ). The EA's will not make you any money,
  • #1,007
  • May 31, 2021 8:57pm May 31, 2021 8:57pm
Quoting RickM
{quote} Hi Viktory Yes, that is exactly what it is but let’s no give them power by creating these fancy terms for theft. While we can’t compete with their Algorithms, we can join them in their journey and also make a few dollars riding their backs. You are quite correct about the correlation between FX futures and spot, I took only about 30 trades last night due to the bank holiday’s with the average trading period about 30 seconds. I had 28 winners, 2 losses but every liquidity imbalance that was present on FX Futures presented itself on Spot FX...
I didn't approach fiat currencies when I traded Futures and Options (mainly indexes and commodities) through the CME, CBOT, ICE, COMEX, NYMEX 9 years ago. Then 2 years later, once I completely switched to FX brokers in other circumstances, I simply never believed both markets could be so interlinked, so I didn't even bother to compare their feeds side by side; also because I no longer had access to a Futures account.

Rick, now what you have recently been saying and showing, finally makes much more sense and seems logical to me. Great unveiling, comrade; spot on.

  • #1,008
  • May 31, 2021 9:09pm May 31, 2021 9:09pm
Quoting bilal1947
{quote} Hi Rick Nice post is this called spoofing? Is it legal. https://www.fxcm.com/markets/insights/what-is-spoofing/ https://www.google.com/amp/s/m.econo...w/57081547.cms
Hi Bilal

Sure is but there is nothing we can do about it.
Interesting what I like to do is monitor orders seconds after a red news event and seconds later to see what occurs.
On a sudden move, I see orders pulled and zero executed buys or sellers actioned. Normally there would be many orders sitting on the DOM but now very few.
If we do some simple maths, I came up with about 30 -40% of orders missing from normal trading conditions.

Therefore I believe around 1/3 are spoofing orders but that may be conservative.

Cheers
Trading thin liquidity at the boundary of the charts
  • #1,009
  • May 31, 2021 9:31pm May 31, 2021 9:31pm
I am very very sorry for what I am about to say here, as I KNOW it will upset some people.

There are two forms of what you people call "spoofing".

There is the vanilla way of doing it - you send extreme pendings to market in the hope that you catch a "spike out" that ends up on the other side of the liquidity base (eg selling highs to trump buyers and the market falls to opposing end of normal deviation levels and the model holds up.

Then there is the "dark chocolate" way - this is the "more sneaky' way that most people yarn on about but really, do not understand the intentions and motivations behind it all.

Have people ever asked what the BROKER is doing at these times? What are the internals in operation there?

Probably not. Is your broker self replicating the market data?

People are silly to assume that the futures data cannot be mirrored OR the Spot cannot be mirrored BY the futures data.

Silly Joe Bloe.

Again with the stories and conjecture.

Have you EVER considered that "bigger players" (i.e. someone with more than say, $10,000 in their trading account) simply 'self manage' their own liquidity? What I mean is they do NOT wait for the market to "fill" their orders like a good little boy/girl but instead demand to be attended to? I've said it before, NOT EVERYONE is a speculator in these markets. Not everyone is someone with a "retail trader's victim mentality and mindset" of how the world really works.

*** SOME players are not the biggest BUT regardless of this, they play to WIN. Eg - Being profitable at ...

- End of day
- End of Week
- End of Month
- All of the above

To genuinely and properly understand and appreciate this, you need to stop letting your opinion do the judging and thus creating the conclusions you assume to be true and correct.

Most people are too 'scientific' about their use of information and data and all things technical.

Beyond your screen there's a big wide world and not everyone 'assumes the position' bent over the barrel.

Managing your own liquidity is the best and fastest and most efficient way to trade because you know what works and you want the profit that comes with that knowledge.

So retail traders ...... learn anything yet?

Day trading is not complicated when you learn instead of just trying to fill the holes with assumptions to "get money".

Assumptions are for those who will get out-traded...... by someone.

If you have learned how the markets seem to be able to perpetuate themselves, then you have already learned the hardest lesson. The rest is about being able to step outside the picture you have framed for yourself as a "retail trader".

Again, everything I have said here is verifiable and is therefore true and correct. What you do with it is up to you.


Peter
Real Trading is not gambling.
  • #1,010
  • May 31, 2021 9:43pm May 31, 2021 9:43pm
Quoting PeterCaleb
I am very very sorry for what I am about to say here, as I KNOW it will upset some people. There are two forms of what you people call "spoofing". There is the vanilla way of doing it - you send extreme pendings to market in the hope that you catch a "spike out" that ends up on the other side of the liquidity base (eg selling highs to trump buyers and the market falls to opposing end of normal deviation levels and the model holds up. Then there is the "dark chocolate" way - this is the "more sneaky' way that most people yarn on about but really,...
Hey, Peter... You actually just confirmed what we were already saying, now with many more unnecessary words and some extra mumbo-jumbo (your own personal "philosophy": not the absolute universal truth). Thanks.
  • #1,011
  • May 31, 2021 9:56pm May 31, 2021 9:56pm
Poor Viktory. Is that really all I did?

No not at all. While you people think this and that, the elements in the markets are just doing what they do. So no silly stories and no circumstantial BS.

The participants in the markets who appreciate what it is, do not "wait to get filled" they fill it themselves. Average thinking means you have no choice but to crunch numbers and assume you see what's going on.

Retail traders are sitting there wondering why this happened and that happened. And confused "why didn't my order get filled?"

Silly people adding conjecture to conjecture.


Learn to broaden your understanding, jeez.

What you were talking about is just conjecture.


It's easy to understand when you've been on the other side.

People chasing white rabbits doesn't help people learn or understand any better. So really, who cares about opinion and stories and compounded conjecture.



Peter
Real Trading is not gambling.
  • #1,012
  • May 31, 2021 10:21pm May 31, 2021 10:21pm
The real life realistic problem with all this discussion is - it's not about "trading" it's about business and understanding the playing field to such an extent where you appreciate it is 'kill or be killed'. Profit or don't profit. DO what needs to be done or do not. PERIOD. And no yakkaty-yak here or anywhere else will change this.

So while you traders are seeking the next trade, business is being carried out and being done however it needs to be done. Once a person stops thinking like a usual person and begins to understand the business of money, then you will understand why you only think what you do and not anything else.

It's wrong for someone to call a story the facts and the truth when the aftermath behavior is all that is being seen and used to justify things.

And so I don't care if someone is feeling insecure by their ignorance or "they don't agree". Most bigger participants uuuum .... participate. Understand yet?

They use their own money to carry on business and fill orders and prompt a response. It's called the business of money.

When you stand on the outside of the greenhouse and look in .... what do you have that you can call the facts? Speculation, conjecture and a big pile of BS tied up in a bow.

So it's not a philosophy it's the way things are.

Learn or don't learn. Simple.

Having a pissing contest and calling it lemon punch doesn't make it true.


Peter
Real Trading is not gambling.
  • #1,013
  • May 31, 2021 10:22pm May 31, 2021 10:22pm
Quoting PeterCaleb
Poor Viktory. Is that really all I did? No not at all. While you people think this and that, the elements in the markets are just doing what they do. So no silly stories and no circumstantial BS. The participants in the markets who appreciate what it is, do not "wait to get filled" they fill it themselves. Average thinking means you have no choice but to crunch numbers and assume you see what's going on. Retail traders are sitting there wondering why this happened and that happened. And confused "why didn't my order get filled?" Silly people adding...
Not everyone you've been referring to, I assure. You generalize too much, always assuming, full of prejudice; "sounding" like an old, rusty broken record.

Quoting PeterCaleb
Profit or don't profit. DO what needs to be done or do not. PERIOD. And no yakkaty-yak here or anywhere else will change this. So while you traders are seeking the next trade, business is being carried out and being done however it needs to be done. They use their own money to carry on business and fill orders and prompt a response. It's called the business of money.
You don't say? Talking about "yakkaty-yak" ¬¬
  • #1,014
  • May 31, 2021 10:28pm May 31, 2021 10:28pm
Quoting Viktory
{quote} Not everyone you've been referring to, I assure. You generalize too much, always assuming, full of prejudice; "sounding" like an old, rusty broken record.


When you talk about something ass end backwards and try and call it real, do you really think everyone is just going to agree?

Particularly those who do in fact have more real world knowledge than you?

If you want to feed the same ridiculous story then go ahead. But it is just a story.

Sorry if you have a problem with that. I offer general information so people can begin to think instead of just following pointless circular conversations that only appeases the same silly story.

People who are too overtly excessive in their use of data always end up doing the same thing. They believe a story instead of the entire situation with all its pieces in play.

Happy hunting.


Peter
Real Trading is not gambling.
  • #1,015
  • May 31, 2021 10:39pm May 31, 2021 10:39pm
Quoting PeterCaleb
{quote} When you talk about something ass end backwards and try and call it real, do you really think everyone is just going to agree? Particularly those who do in fact have more real world knowledge than you? If you want to feed the same ridiculous story then go ahead. But it is just a story. Sorry if you have a problem with that. I offer general information so people can begin to think instead of just following pointless circular conversations that only appeases the same silly story. People who are too overtly excessive in their use of data always...
No, you haven't really offered/shared/debated anything better/useful/actionable at all...
Instead, you only judge and criticize others from your narrowly partial point of view, far outside trading per-se.

And of course no "offense"; lel.
  • #1,016
  • May 31, 2021 11:01pm May 31, 2021 11:01pm
It's simple. Let's imagine that I have the same level of knowledge, know-how and experience as say, RickM. But instead of seeing the market activity only as he does, I also see an additional 1 or 2 or even 3 different ways to view, to characterize, to explain, to rationalize. to justify ... what I observe going on.

Immediately I have shown that the one view he holds in null and void (standing on its own) because it is in fact, possible to make those other observations and give just as much credence to those additional perspectives.

For people who play the "agree/disagree" or "believe/don't believe" games, you're missing the point. Either markets go up in value or they go down but never neither.

If you think superficially about the markets you are going to be positioned to lose in ways you cannot predict because your thinking is not cued up to see the world you live in.

This is why I said what I did.

Who's to say that all the liquidity and thus, the order volume people talk about re: Order Flow and Futures Volume etc, is not from the same source, the same "XYZ"? .... Just by using data and the "usual" ways to attempt to understand the markets you trade you would never know.

To use buy orders and sell orders in creative ways to generate your own opportunities. By not being like other people and assuming there is only 1 way to do things.

I suppose it all depends on what kind of person you are Viktory. Can you concept build or do you rely heavily on information to point the way for you?

Not my questions to answer.


Peter
Real Trading is not gambling.
  • #1,017
  • May 31, 2021 11:57pm May 31, 2021 11:57pm
Quoting PeterCaleb
It's simple. Let's imagine that I have the same level of knowledge, know-how and experience as say, RickM. But instead of seeing the market activity only as he does, I also see an additional 1 or 2 or even 3 different ways to view, to characterize, to explain, to rationalize. to justify ... what I observe going on. Immediately I have shown that the one view he holds in null and void (standing on its own) because it is in fact, possible to make those other observations and give just as much credence to those additional perspectives. For people who...
Peter... As a matter of fact, valid public extra information adds value to decision making, by bringing rationale to the picture, deeper context and confirmation. It's a nice plus to have, and even worth paying for.
  • #1,018
  • Jun 1, 2021 12:13am Jun 1, 2021 12:13am
_ + B + _ + _ + _ = ?
Real Trading is not gambling.
  • #1,019
  • Jun 1, 2021 12:24am Jun 1, 2021 12:24am
[quote=RickM;13561207]
There is no way to avoid paying for a futures platform or data if you require the right tools, but $100 a month is needed.

Hi Rick, thanks for your response. This confirms pretty much what I have already found. As previously stated, it seems like a significant investment in time and money just to answer a couple of simple question about Forex FX futures such as the correlation between FX futures order flow and FX spot order flow. I am quite surprised that no one seems to be able to answer these sort of questions.

I did discover that one of the larger brokers that I already have an account with claims to offer DOM for spot FX on MT5 and CTrader platforms. I will talk to my account manager and report back in case anyone else is interested.

I have also been looking at a number of commercial offerings for Cumulative Delta Volume (CDV). It looks to me like many of them use 1 minute data and not tick data to generate their CDV offerings. I tried this myself at one stage and found that most of the "intelligence" from the signal was lost using 1 minute data. IMO it is essential to use tick data even though it is a lot less convenient because of the lack of stored tick history on the MetaTrader platform and probably most others. It seems that not all CDV's are equal.


[quote=RickM;13561207]
I just took a nice trade on AUDUSD about a hour in from New York open etc

To be honest Rick, without screenshots or videos I find it a bit hard to follow what you are saying about your trading. I had a look at it on my chart and what I think you are saying appears to be showing up on my homebrew CDV indicator. Here is the screen shot. Personally I wouldn't take a trade on AUD during the New York Session unless I had solid fundamental reasons for doing so but that is just my view. Below is a snapshot of my chart showing your AUDUSD chart and my CDV indicator.


Attached Image


I want to do some more thinking, investigation and experimenting with this CDV thing.

Regards
Tim
Don't Guess Test
  • #1,020
  • Jun 1, 2021 12:35am Jun 1, 2021 12:35am
Quoting Kafin
I worked a bit on this earlier in the year, (also triggered by a post I read here on FF) but I was going by the legs of the ziz-zag, and resetting the deltas at each turn -- thinking that all Open-Orders must have been exhausted (at the central clearing system - whatever/wherever that is), else Price would not have changed direction. I thought that the difference in my Broker's Volume data was the reason why I wasn't turning at delta=0. Like you said, it is not a clear buy/sell signal.
Hi Kafin
I have come across others trying this reset idea but I haven't at this stage seen the need for it. I make no claims to be an expert in this area. I am still trying to figure it all out and like almost everything else in trading there seems to be many divergent ideas and opinions.

Regards
Tim
Don't Guess Test
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