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"Bank Flow" Trading - Resources?

  • #21
  • Mar 20, 2008 3:31am Mar 20, 2008 3:31am
Quoting Plutonite
Thanks mike!
Now that I've slept a little I'm trying to figure out why merlin said executed orders provide insight. If you can see where the previous large orders were (and presumably trade in their direction), how does this help in knowing where the next ones will be, particularly since this isn't at interbank level? I guess my question really boils down to "how do you safely use the level II data to make decisions". I never use order flow and am pretty much a retail broker kinda guy. I'm pretty sure you aren't though, Mike, so feel free to add your 2 cents (you slimy stop hunter you)
I believe what merlin means here(please correct me if I am wrong Merlin) is once an order is executed one can see the effect it has on the market. So if a huge order comes into the market and is executed and it shows little to no effect. That is good information(another piece of the puzzle). I don't really believe he means in regards to forex though, more in regards to centralized markets. Again, I don't want to put words into your mouth merlin.I have never met anyone who uses level 2 data in forex yet(effectively). I of course wouldn't say it isn't possible, I just haven't heard of it yet. That doesn't mean 'order flow' doesn't exist in other ways to take advantage of. Just isn't in the normal(level2) form so to speak.

M
  • #22
  • Mar 20, 2008 4:12am Mar 20, 2008 4:12am
I agree. I don't think using this sort of information on a non-central exchange can give any viable edge. Even of you keep track of large-order history in the short term and try to either go with them or against them (if they are being overwhelmed, like in your e.g) it's pretty much a blind man's game. In fact, going back to the original intent of the thread, I cannot see any disaster-proof strategy for trading order info on a centralized database either, if we will restrict ourselves to orders that have already been filled (the price has already moved). Anybody can step in at any moment and change the tide. In other words, every time there's a doji on the charts, that would be us getting bombed.

Anyway, we'll let the big man justify himself!

Quoting mbqb11
I believe what merlin means here(please correct me if I am wrong Merlin) is once an order is executed one can see the effect it has on the market. So if a huge order comes into the market and is executed and it shows little to no effect. That is good information(another piece of the puzzle). I don't really believe he means in regards to forex though, more in regards to centralized markets. Again, I don't want to put words into your mouth merlin.I have never met anyone who uses level 2 data in forex yet(effectively). I of course wouldn't say it isn't possible, I just haven't heard of it yet. That doesn't mean 'order flow' doesn't exist in other ways to take advantage of. Just isn't in the normal(level2) form so to speak.

M
Virtue finds and chooses the mean. Aristotle, Ethica Nichomachea
  • #23
  • Mar 20, 2008 4:32am Mar 20, 2008 4:32am
Quoting merlin
yeah for sure...the first thing you have to learn when trading the level2 info (in any market) is that the executed orders are much more important than the resting orders. 90% of these resting orders come from gamers and automated systems.

Hi Merlin,

Maybe I am misinterpreting your above comment, but which LevelII platform shows orders that are already executed (in forex)? I use ECN LevelII data through LAVA with market depth etc. and once opposite orders have been matched (part filled or completely filled), they drop from the system accordingly.

Colour codes change when price and volume changes (similar to the "ladder" on a TT platform) in order to give the trader a feel for the imminent direction.

By visually perceiving that for example bids have been filled (and those bids subsequently disappearing from the screen), I know they have been executed.

Is that what you meant, or are you saying that some platforms leave the executed order in the screen with a remark "executed"?

regards
daytrading
Enter Signature
  • #24
  • Mar 20, 2008 4:58am Mar 20, 2008 4:58am
Hi Plutonite,

There is another important purpose to LevelII data in FX: for banks and corporates/institutionals the data in the way it is displayed gives the trader information which he needs in order to "see" and "control" his own order/s with regard to size, status of execution etc.

That has nothing to do with an "edge" so to speak but with the fact that if a corporate for example has to execute an order (could be large) regardless of market direction, he can see and do so according to the information in the levelII data screen.

He knows now for example if his order is big, at what average price his order could get filled or whether there is enough liquidity to have it filled in one go.

The trader can also adjust and monitor his own order in a way that is either visible, part visible or invisible to the rest of the participants who are connected that specific ECN for protection against his order pushing the market against him.

regards
daytrading
Enter Signature
  • #25
  • Mar 20, 2008 8:01am Mar 20, 2008 8:01am
You need to watch a Time & Sales window and match that with a Level II window to see the which orders get executed and which don't.

But I also believe Merlin is refering to Currency Futures.
  • #26
  • Mar 21, 2008 1:55pm Mar 21, 2008 1:55pm
hey sorry guys i missed this thread when paroozing the forum yesterday...

ok let me clarify....

executed orders = order that were filled = "the tape" = "time and sales"
pending orders = order that are resting = "the book" = "market depth"

"the tape" and "the book" is what makes up level2. obviously there is no level2 in forex because it is decentralized, all of this is related to currency futures (or any other centralized market).

now...the tape is a record of the orders that were executed. basically its a list of orders filled, the price executed at, the time they executed, and the size of the order. is this is the most important part of level2 because it shows you what is driving the price.

for instance...if i am long and the market is going up, and i see a boatload of sell orders come in (on the book), i might think that the orders are just a ploy by the shorts to muffle the move. in this case i wouldnt exit my long position. HOWEVER, if the price reaches the sell orders, and they actually execute, i might be a little worried that there really are sellers at that level.

now, what would make me decide if i am to exit or hold my long is determined by how the price reacts to this selling. if the sell orders get fiilled, and the price continues north, i would know that the bulls are in control and i would hold my long position. HOWEVER, if the price bounces off the sell orders, i know the shorts have taken over and its time to exit.

so you can see how the book and the tape really work together to give you the complete picture. the book is important, but without the tape to show you what actually happens the book is almost useless. the tape, however, is useful all by itself.

i hope this clears it up
Relax and be happy.
  • #27
  • Mar 21, 2008 6:47pm Mar 21, 2008 6:47pm
Like the idiot that I am, I've only just started reading this thread.

Closest I get is InteractiveBrokers' Level II on various instruments and their now "dark pools" data, but anyway...

What I have to say is totally unrelated and way off toping, and verging on a whole lotta ass kissin', but I'm gonna blurt it out anyway.

You guys friggin rock!

I'm starting to have to dump some of my childhood memories to make room in my brain for all the good $h*t I learn on this site.

That's it, thanks, carry on.
Carpe Divitiae
  • #28
  • Edited 3:30pm Mar 22, 2008 1:44pm | Edited 3:30pm
Yep, that definitely clears things up. My next question therefore doesn't apply to forex, but I'll go ahead and shoot anyway:

From your experience, are the majority of large orders put on the book a substantial amount of time before the price reaches their level (thus allowing you to do what you described), or are they hidden from the market until the last minute?

And what are "large" orders defined as? Isn't the definition heavily dependent on liquidity at the time?



Quoting merlin
hey sorry guys i missed this thread when paroozing the forum yesterday...

ok let me clarify....

executed orders = order that were filled = "the tape" = "time and sales"
pending orders = order that are resting = "the book" = "market depth"

"the tape" and "the book" is what makes up level2. obviously there is no level2 in forex because it is decentralized, all of this is related to currency futures (or any other centralized market).

now...the tape is a record of the orders that were executed. basically its a list of orders filled, the price executed at, the time they executed, and the size of the order. is this is the most important part of level2 because it shows you what is driving the price.

for instance...if i am long and the market is going up, and i see a boatload of sell orders come in (on the book), i might think that the orders are just a ploy by the shorts to muffle the move. in this case i wouldnt exit my long position. HOWEVER, if the price reaches the sell orders, and they actually execute, i might be a little worried that there really are sellers at that level.

now, what would make me decide if i am to exit or hold my long is determined by how the price reacts to this selling. if the sell orders get fiilled, and the price continues north, i would know that the bulls are in control and i would hold my long position. HOWEVER, if the price bounces off the sell orders, i know the shorts have taken over and its time to exit.

so you can see how the book and the tape really work together to give you the complete picture. the book is important, but without the tape to show you what actually happens the book is almost useless. the tape, however, is useful all by itself.

i hope this clears it up
Virtue finds and chooses the mean. Aristotle, Ethica Nichomachea
  • #29
  • Mar 23, 2008 7:49pm Mar 23, 2008 7:49pm
Re: bank flow gimmick
Absolutely. Thanks.

Originally Posted by fti
Hi Fxorce,
Thanks for the info.
I will post your PM in that thread for alls education, if its ok with you.

regards

Quote:
Originally Posted by The Fxorce
thanks for setting the users straight FTI.
dustin pass is promoting a system he calls Bank flow. as a matter of fact the trader that he's using to create these orders does not call it bank flow nor does he admit to contacting banks and asking about their levels. he simply has a system of overbought/oversold levels where he averages in.

thanks again. perhaps you could pass this on to merlin so he's not racking his brain to figure out what they are up to.
  • #30
  • Edited 12:17am Mar 24, 2008 12:13am | Edited 12:17am
Quoting fti
Re: bank flow gimmick
Absolutely. Thanks.

Originally Posted by fti
Hi Fxorce,
Thanks for the info.
I will post your PM in that thread for alls education, if its ok with you.

regards

Quote:
Originally Posted by The Fxorce
thanks for setting the users straight FTI.
dustin pass is promoting a system he calls Bank flow. as a matter of fact the trader that he's using to create these orders does not call it bank flow nor does he admit to contacting banks and asking about their levels. he simply has a system of overbought/oversold levels where he averages in.

thanks again. perhaps you could pass this on to merlin so he's not racking his brain to figure out what they are up to.
Sorry if the title of this thread is misconstrued as a reference to Dustin's new service . I have heard of this service, but I was actually referring to a market commentary I read by IFR Markets (I think...) on a newsfeed. The writer did in fact use the words "stops can be seen at [xxx]". So I was just wondering whether he meant that literally, or whether he was using it as a figure of speech to mean that he estimated that stops were placed there.

Probably should have called the thread Order Flow Trading instead. Just had the words "bank flow" in my head after seeing some spam about the Dustin thing.

On another note entirely, merlin, your post about the time/sales data combined with market depth is really interesting. This seems like the kind of data upon which a really powerful automated trading strategy could be built. Or at least a killer S/R indicator. Is there a way to get free access to this kind of data? Especially historical data? I've been talking with a guy who's been collecting some ECN Level II data for a while now, but that unfortunately only gives market depth, NOT the time/sales which is crucial.
  • #31
  • Mar 24, 2008 6:55am Mar 24, 2008 6:55am
Hi Merlin,

...yes, that cleares it up - thanks.

regards
daytrading
Enter Signature
  • #32
  • Mar 24, 2008 11:34am Mar 24, 2008 11:34am
I personally would be surprised if historical level II bid/ask data was available. TradeStation, for one does not offer it. Doesn't mean someone else don't but since time & sales itself can be thousands of data points, bid/ask changes are exponentially more to consider.
  • #33
  • Mar 24, 2008 11:53am Mar 24, 2008 11:53am
Quoting Plutonite
From your experience, are the majority of large orders put on the book a substantial amount of time before the price reaches their level (thus allowing you to do what you described), or are they hidden from the market until the last minute?
it really depends on the intention of the trader behind the order. if it is in the best interest of the trader to show the order, he will do so. if it helps him to hide it then he will do everything he can to mask his operations.

Quoting Plutonite
And what are "large" orders defined as? Isn't the definition heavily dependent on liquidity at the time?
the thing about "large" orders is that they are usually broken down into several small orders. so you really have to pay attention to figure out when a smaller order is part of a larger order. for instance, if the market is going down, but keeps bouncing off of buy orders at a specific level, you might conclude that there is a big buyer at that level. the orders might be small, but if they keep appearing at the same level (and for the same lot size) thats a good sign there is a broker sitting there executing a large order all day for one of his clients. large orders can sometimes take WEEKS to execute! the name of the game when scalping on level2 is to figure out where the buyers and sellers are, and determining how big the orders are.
Relax and be happy.
  • #34
  • Mar 24, 2008 12:18pm Mar 24, 2008 12:18pm
Quoting SunTrader
I personally would be surprised if historical level II bid/ask data was available. TradeStation, for one does not offer it. Doesn't mean someone else don't but since time & sales itself can be thousands of data points, bid/ask changes are exponentially more to consider.
yeah im sure its offered somewhere, but i dont know of any sources either. i dont think this data would be too valuable either, it would be really hard to construct a back test on such enormous amounts of data.

btw, there ARE a lot of automated systems that trade the level2. as i said earlier, the book is filled with orders from automated systems. the main strategy ive seen employed is to automatically keep a bid and ask a few points away from the market. this is done to catch people sending market orders when there is no liquidity. if a sell market order is entered, and there are no bids for a split second, the market order will get slipped to the level where the auto system will fill it. this is common practice, and thats why i find it so funny when forex traders complain about getting slippage on their market orders...they dont realize thats how trading works!
Relax and be happy.
  • #35
  • Mar 25, 2008 10:34am Mar 25, 2008 10:34am
Quoting merlin
yeah im sure its offered somewhere, but i dont know of any sources either. i dont think this data would be too valuable either, it would be really hard to construct a back test on such enormous amounts of data.
I did a little searching, and found that CME sells sets of historical futures data (both t/s and market depth). I'm not at the point where I want to spend lots of money researching these strategies, but for any of you who are, there it is.
  • #36
  • Mar 31, 2008 5:21pm Mar 31, 2008 5:21pm
Quoting drummer486
I did a little searching, and found that CME sells sets of historical futures data (both t/s and market depth). I'm not at the point where I want to spend lots of money researching these strategies, but for any of you who are, there it is.
but of course! sorry should have know that
Relax and be happy.
  • #37
  • Mar 31, 2008 7:48pm Mar 31, 2008 7:48pm
With respect to this subject, does anyone use esignal for forex data?

If so, what is your opinion of it?
  • #38
  • Apr 8, 2008 6:28pm Apr 8, 2008 6:28pm
ive used esignal, but not for forex. do they even offer fx data?

on that note, does anyone have access to non-broker forex data? if so it would be interesting to know how you are using it! (please! LOL)
Relax and be happy.
  • #39
  • Apr 8, 2008 7:06pm Apr 8, 2008 7:06pm
Quoting merlin
ive used esignal, but not for forex. do they even offer fx data?
Yes, with depth option.
Bundy's status today: "Waiting..."
  • #40
  • Apr 9, 2008 4:37pm Apr 9, 2008 4:37pm
Quoting bundyraider
Yes, with depth option.
nice!! can you post us some screenshots??
Relax and be happy.
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