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  • #421
  • Sep 4, 2009 9:50pm Sep 4, 2009 9:50pm
Quoting Cellar Door
Time for a beer, remember your weakness is not your technique (http://www.youtube.com/watch?v=EmEPXXJ4sKw)

Back tomorrow..........

Same here....its waaaay late here in Germany, like 5am......luckily I have nothing to do 'till noon tomorrow.

guten nacht!
  • #422
  • Sep 4, 2009 11:07pm Sep 4, 2009 11:07pm
Quoting jpat1023
But market participants may push price one way or another in order to get in at a better price. This has already been discussed in this thread, but I'll give a real world example that you can then apply to the market.
I appreciate you taking the time to post this, but I was being facetious with my questions. Good post none the less.
Don't wish it were easier, wish you were better. ~ Jim Rohn
  • #423
  • Sep 5, 2009 12:40am Sep 5, 2009 12:40am
In the spirit of capitalist's plain spoken language, I want to add to point #2 (below). The OP's charts show where stops have actively been triggered as a result of this apparent (but later to be proven false) breakout. Where are the stops? The literature suggests the round numbers, and the charts also include that point. Coincidence? This isn't new information. I recall reading about stop placement in Market Wizards way back when it came out, but the Osler papers are excellent in explaining the intricacies of this phenomenon.

One other tidbit is that these initial moves in #2 seem to be going counter to the prevailing trend. Misdirection? You might argue on a couple of the charts that the prevailing trend is sideways. That is informative also. I can't tell from the high chart granularity but I suspect that the key bars in question can be positively correlated with news events. Coincidence? Clearly!

Just one point of clarification - most but not all of the charts show a single bar but one shows multiple bars - so IMO a single bar isn't a necessary condition. By using 4 hour charts you're bound to get most of the productive price movement that results from this dynamic encapsulated in a single bar.

What are we not seeing by just looking at the pretty pictures (charts)? The flow of orders or order flow, which is the topic of this thread. But we can understand that a certain group who had resting stop orders or who are new entries, have been induced to execute those orders by price moving through a level that will cause order execution, both voluntary and involuntary. It doesn't get more involuntary than a resting order in a quick moving market.

Quoting capitalist88
All three charts show annotations which pertain to a single price bar. Each bar does the following:

1. It opens at or near an area of consolidation which is a previously tested area of S/R.

2. Price then moves away from the open (obviously) either to break the S/R area or to bounce off of it. In the first two charts it's a breakout, and in the third it's a bounce. This classic "textbook behavior" draws in the herd, forming the first wick of the candle.
When mass orders are triggered one of two immediate things can happen - either a price cascade, where the triggering of orders causes other orders to trigger more and more (voluntary and involuntary) leading to continuation until the orders dry up; or an order vacuum forms with its obvious implications. The larger the amount of orders triggered, the larger the following move will be. The literature again backs that up. So I would label point #3 (below) as the vacuum effect.

Quote
3. The bar then proceeds to reverse and move past its open in the other direction. The herd craps in its pants.

One other point, this thread seems to be "mean reverting" from the order flow concepts discussed back to traditional TA, support & resistance etc. There are lots of pieces to this puzzle, and understanding them and assimilating them together into a more comprehensive picture of what is actually happening is akin to Neo's dilemma: the Blue pill or the Red pill?
  • #424
  • Sep 5, 2009 2:27am Sep 5, 2009 2:27am
Quoting Bleek
I can just about understand having a disaster stop 50+ pips away from entry as a just in case, but I still like to place 'correct' stops appropriate to the trade.
I don't understand this fixation with stops, and even less with arbitrary stops of 50 or 100 pips, they don't really mean anything as far as the market goes.

Isn't a stop just a price at which the trade is either no longer viable or where our analysis is proved wrong?

Knowing what we do about the potential for stop hunting around obvious areas why don't we get a bit creative and flexible with our position sizing and trade management instead of having a rigid entry/stop/limit. For example we can leave ourselves the opportunity to add to a position at better prices, or if things don't go the way we expected we can reduce exposure by closing part of a trade, maybe add back later if we want to depending on what the market does.

Isn't the idea of trading to have as little exposure to risk as possible while at the same time making as much profit as we can, and in-between not get shaken out of our trades by other players?

Obviously we have no control over what price does, all we can do is have the flexibility to be able to react to what it's doing.
  • #425
  • Sep 5, 2009 2:58am Sep 5, 2009 2:58am
Mr.SKfX,
You make me laugh with your order flow theory,why tell half truth,Volume and order flow go hand in hand,they cannot exist without the other,so if you are talking about orderflow you must also talk about volume.Also retail traders cannot push around the market,they can only take what is given to them.One advantage we do have is getting in and out of any market.
Huge money traders can and do push the market at times,but they must have a concrette plan for getting in and out of the market before they take a trade.That's why they have to accumilate,buy wholesale,tell their brokers at what prices to start selling retail.Always remember rising prices attracts buyers,so when you talk about order flow,these are resting orders waitnig on the retail traders long before they ever thaught of putting on a trade.Once the sale is over do you think the market can go any further,bull trap followed by short covering,that's why markets fall so hard and fast.Understanding the mechanics of the market will go a long way in you becoming a successful trader.Please don't take this personal,I just don't like when people are holding back,thinking that they will affect their income if they tell all.The market place is to BIG for that.
Thank you
  • #426
  • Edited 3:18am Sep 5, 2009 2:59am | Edited 3:18am
I want to add a few things cos this is going in wrong direction for some of folks here....Skfx has made a great job here......he made a bunch of guys here to think realy hard, and I think that was his main intention.

Do not take a statement about one way market seriously,
he was refering to breaking of buys & sells equilibrium, and when that happens, you could say that market is bound to go in one direction,
based on prevailing orders volume.
Skfx charts were nice explanation of possible order placing and mechanics of them, but if you are just trying to figure out where are the orders placed on your chart based on price action you are just guessing
where are they and how big they are(especialy using forex tick volume).
The one and only way to "know" where and who are placing orders
is examining LEVEL2 data!!! Skfx is talkin about TAPE READING.
Get yourself a TradeStation or some other good platform with level2 data,
few books about tape reading, and start to stare at orders flow for a few months, and you could figure it out!

(this program will not help you much, but you will get the real feel
of what order flow is and how could it help you....just rename all the files to RAR before using winrar).

Regards
Attached File(s)
File Type: zip CMEfx.part1.zip   1.4 MB | 1,098 downloads
File Type: zip CMEfx.part2.zip   1.4 MB | 1,180 downloads
File Type: zip CMEfx.part3.zip   955 KB | 825 downloads
forexflash
  • #427
  • Sep 5, 2009 4:07am Sep 5, 2009 4:07am
ForexFlash, good points and yes that's where the focus should be headed - the chart as a guide but the order flow to help interpret what's actually going on.

It's one thing to suppose that stops are getting hit in an area due to TA, history or probabilities, and quite another to actually watch the flow of orders going through when those levels are breached. There is a big difference between seeing lots of 100s+ going through and small lots 1s and 5s for example.

But the book as we know only gives us the limit side of things or those who are providing liquidity. And from our understanding of market participants we have a good idea whose orders we are seeing in the book generally. If only there were a stop order book. Haha! But we can see executed orders when we watch "the tape" or order flow or volume as some call it by different terms. Particularly watching order flow at the levels where stops are likely to congregate to give us a clue as to possible reversal, continuation etc. And as Capitalist aptly pointed out, each transaction is really a market (stop or mkt) order meeting a limit order or a liquidity taker meeting a liquidity provider respectively.
  • #428
  • Sep 5, 2009 4:39am Sep 5, 2009 4:39am
Quoting FOREXflash
I want to add a few things cos this is going in wrong direction for some of folks here....Skfx has made a great job here......he made a bunch of guys here to think realy hard, and I think that was his main intention.

Do not take a statement about one way market seriously,
he was refering to breaking of buys & sells equilibrium, and when that happens, you could say that market is bound to go in one direction,
based on prevailing orders volume.
Skfx charts were nice explanation of possible order placing and mechanics of them, but if you are just...
What is the program? Can you tell me more? Thx
  • #429
  • Sep 5, 2009 4:41am Sep 5, 2009 4:41am
Quoting FOREXflash
The one and only way to "know" where and who are placing orders
is examining LEVEL2 data!!! Skfx is talkin about TAPE READING.
Get yourself a TradeStation or some other good platform with level2 data
Sorry, how helpful can a particular broker's level 2 data be in an OTC market, it's an incomplete picture. We're trading spot, right?
  • #430
  • Sep 5, 2009 4:44am Sep 5, 2009 4:44am
Quoting Ferrari
What is the program? Can you tell me more? Thx
Here's a screenshot of the program and as the poster said:

Quote
(this program will not help you much, but you will get the real feel
of what order flow is and how could it help you...
Attached Image
Don't wish it were easier, wish you were better. ~ Jim Rohn
  • #431
  • Sep 5, 2009 4:50am Sep 5, 2009 4:50am
Sweet, by the way level 2 data is very useful as fx futures is a place where the real heavy weights can be found hedging fx risk.

So is the program a level 2 sim? Live orderbook? Using CME futures data? Brokerage data?


"Futures will fluctuate above or below the cash price, but

the cash price sets the limits of any move in the futures market, because large dealing houses with low dealing costs will have an established arbitrage channel and their actions will bring the future back in line with the cash. This process keeps the price movements between the cash and futures markets largely similar.

Sudden movements away from the cash price are usually caused by the activities of the specialists or market-makers. These professionals are trading their own accounts and can see both sides of the market
(i.e. the buy and sell orders). If syndicates are in the process of selling or buying large blocks of shares, they know these large transactions will have an immediate effect on the market, so they will also trade the
futures and option contracts in order to offset or lower risk. This is why the future often seems to move before the cash." - Master the Markets


  • #432
  • Sep 5, 2009 4:58am Sep 5, 2009 4:58am
Does anyone know where I could obtain interest rate futures historical data, say daily close price for these contracts?
  • #433
  • Sep 5, 2009 5:00am Sep 5, 2009 5:00am
Hang on, you're trying to use futs DOM to guess order flow in spot? Really?

Well good luck with that anyway
  • #434
  • Sep 5, 2009 5:07am Sep 5, 2009 5:07am
Quoting pipmutt
Sorry, how helpful can a particular broker's level 2 data be in an OTC market, it's an incomplete picture. We're trading spot, right?
Forget about any OTC....this works for stocks!....but you already know that
forexflash
  • #435
  • Sep 5, 2009 5:08am Sep 5, 2009 5:08am
pipmutt: You should really break down and read your self imposed homework assignment. slacker! That would clear up a few things with regards to who is doing the heavy trading in the fut currencies and why you should care. I don't want to spoil the ending for you. lol

There is the limit order book as one component and the other is actual transactions or order flow. And then there is the chart and the levels where stops might be placed - confirmed by order flow.
  • #436
  • Sep 5, 2009 5:16am Sep 5, 2009 5:16am
Quoting FXEZ
You should really break down and read your self imposed homework assignment. slacker!
That would clear up a few things with regards to who is doing the heavy trading in the fut currencies and why you should care. I don't want to spoil the ending for you. lol

lol, I admit I'm a slacker, but I hate wild goose chases

I'd love you to spoil the ending for me, I really don't understand how you guys can use this stuff to guess (that's all it is, a wild guess) order flow in spot.

Am I in the wrong forum here, are y'all trading futures?
  • #437
  • Sep 5, 2009 5:23am Sep 5, 2009 5:23am
I'm having trouble opening the zip files, anyone know where else I could grab the program from?
  • #438
  • Sep 5, 2009 5:27am Sep 5, 2009 5:27am
Quoting Ferrari
I'm having trouble opening the zip files, anyone know where else I could grab the program from?
This is the program......
http://gamebot.com.ua/cmefx.zip/en/index.html

And this is where program grab info....
http://equivalentswdc.cme.com:443/index.html

Regards
forexflash
  • #439
  • Sep 5, 2009 5:30am Sep 5, 2009 5:30am
Quoting FOREXflash
This is the program......
http://gamebot.com.ua/cmefx.zip/en/index.html

And this is where program grab info....
http://equivalentswdc.cme.com:443/index.html

Regards
Thanks
  • #440
  • Sep 5, 2009 6:54am Sep 5, 2009 6:54am
Quoting LasVahGoose
I appreciate you taking the time to post this, but I was being facetious with my questions. Good post none the less.
hmm...I didn't catch any facetiousness...I even re-read that part of the thread...either way, if it didn't help you, it will help someone...I know at a time it would have helped me.

btw, any idea what happened to Cellar Door's posts? Now it looks like I was talking to myself, lol. At least you can still see that I quoted him...
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