(binned per thread starter's request) Behind Price-Orderflow | Page 30 | Forex Factory

Options

Go to
Permalinks
Print Thread

Similar Threads

How to Use Orderflow in Forex - Any Ideas? 9 replies

Question about OrderFlow or OrderPosting via Broker or LiqProv 1 reply

Collection of posts/threads from orderflow traders 0 replies

Using future orderflow, to predict spot prices 16 replies

Vidas - Orderflow 1 reply

Attachments: (binned per thread starter's request) Behind Price-Orderflow
Exit Attachments

(binned per thread starter's request) Behind Price-Orderflow

  • #581
  • Sep 21, 2009 11:14pm Sep 21, 2009 11:14pm
Quoting Scotty B
One thing I just remembered...In one of my research papers I read that on the interbank, the market depth those people see are limited to the best bid/ask and the quantities at those levels. So if this is correct, you wouldn't see the best 5 bid and asks like on the CME futures exchange, just the depth at the current market. Can someone confirm this?
Sorry guys, just found it.. Here is the quote, this is from Osler. Bold for emphasis.

"EBS and Reuters share a common, uncomplicated structure. Standard price-time priority applies. Hidden orders are not permitted. Limit orders are not expandable. Orders must be for integer amounts. Trading is anonymous in the sense that a counterparty’s identity is only revealed when a trade is confirmed. Dealers pay commissions on limit orders as well as market orders, though the commission on limit orders is smaller.
These markets have low pre- and post-trade transparency relative to most other limit-order markets. With respect to pre-trade information, price information is limited to the best bid and offer quotes, and depth information is limited to total depth at the quotes unless it exceeds $20 million (which it usually does during active trading hours). The only post-trade information is a listing of transaction prices. The exchanges do not publish any trading volume figures.
Trading on the electronic brokerages was restricted to dealers until 2005. Now, certain hedge funds are permitted to trade on EBS. Automated (program) trading was permitted around the same time. These shifts are reported to be a major source of the surge in trading between dealers and their financial customers since 2004 (B.I.S. 2007)."
  • #582
  • Sep 22, 2009 8:42am Sep 22, 2009 8:42am
Excellent thread and great discussions on price-orderflow. What is the relationship between price-orderflow and level 2 quotes? If level 2 quotes could be obtained for the forex market (some here have access to that data), how can that information be used to efficiently trade the forex market...

I have been doing research on the above-mentioned and the information seems quite limited. Still researching. This thread has awakened my mind to new possibilities. Thank you.


fxpilot
  • #583
  • Sep 22, 2009 10:50am Sep 22, 2009 10:50am
Quoting Darkstar
Not to be a stickler for accuracy, but this isn't orderflow trading. All your doing is commenting on market mechanics. There is no predictive value. IE- It's great that you understand the mechanics, but it isn't going to put any money in your pocket.

To trade order flow you need data from outside the chart. Level 2, a brokers orderbook, a service that gives you info about brokers orderbooks, etc. There is a fuckton of money to be made from orderflow trading if you know what your doing, but you need the datafeed.

And no, I won't tell you where...
Yes, Darkstar, "orderflow trading", in the strict interpretation, can only be done if you have the orderflow data. I thought we (as a thread) had gotten past this many pages ago, but many times people do not like to read the entire thread.
I believe the original poster's intent, as was mine, was to get people to 'think' in terms of order flow when looking at a chart.
It's no holy grail, its simply a market perception that may help you, it may not. If thinking about this gets in the way of your trading then of course, forget you ever read this thread. If thinking this way helps you identify areas of interest on your chart, then by all means, try to develop this skill further.

Knowing where the large orders, big players, smart money, banks, entities that affect the market, whatever the hell you want to call them, are positioned will help your trading...do you want to trade with them or against them?

edit: darkstar, don't take this as all directed at you, more directed at the thread in general...
  • #584
  • Sep 22, 2009 1:21pm Sep 22, 2009 1:21pm
Quoting jpat1023
If thinking this way helps you identify areas of interest on your chart, then by all means, try to develop this skill further.
It's very helpful. Of course, to see the order placement in advance would be great. But, to be looking at the chart with the intention of letting the orders reveal themselves as the market runs into them and then draws others on the sidelines in (or not) is still good. Yes, you're chasing the price a bit I suppose but, it's working a hell of a lot better than what I was previously trying to work with - indicators and Grails.

Thanks to all posters!
  • #585
  • Sep 22, 2009 1:26pm Sep 22, 2009 1:26pm
Quoting FXSurfer
It's very helpful. Of course, to see the order placement in advance would be great. But, to be looking at the chart with the intention of letting the orders reveal themselves as the market runs into them and then draws others on the sidelines in (or not) is still good. Yes, you're chasing the price a bit I suppose but, it's working a hell of a lot better than what I was previously trying to work with - indicators and Grails.

Thanks to all posters!
Thank you fxsurfer...its nice to see someone get the point.

I too would like to thank many of the posters in this thread.

Happy Trading!
  • #586
  • Sep 22, 2009 1:31pm Sep 22, 2009 1:31pm
Quoting jpat1023
Happy Trading!
Same to you!

I suggest that others read your posts throughout the forum.
  • #587
  • Edited 2:49pm Sep 23, 2009 1:23pm | Edited 2:49pm
Ok, some specification of Market Depth tools,
level 2 is a tool (order book) where one can see the last 5 bid and ask price, depth of book, and sometime more... this is or can be useful for order placing.
With time and sales one can see when and at what price and order is filled.
With order flow and better with tape reading is indetend to try to coaught were when and how much orders are place, if there are more aggresive buy or sell.
Tape reading is not simple.
There are more than one way, or many startegy to do this, is not simple reading the time and sale.
There are advanced strategy that required a lot of practice.
But in the end this is useful for trading.

Lubo.
If I know how, I tell You!! Few but Good!!
  • #588
  • Sep 23, 2009 2:44pm Sep 23, 2009 2:44pm
this is an market depht from euro future with ninjatrader.
Attached Image (click to enlarge)
Click to Enlarge Name: orderflow.png Size: 35 KB
If I know how, I tell You!! Few but Good!!
  • #589
  • Sep 23, 2009 2:55pm Sep 23, 2009 2:55pm
trading with order flow or tape reding is not to look at the number u can see on order book or time and sale, but when an instrument have a market deep there is the possibility to build indicators that take advantage from that data and cab be read from chart to help to visualize where waht kinda of order take place at certain price level etc.
If I know how, I tell You!! Few but Good!!
  • #590
  • Sep 23, 2009 3:48pm Sep 23, 2009 3:48pm
an example of what you ca see with market deep data.
Attached Image (click to enlarge)
Click to Enlarge Name: orderflow002.png Size: 46 KB
If I know how, I tell You!! Few but Good!!
  • #591
  • Sep 23, 2009 3:58pm Sep 23, 2009 3:58pm
hello all,

i did not realy follow this thread but what i've read stayed with me. today i demo-traded the FOMC meeting with orderflow in mind.
just a experiment... but i will do this tommorow with unemployment claims and other major news.

i hope my chart is clear.

i would like to say also that my first entry was a gamble. if i had "darkstar data" this could be a shure thing??. since most of us do not have this data, IMHO, we should trade the vacuum created by a sweep.

kind greets, pax
Attached Image (click to enlarge)
Click to Enlarge Name: 23-09 FOMC chart.JPG Size: 115 KB
even with my eyes open i cannot see everything
  • #592
  • Sep 23, 2009 4:46pm Sep 23, 2009 4:46pm
Volume is real important...
There a thread about order flow especially for volume trading, and is treated professionally by Alex_s here http://www.forexfactory.com/showthread.php?t=136907. (http://www.forexfactory.com/showthread.php?t=136907) and is very instructive.

Lubo.
If I know how, I tell You!! Few but Good!!
  • #593
  • Sep 24, 2009 4:15am Sep 24, 2009 4:15am
Quoting LuboLabo
trading with order flow or tape reding is not to look at the number u can see on order book or time and sale, but when an instrument have a market deep there is the possibility to build indicators that take advantage from that data and cab be read from chart to help to visualize where waht kinda of order take place at certain price level etc.

I use market delta --delta footprints exclusively for my trading of futures. For indexes, currencies, and notes. It's an invaluable tool that allows you to see the order flow and it's effect on price.

Now, while I believe I am trading order flow with MD it is nothing like what these guys are talking about.

These guys are not looking at charts, T&S, and volume trying to piece together where the path of least resistance may be. These guys HAVE the information long before price exposes itself on our charts or DOM.

I understand them not wanting to divulge the information; hell when I found the little edges I do have, I wanted to pull down the shades, turn off the lights, and keep quiet cause I feel like I'm stealing. Totally different from all the other times I thought I found *it*. I'm sure my edges pale in comparison to what they are talking about.

When I read Darkstar a few years ago and he said he didn't use charts it blew me away and I hunted feverishly. I've long since given up the hunt for how they do it because I'm profitable in many other markets which require alot of time, but I've always wanted to know what information they had.
  • #594
  • Sep 24, 2009 5:48am Sep 24, 2009 5:48am
Quoting Prime#
These guys HAVE the information long before price exposes itself on our charts or DOM.
I don't know if they do. If SKFX emphasizes the speed factor, I assume he is watching time and sales/DOM in realtime and acting quickly on his observations. Time and sales IS orderflow. Depth of market is possible orderflow- a glimpse on the currently available liquidity/trading options. I think these guys use simple futures data to do their analysis, and laugh and laugh when they see us searching for something that does not exist; a chasing of the wind. I read a very intreaging research paper tonight that has convinced me of this.

Gaston said that everything that we need is out there, we just need to dig around a little. I am finding that to be true. It's not as far out and mystical as one might think.
  • #595
  • Sep 24, 2009 6:38am Sep 24, 2009 6:38am
http://portal.knowledgebase.net/display/2n/index.asp?c=15572&cpc=JpRoH52EF7NTdA03B2IfYF5uwLEKur40r5a5pW2mn&cid=12729&cat=&catURL=&r=7.091922E-02

Taken from the above:

"Spot (cash) forex is a decentralized market and usually does NOT include volume with each trade. This affects the Footprint chart within MarketDelta and related volume based studies (Volume breakdown indicator) because they require volume in order to work properly....

...Monitor the trades NOT volume. This is a quasi-method for monitoring trading activity with spot forex. Here's how:
Open the Footprint preferences | General tab | Chart TRADES at each price. This is in the top drop down list.
Click OK. You will now see the number of trades at the bid and ask if viewing the bid/ask Footprint."

If we know the number of trades at the bid/ask, does this constitute orderflow? Obviously we are missing the volume of the trades so can't judge the 'weight' of the trades at bid/ask.
  • #596
  • Sep 24, 2009 6:50am Sep 24, 2009 6:50am
Quoting Limstylz
http://portal.knowledgebase.net/display/2n/index.asp?c=15572&cpc=JpRoH52EF7NTdA03B2IfYF5uwLEKur40r5a5pW2mn&cid=12729&cat=&catURL=&r=7.091922E-02

Taken from the above:

"Spot (cash) forex is a decentralized market and usually does NOT include volume with each trade. This affects the Footprint chart within MarketDelta and related volume based studies (Volume breakdown indicator) because they require volume in order to work properly....

...Monitor the trades NOT volume....

The link opened to a blank page. Tried it a few times... same result.
  • #597
  • Sep 24, 2009 6:56am Sep 24, 2009 6:56am
Quoting Limstylz
http://portal.knowledgebase.net/display/2n/index.asp?c=15572&cpc=JpRoH52EF7NTdA03B2IfYF5uwLEKur40r5a5pW2mn&cid=12729&cat=&catURL=&r=7.091922E-02

Taken from the above:

"Spot (cash) forex is a decentralized market and usually does NOT include volume with each trade. This affects the Footprint chart within MarketDelta and related volume based studies (Volume breakdown indicator) because they require volume in order to work properly....

...Monitor the trades NOT volume. This is a quasi-method for monitoring trading activity with spot...
Market Delta uses futures data. Unless you can get a spot feed, maybe thats what you are talking about..Knowing the number of trades is one approach of meassuring orderflow, although there are a few methods that can be used in doing so. So yes, the number of trades IS orderflow. Remember, orderflow is the sum of buy trades and sell trades. The sum of those two is orderflow. If you have more buying then selling, the market is net long, if there is more selling, the market is net short. When the market is in one of these states, price must move so that dealers in the interbank can clear their books. Remember, it is the interbank that makes up the core of the market. We need to align our priorities with those of the dealers. They don't like holding inventory positions because it exposes them to risk. So if they are net long, prices will be raised to induce selling to the commercial public. They then net their books to around zero inventory and the same process begins again. If you know how the dealers are situated, you could in theory take advantage of them. Its not as easy as it sounds though. It's just another iron door you come to in your quest to learn. There are many aspects of this suff guys.
  • #598
  • Sep 24, 2009 7:29am Sep 24, 2009 7:29am
Quoting Scotty B
Market Delta uses futures data. Unless you can get a spot feed, maybe thats what you are talking about.
Actually MarketDelta can take ANY feed from the relevant broker. They recommend Interactive Brokers for forex trading. So it not only uses futures, but stocks, indices and forex (given the relevant data).

Quote
So yes, the number of trades IS orderflow.

Was actually a rhetorical question, but thanks for confirming.

Quote
Remember, orderflow is the sum of buy trades and sell trades. The sum of those two is orderflow. If you have more buying then selling, the market is net long, if there is more selling, the market is net short. When the market is in one of these states, price must move so that dealers in the interbank can clear their books.... They don't like holding inventory positions because it exposes them to risk. So if they are net long, prices will be raised to induce selling to the commercial public. They then net their books to around zero inventory and...

You explained this already in this thread, but your reiteration is much appreciated.
  • #599
  • Sep 24, 2009 7:33am Sep 24, 2009 7:33am
Quoting Lou
The link opened to a blank page. Tried it a few times... same result.
Tried my posted link on different machines and browsers. Link works, however:

http://www.marketdelta.com/

Go to Support > knowledge base

Type forex in the search bar and the first hit "Can MarketDelta Be Used With Forex Markets, Statistics, or an Index? (287276)" is the article.

They also have some great videos explaining limit orders and market orders (which include stops). I know it has been explained here already, nevertheless.
  • #600
  • Sep 24, 2009 7:49am Sep 24, 2009 7:49am
Quoting Limstylz
Actually MarketDelta can take ANY feed from the relevant broker. They recommend Interactive Brokers for forex trading. So it not only uses futures, but stocks, indices and forex (given the relevant data).
Yeah I guess I should have known that. Market Delta is just a platform, but you are right, they have some interesting tools. I don't know how helpful a spot fx feed would be using MD. I would be curious to know how they determine bids from asks with a spot feed. If they are simply using tick counts, it's probably not good enough, and I doubt they are doing anything other than that. But if you are plugged into futures data, which is highly transparent, you could get bidXask counts that were much more accurate. I talked to a guy at a brokerage in Chicago a while back about the Market Delta fx futures feed and he said they get all relevent trade info down to individual buy and sell initiated trades. So if what he said is true, they are using pure, raw transaction data to fill in their footprint charts and not relying on tick counts or fancy algorithyms.
0 traders viewing now