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Stating The Obvious and The Quest For Wisdom

  • #401
  • Mar 15, 2010 12:13pm Mar 15, 2010 12:13pm
Quoting SunTrader
Percent of account risked per trade per pair is what matters most, not potential profit or how many lots at one time that can be traded.
You have a per pair risk? Are you using a volatility type stop then? Just curious.
  • #402
  • Mar 15, 2010 12:17pm Mar 15, 2010 12:17pm
Quoting SunTrader
Percent of account risked per trade per pair is what matters most, not potential profit or how many lots at one time that can be traded.
Absolutely, that's why leverage used is such a pointless calculation.
  • #403
  • Mar 15, 2010 12:21pm Mar 15, 2010 12:21pm
Quoting markmm
Its an intriguing puzzle, trying to work out which orders are being placed by who and why.
With the greatest of respect that's not a puzzle, it's an impossibility.
  • #404
  • Mar 15, 2010 12:28pm Mar 15, 2010 12:28pm
Quoting pipmutt
With the greatest of respect that's not a puzzle, it's an impossibility.
Ok how about taking an educated guess where stops are based on TA and off chart info.
Economists have forecast 9 out of the last 5 recessions
  • #405
  • Mar 15, 2010 12:42pm Mar 15, 2010 12:42pm
Quoting markmm
Ok how about taking an educated guess where stops are based on TA and off chart info.
Nothing wrong with an educated guess, levels are being probed all the time for stops, there was a good example on Cable on that chart in my opinion. A spike up to just above 1.52 before the 2 cent sell off. Was that players looking to sell at a better price, testing 1.52 for stops, then selling? It would seem to make sense but that's all it is, a guess, there's no way of knowing as far as I'm aware. Futures data may give a clue but I've never found it particularly useful and it doesn't appear anyone else here has either.

It might be interesting to know where stops are but how much practical use can it be, how would you exploit that knowledge? You're not going to know volume.
  • #406
  • Edited 1:02pm Mar 15, 2010 12:48pm | Edited 1:02pm
Quoting pipmutt
Nothing wrong with an educated guess, levels are being probed all the time for stops, there was a good example on Cable on that chart in my opinion. A spike up to just above 1.52 before the 2 cent sell off. Was that players looking to sell at a better price, testing 1.52 for stops, then selling? It would seem to make sense but that's all it is, a guess, there's no way of knowing as far as I'm aware. Futures data may give a clue but I've never found it particularly useful and it doesn't appear anyone else here has either.

It might be interesting...
So your telling me that studying order flow to death wont give me a 99% win ratio?, im getting my 200 ma/fib and rsi out the drawer then.

Seriously though this stuff can only help your trading, im sure there are ways to exploit this knowledge, that is the hard part understanding it is the easy part. Look at this chart with some other info on it (Which was there before the big swing).

My understanding is that news came out, liquidity disappeared or stops hit on the way up causing the swing then hitting the option levels that had limit orders protecting them, probably way off though.
Attached Image (click to enlarge)
Click to Enlarge Name: 2010-03-15_1948.png Size: 47 KB
Economists have forecast 9 out of the last 5 recessions
  • #407
  • Mar 15, 2010 12:50pm Mar 15, 2010 12:50pm
Quoting Scotty B
I'd be curious what DS or mike has to say about this.
All the data out today was bad. The drop in price was a risk aversion flow towards the dollar. On the short timeframes its not real pretty, and I can easily see another dip to stops below 3620. Failure to take out the 3620 level would be a great confirmation for long positions.

Out on the daily and 3-4hr charts the direction is still up. My long is still on (at just about BE) and I'm not at all concerned about it.
  • #408
  • Mar 15, 2010 12:59pm Mar 15, 2010 12:59pm
Quoting markmm
Seriously though this stuff can only help your trading
You know I'm not so sure, it's all so vague and incomplete, the information (if there actually is any information!) is so subjective and open to any number of interpretations, and none of it could be relied upon, it could be bluff and double bluff for all we know.

If it can be shown to have a practical benefit and be more effective over some extremely simple strategy like say a breakout strategy then sure, but so far there's nothing tangible to suggest it's anything more than smoke.....in my opinion.

Fundamentals also seem to be being added into the mix, if I want to know market opinion on fundamentals then to be frank there are better places to read it, ie
  • #409
  • Mar 15, 2010 1:01pm Mar 15, 2010 1:01pm
I use to put the stops where the conspirationists would expect and this is exactly a few pips on the other side of the last significant candle. Guess what, it happens extremely rare that they are triggered followed by a movement in my direction. Usually, if triggered, the movement continues against me.
I also made a lot of simulations, with larger or tighter stoplosses. If they are larger my profits are decreasing without seeing a decrease in maximum drawdown. If they are tighter then my profits become bigger but I lose that sure feeling of seeing them where they actually should be.

The conclusion is trivial: forget about quantifying stop hunting because you can't beat the solid statistical proof. I prefer spending my time identifying good entry opportunities instead.

What I said works for me because I trade only intraday. For the long term trader stop hunting doesn't matter. If you buy at 1.3500 having 1.4000 as target and you're expecting to be in the market for weeks, do you care if the price goes against you 20 pips? Or 50? Yes, you could have bought cheaper but this is the inherent risk of trading.

LE. My opinion on EURUSD, a few days ago.
http://www.forexfactory.com/showpost...&postcount=208
  • #410
  • Mar 15, 2010 1:10pm Mar 15, 2010 1:10pm
Quoting Darkstar
All the data out today was bad. The drop in price was a risk aversion flow towards the dollar. On the short timeframes its not real pretty, and I can easily see another dip to stops below 3620. Failure to take out the 3620 level would be a great confirmation for long positions.

Out on the daily and 3-4hr charts the direction is still up. My long is still on (at just about BE) and I'm not at all concerned about it.
Thanks Darkstar.

I guess it's just one of those wait and see types of situations then. The day is winding down, maybe we'll go sideways until tomorrows CPI announcement. The Asians are tricky with the low liquidity though.

I see hope though at todays lows.
  • #411
  • Mar 15, 2010 1:13pm Mar 15, 2010 1:13pm
Quoting Scotty B
...maybe we'll go sideways until tomorrows CPI announcement...
Aren't 'they' about to come out any time now with news of the package to rescue Greece from the abyss?
  • #412
  • Mar 15, 2010 1:14pm Mar 15, 2010 1:14pm
Quoting Darkstar
Out on the daily and 3-4hr charts the direction is still up. My long is still on (at just about BE) and I'm not at all concerned about it.
That's some motherf****** zen if I've ever seen one.
  • #413
  • Mar 15, 2010 1:31pm Mar 15, 2010 1:31pm
This may be off topic but I have a question regarding Orders. An order book has limit orders, I assume there also a market order book for stop orders (which are market orders). When a normal market buy order comes in and consumes the lowest offer limit orders (say it consumes all offers for 10 pips). When are the market stop orders executed? (If we assume there are stop buy orders at the levels the market buy consumes)

Is it

a) After the whole market buy is filled by all the offers, (Slippage for any stop orders below the point where the buy order is finally filled).

b) After each offer level is consumed, then all stop orders are triggered and execute first causing the market order to wait and get a shittier price.

I understand this may be dependent on the exchange, but Im talking about Oanda say for eg.

Mark
Economists have forecast 9 out of the last 5 recessions
  • #414
  • Mar 15, 2010 1:43pm Mar 15, 2010 1:43pm
First of all a sitting stop is a limit order, not a market order, which is desigend to get out of the market at whatever price it is set at. It is called a stop, but it is the same as a limit buy or sell to get ride of whatever currency you are holding. Market orders are buy/sell NOW orders.

Second of all, Oanda is a market maker. They are taking the other end of every trade you place so the concepts do not apply. Prices move as they quote them. They quote prices based on their feeds from their liquidity providers (interbanks). So market and limit orders are executed just about the same with Oanda.

Does that answer your question?
All I ask for is a chance to prove that money cannot make me happy.
  • #415
  • Mar 15, 2010 1:57pm Mar 15, 2010 1:57pm
Quoting Marsh
First of all a sitting stop is a limit order, not a market order, which is desigend to get out of the market at whatever price it is set at....
Nope, firstly a stop order is a market order, unless you mean limit stop, which I wasn't talking about.
I am talking about the mechanisms of order execution in general forget Oanda that as just an example.

If you are a bit unclear on order types read this thread especially Merlins posts.
http://www.forexfactory.com/showthread.php?t=87133
Economists have forecast 9 out of the last 5 recessions
  • #416
  • Mar 15, 2010 2:06pm Mar 15, 2010 2:06pm
Quoting markmm
This may be off topic but I have a question regarding Orders. An order book has limit orders, I assume there also a market order book for stop orders (which are market orders)....
I'd go with A. Because it takes market orders to activate the stop price in the first place. When they are filled, you'll be filled at the next available liquidity.You're right though, differant exchanges will most likely have unique rules for this.
  • #417
  • Mar 15, 2010 2:10pm Mar 15, 2010 2:10pm
Quoting Scotty B
I'd go with A. Because it takes market orders to activate the stop price in the first place. When they are filled, you'll be filled at the next available liquidity.You're right though, differant exchanges will most likely have unique rules for this.
Ok because I intend to write an application so I can better visualise this stuff, i.e. set up group of stops then fire a market order into them, with some random orders going in. And make it draw some lines based on this.
Economists have forecast 9 out of the last 5 recessions
  • #418
  • Mar 15, 2010 2:36pm Mar 15, 2010 2:36pm
Quoting Scotty B
I hate to quote myself, but one more thing. I would consider stops insignificant flow. Mike showed us that profit covering that we saw late Friday was not any sort of informative flow. I'd put all the position management orders in that category.
It really depends on the target time slice as to what is considered significant or not. For a non-daily centric short term strategy the same flow creating the same move as referenced in your quote would be considered highly significant and might be considered the target or ideal move such a strategy is attempting to reap.

Not having engaged in the thread banter of late the interesting thing is that so much of this is quantifiable information. Despite the fact that the tone of the thread has taken the turn that the soft, fuzzy and unquantifiable (whether by choice or by lack of measurement tools) aspect of order flow trading seems to preferable or even zennish in its mystical profit properties. If order flow trading boils down to anticipating future fund flows then it seems to be a sort of more enlightened anticipatory FA with price action confirmation. If that's the case, why not just state it outright so those who are decoding the fisherman's riddles may get on with threading their pole with the right type of line and bait instead of bantering about the mystical beauty of the master baitsman's pole. I'll let you guys get back to polishing your poles.
  • #419
  • Edited 2:51pm Mar 15, 2010 2:39pm | Edited 2:51pm
Quoting pipmutt
Nothing wrong with an educated guess, levels are being probed all the time for stops, there was a good example on Cable on that chart in my opinion. A spike up to just above 1.52 before the 2 cent sell off. Was that players looking to sell at a better price, testing 1.52 for stops, then selling? It would seem to make sense but that's all it is, a guess, there's no way of knowing as far as I'm aware. Futures data may give a clue but I've never found it particularly useful and it doesn't appear anyone else here has either.

It might be interesting...
There are some services that allow you to see retail stops. Oanda for example publishes the stop levels they have.

I don't need to be cryptic so here are few links

http://fxlabs.oanda.com/products/his...onhistory.html
http://fxlabs.oanda.com/products/his...erhistory.html

edit: Oh I read the post incorrectly - this was about when a stop level is penetrated and when it is not, not about where the stop levels are so the above is a bit irrelevant..
  • #420
  • Mar 15, 2010 2:39pm Mar 15, 2010 2:39pm
Quoting markmm
This may be off topic but I have a question regarding Orders. An order book has limit orders, I assume there also a market order book for stop orders (which are market orders)....
Wouldn't it depend on how the broker/marketmaker queues orders, and where in the queue an order ends up?
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