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Stating The Obvious and The Quest For Wisdom

  • #1,041
  • Mar 22, 2010 11:21pm Mar 22, 2010 11:21pm
Quoting Scotty B
Yeah..I've day dreamed many a times about having access to real-time streaming OI. In the scheme of things you don't need it at that level. To my knowledge, daily fx dot com has a service that updates it twice daily, but I've never looked into it.
It's available but it just must be available to larger accounts.

References:

http://www.forexfactory.com/showpost...&postcount=269

"You’re mixing two concepts here. There is the concept of trading orderflow, which requires things like option placement data and open interest at price levels and the concept of technical trading based on valid market mechanics."

http://www.forexfactory.com/showpost...26&postcount=5

"You’ll notice that there is open interest (Level II Vol figures) of various sizes at different price points. Each one of those units represents existing limit orders and in this example, each unit is $1mil in currency."

The picture was removed so I don't know what was here.

Also right above this post:

"Looking at an ECN platform or Level II data on the stock market, one can get a feel for what the orders on EBS look like. The following is a sample representation:"

http://www.forexfactory.com/showpost...2&postcount=83


"1) Any forex news service will share this info as it becomes available. It's quite frequent and reliable. Sometimes you can see it happen in the open interest on an institutional platform. You don't know who or why there doing it, but you can see the book get consumed."

Besides an institutional platform there might be some way to gauge(not exact #s but estimate) open interest through IFR itself. I've seen DS mention this in another thread.












  • #1,042
  • Mar 23, 2010 2:19am Mar 23, 2010 2:19am
I was using open interest on futures intraday (6E),
all you have to do is open a Sierra chart account, and subscribe to a real time futures feed, or open a futures trading account, open e-cry, transact, etc.
Biggest joker
  • #1,043
  • Mar 23, 2010 2:30am Mar 23, 2010 2:30am
Assuming you do know about this:
http://www.cmegroup.com/daily_bullet.../VOIREPORT.pdf
Biggest joker
  • #1,044
  • Mar 23, 2010 3:27am Mar 23, 2010 3:27am
"And right here let me say one thing: After spending many years in Wall Street and after making and losing millions of dollars I want to tell you this: It never was my thinking that made the big money for me. It always was my sitting. Got that? My sitting tight! It is no trick at all to be right on the market. You always find lots of early bulls in bull markets and early bears in bear markets. I've known many men who were right at exactly the right time, and began buying or selling stocks when prices were at the very level, which should show the greatest profit. And their experience invariably matched mine -- that is, they made no real money out of it. Men who can both be right and sit tight are uncommon. I found it one of the hardest things to learn. But it is only after a stock operator has firmly grasped this that he can make big money. It is literally true that millions come easier to a trader after he knows how to trade than hundreds did in the days of his ignorance." - Jesse Livermore

Be Right & Sit Tight. Got it?
"If The Fool persists in his Folly he will become wise." - William Blake
  • #1,045
  • Mar 23, 2010 7:57am Mar 23, 2010 7:57am
Quoting baron193
I was using open interest on futures intraday (6E),
all you have to do is open a Sierra chart account, and subscribe to a real time futures feed, or open a futures trading account, open e-cry, transact, etc.
IMO that is not of use. 6E has miniscule volume so OI would as well.
  • #1,046
  • Mar 23, 2010 8:26am Mar 23, 2010 8:26am
There is a problem of terms going on here. I suppose you could call limit orders open interest, but open interest is ussually refered to as existing open positions in the market. Meaning if Fools sells me 125,000 Euros, he is short and I am long. Say he later buys back the Euros form barron but I stay in the position. In this case the open interest would be 1 contract.

The significance of streaming open interest would be that it shows you if new money is flowing into the market. It's a strong sign of trend continuation and also reversal when it's removed.

It makes sense to think of sitting limits as open interest, but most limits disappear at the end of the day anyways. I just call them liquidity or immediacy. Knowing what kind of liquidity is currently available is, to me, only helpful sometimes.

Early last Thursday morning I watched a 200 bid sitting in the depth during Asia on a very low liquid market. Every time price approached that bid buying would pull the market away from it. This happened several times for ~ 20 pip bounces. Every time the market neared that price level the 200 bid was still there. Eventually price made it down to the price above the large bid and ranged there for a few minutes and then very quickly price popped through that level and sure enough there was a 200 print on time and sales.

As price broke through this level, and traded below it there was a continued nice fall to follow. This is the only way I've really learned to use the DOM. As many of you have probably found, there's not much out there to really help in figuring it out. With that said, I don't use DOM as my main trading tool but there is no doubt it can be useful.
  • #1,047
  • Mar 23, 2010 8:29am Mar 23, 2010 8:29am
Quoting SunTrader
IMO that is not of use. 6E has miniscule volume so OI would as well.
Spot and futures are side by side draft horses, they both have the ability to lead price. They are both real traded markets, price movement on one market will not move the other but by arb robots or quick humans.
  • #1,048
  • Mar 23, 2010 8:40am Mar 23, 2010 8:40am
Quoting Deusomega

"1) Any forex news service will share this info as it becomes available. It's quite frequent and reliable. Sometimes you can see it happen in the open interest on an institutional platform. You don't know who or why there doing it, but you can see the book get consumed."

Besides an institutional platform there might be some way to gauge(not exact #s but estimate) open interest through IFR itself. I've seen DS mention this in another thread.
Thats correct. Late last Thursday and Early last Friday there was a 'bear flag' visible on the chart but IFR painted the picture of what was causing that movement (Japanese hedging) as well as the reporting of large offers capping the market @ 1.3625, which did turn out to be the max high price has made since then.
  • #1,049
  • Mar 23, 2010 8:46am Mar 23, 2010 8:46am
Quoting Scotty B
There is a problem of terms going on here. I suppose you could call limit orders open interest, but open interest is ussually refered to as existing open positions in the market. Meaning if Fools sells me 125,000 Euros, he is short and I am long. Say he later buys back the Euros form barron but I stay in the position. In this case the open interest would be 1 contract.

The significance of streaming open interest would be that it shows you if new money is flowing into the market. It's a strong sign of trend continuation and also reversal when...
This is a good point. I use DS's definition for purposes here. In his Structure of Forex Brokers article Bemac addresses this very concern about the defintion of open interest.

Here's DS response:

"I personally define open interest as an order that has been placed, but for one reason or another has yet to execute. In my example they represent pending limit orders, but they could equally mean market orders on the stock exchanges pending for execution at the opening bell.

Think of it as "I have an interest to buy, but my order has yet to be closed"."

And yeah limits are really just cheap visible liquidity that are valuable to others.

I'm assuming when you say "asks are getting hammered" or talking about the bid in the above example you are referring to a futures dom. Do you have a suggestion for a good demo futures broker to have a look at the dom?

I'm thinking if anything the dom would be useful to look at to get a real sense of the orderflow process. Have you found the futures dom to be correlated to spot movement?
  • #1,050
  • Edited 9:03am Mar 23, 2010 8:47am | Edited 9:03am
Quoting Scotty B
Spot and futures are side by side draft horses, they both have the ability to lead price. They are both real traded markets, price movement on one market will not move the other but by arb robots or quick humans.
I know. I've been trading futures for ten years now so I think I know a little about them.

I am not doubting the price movement. I am doubting the value though of OI of a contract that trades for puny amounts.

Edit: I had not seen the previous posts regarding DS defintion, but with all due respect this is not how the rest of the trading world uses the words "Open Interest" so in the interest of clarity he should refer to it by another phase.

Note today's true OI for the mini current contract E7M10 is 2694 with volume 1788 of and the large contract ECM10 185239 and volume of 130831. No comparision and hard to really guage if you are only looking at the small one. Anyone who says they have today's number before tomorrow's posting does not really.
  • #1,051
  • Mar 23, 2010 8:49am Mar 23, 2010 8:49am
You chose a fantastic quote. I have that section highlighted in my book in yellow highlighter. Livermore was incredible. He lost in the end only because of the stupid SEC who changed the rules on him when he had massive positions in some commodities etc. At that point with the rule change, he could not 'get out' of those positions.

Quoting The Fool
"And right here let me say one thing: After spending many years in Wall Street and after making and losing millions of dollars I want to tell you this: It never was my thinking that [font=Arial][color=#000000]made the big money for me. It always was my sitting. Got that? My sitting tight! It is no trick at all to be right on the market. You always find lots of early bulls in bull markets and early bears in bear markets. I've known many men who were right at exactly the right time, and began buying or selling...
  • #1,052
  • Mar 23, 2010 8:56am Mar 23, 2010 8:56am
Quoting Deusomega
This is a good point. I use DS's definition for purposes here. In his Structure of Forex Brokers article Bemac addresses this very concern about the defintion of open interest.

Here's DS response:

"I personally define open interest as an order that has been placed, but for one reason or another has yet to execute. In my example they represent pending limit orders, but they could equally mean market orders on the stock exchanges pending for execution at the opening bell.

Think of it as "I have an interest to buy, but...
The only difficulty I would have with that definition is that there are masses of sitting limits that never end up trading.

Because the futures mkt is puny compared to interbank otc, I'm fairly confidant that any reputable futures broker will show market wide depth on their platform so anyone you want to use would probably do the trick.
  • #1,053
  • Mar 23, 2010 9:21am Mar 23, 2010 9:21am
Quoting SunTrader
I know. I've been trading futures for ten years now so I think I know a little about them.

I am not doubting the price movement. I am doubting the value though of OI of a contract that trades for puny amounts.
My comment was more in response to your claim that futures OI is of little value. Seeing you say that makes me wonder if you've ever given it much thought. The point of my comment was that if activity in futures can influence spot and vice versa, then there would of course be value in futures data.
  • #1,054
  • Mar 23, 2010 9:23am Mar 23, 2010 9:23am
Quoting Scotty B
My comment was more in response to your claim that futures OI is of little value.
Not futures, mini futures.
  • #1,055
  • Mar 23, 2010 9:30am Mar 23, 2010 9:30am
Quoting SunTrader
Not futures, mini futures.
oh.. my apologies sir
  • #1,056
  • Mar 23, 2010 10:36am Mar 23, 2010 10:36am
Hi folks,

I thought these 2 links might be of some interest.

Please speak up if these articles have already been posted as I don't want to clutter up this brilliant thread.



http://archives.tradersavvy.com/latest/1214.shtml


http://archives.tradersavvy.com/latest/1019.shtml


Regards,

BabeFX
  • #1,057
  • Mar 23, 2010 12:38pm Mar 23, 2010 12:38pm
Quoting BabeFX
Hi folks,

I thought these 2 links might be of some interest.

Please speak up if these articles have already been posted as I don't want to clutter up this brilliant thread.



http://archives.tradersavvy.com/latest/1214.shtml


http://archives.tradersavvy.com/latest/1019.shtml


Regards,

BabeFX
Good contribution. I seem to remember seeing this guy mentioned in Behind Orderflow but I never read them. The guy sounds a lot like DS in how he thinks about the participants.
  • #1,058
  • Mar 23, 2010 12:42pm Mar 23, 2010 12:42pm
Quoting SunTrader
Edit: I had not seen the previous posts regarding DS defintion, but with all due respect this is not how the rest of the trading world uses the words "Open Interest" so in the interest of clarity he should refer to it by another phase.
In my defense, I told you guys I make up these terms as I go.

Putting that aside, Investorwords.com defines open interest as:
Quote
The total number of futures contracts or option contracts that have not yet been exercised, expired, or fulfilled by delivery.

That’s what it "is". If you were asking, "what is the open interest on gold?" one would answer with an integer. eg: 123464

When I use the term, it is in a different CONTEXT:

"There is open interest AT 3400 on e/u."

I’m implying that there is a desire to "take on" an open interest if price reaches a certain price point. In other words, there is a bunch of new contracts waiting to become part of the net open interest at that price.

That’s not technically what I mean when I say it. However, since we have regressed to the point of quibbling over semantics, I'll offer that as my final answer.
  • #1,059
  • Mar 23, 2010 12:59pm Mar 23, 2010 12:59pm
I think DS definition makes the most literal sense. IE at certain price points there is an interest to open orders at those price points which most likely will take the form of limit orders.

I hope you don't mind me quoting you DS but I figured it would be the best way to explain what I was meaning when I said open interest.
  • #1,060
  • Edited 3:05pm Mar 23, 2010 3:03pm | Edited 3:05pm
Quoting SunTrader
IMO that is not of use. 6E has miniscule volume so OI would as well.
Yes i agree, the volume of futures compare with cash is small, also even though i did try OI and futures volume in the end just plain old "linear" TA is what i was using.
Biggest joker
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