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Order Flow - Finding cluster of stops on chart

  • #141
  • Jan 18, 2011 1:01pm Jan 18, 2011 1:01pm
Quoting sergiu

...You would also need a solid paid news service such as IFR, for information/rumors about option barriers and such. Knowing someone on the inside of a large bank or brokerage also will not hurt. This is all sources of information, and it is that information that is at the core of a trading strategy using order flow.
IFR info is available on Oanda and FXCM. Never tried FXCM but Oanda but saw it on Oanda news and it looks like it lacks the order board info. The only useful info I found in Oanda news was Options calendar. Maybe Oanda version of IFR is just incomplete, does anyone know?
  • #142
  • Jan 18, 2011 1:16pm Jan 18, 2011 1:16pm
You guys are so lazy sometimes...

Here. Chew on this for awhile.
Attached Image (click to enlarge)
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  • #143
  • Edited 3:07pm Jan 18, 2011 1:56pm | Edited 3:07pm
It looks like a graph of liquidity distribution by trader type. I guess pending is other, the Y axis is millions, and if the liquidity being shown here is from a real source then I think it's Oanda due to the 10 mio at market. The latent thing on the other hand is a perfectly linear distribution so doesn't seem like it can be actual liquidity - maybe just a concept of liquidity.
  • #144
  • Jan 18, 2011 3:04pm Jan 18, 2011 3:04pm
dark star what is that?
  • #145
  • Jan 18, 2011 3:36pm Jan 18, 2011 3:36pm
Sigh...

How about now?

NOTE:// Think about how price and liquidity interact across time.

NOTE2:// I'm not putting this up here for the hell of it. I really need you guys to talk about it so I can make sure I explain it adequately in the book...
Attached Image (click to enlarge)
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  • #146
  • Jan 18, 2011 4:03pm Jan 18, 2011 4:03pm
could the pending orders and the dropping price have something in common?

i reckon its absorption of stop losses ,thus creating more liquidity and buying cheaper
  • #147
  • Jan 18, 2011 4:05pm Jan 18, 2011 4:05pm
The market was where it was, then price moved. In the first image the liquidity was made of the dealer's liquidity at market, and liquidity from orders placed at and beyond the market. When price moved, all the liquidity from the orders between the original price and the new price were consumed. If price moves further in the same direction, there is liquidity from orders which have not yet been filled plus the dealer. If price falls back there is only liquidity from the dealer, and unlike the pending orders which will fully absorb any "demand" in that direction before price moves further, the dealer will be quick to shift his quote and there are no more orders (only or a few that came in in the meantime) to absorb liquidity demand in that direction.

That's my interpretation of it. Out with it, the rest of you!
  • #148
  • Jan 18, 2011 4:06pm Jan 18, 2011 4:06pm
btw,what is latent,mm and tech?

what i got from google
present but not visible, apparent, or actualized; existing as potential

supply ,holders present?
  • #149
  • Jan 18, 2011 4:10pm Jan 18, 2011 4:10pm
Pending is visible liquidity which can be seen on level ll, latent is the invisible part of the iceberg.
  • #150
  • Jan 18, 2011 4:11pm Jan 18, 2011 4:11pm
Quoting eurotrash
The market was where it was, then price moved. In the first image the liquidity was made of the dealer's liquidity at market, and liquidity from orders placed at and beyond the market. When price moved, all the liquidity from the orders between the original price and the new price were consumed. If price moves further in the same direction, there is liquidity from orders which have not yet been filled plus the dealer. If price falls back there is only liquidity from the dealer, and unlike the pending orders which will fully absorb any "demand"...
Good. Now what is the implication?
  • #151
  • Jan 18, 2011 4:15pm Jan 18, 2011 4:15pm
BTW... did you notice the shift of latent demand to pending?
  • #152
  • Jan 18, 2011 4:19pm Jan 18, 2011 4:19pm
Quoting Darkstar
Good. Now what is the implication?
The implication is that it takes a certain amount of buying power to move the market in a given direction, but less to move it in the opposite direction after the fact. Exiting the position would consume the same amount of liquidity in the opposite direction, but the opposite direction's liquidity is now thin. Therefore the market mover needs those red techie orders which will be consuming liquidity in the market's direction. But I feel that this explanation is right back where we started, though with the added concept of the liquidity distribution.

Quoting Darkstar
BTW... did you notice the shift of latent demand to pending?
I did, but I can't say I understand what it is. I'm aware of what latent demand is but I can't see it being that due to the linear distribution - you can't possibly know its distribution, can you?
  • #153
  • Jan 18, 2011 4:23pm Jan 18, 2011 4:23pm
Quoting eurotrash
The implication is that it takes a certain amount of buying power to move the market in a given direction, but less to move it in the opposite direction after the fact. Exiting the position would consume the same amount of liquidity in the opposite direction, but the opposite direction's liquidity is now thin. Therefore the market mover needs those red techie orders which will be consuming liquidity in the market's direction. But I feel that this explanation is right where we started.


I did, but I can't say I understand what it is. I'm aware of...
I dont think red (tech) orders are stops, they are limits adding to the liquidity.
  • #154
  • Jan 18, 2011 4:25pm Jan 18, 2011 4:25pm
Quoting Darkstar
Good. Now what is the implication?
Good illustration but it's nothing new to me. The only implication i come up with is that fading is the best strategy.
  • #155
  • Jan 18, 2011 4:30pm Jan 18, 2011 4:30pm
Quoting eurotrash
I did, but I can't say I understand what it is. I'm aware of what latent demand is but I can't see it being that due to the linear distribution - you can't possibly know its distribution, can you?
Depends... Who does the latent demand represent? It isn't tech because they are already represented.
  • #156
  • Jan 18, 2011 4:33pm Jan 18, 2011 4:33pm
Quoting seagreen
Good illustration but it's nothing new to me. The only implication i come up with is that fading is the best strategy.
Seems like a pretty important implication to me. Why so quick to disqualify that answer?
  • #157
  • Jan 18, 2011 4:33pm Jan 18, 2011 4:33pm
In the first pic price was at a state of equilibrium, as price shorts, latent interest becomes market orders, (either by short pending order increase or manipulation of price as to attract interest) price is then attracted to the new order buildup in that direction until it finds a new equilibrium point.

As price moves away it leaves a vacuum, latent interest is already building behind the move.

???????????????
  • #158
  • Jan 18, 2011 4:34pm Jan 18, 2011 4:34pm
Quoting seagreen
I dont think red (tech) orders are stops, they are limits adding to the liquidity.
Yeah in hindsight, red was probably not the best color. You have it correct.
  • #159
  • Jan 18, 2011 4:37pm Jan 18, 2011 4:37pm
Quoting auxesis
In the first pic price was at a state of equilibrium, as price shorts, latent interest becomes market orders, (either by short pending order increase or manipulation of price as to attract interest) price is then attracted to the new order buildup in that direction until it finds a new equilibrium point.

As price moves away it leaves a vacuum, latent interest is already building behind the move.

???????????????
Close enough... latent becomes both market AND limit orders, but the bold was what I was looking for.

Thanks kids.

BTW- you should now have everything you need to work out the liquidity disequilibrium problem.
  • #160
  • Jan 18, 2011 4:42pm Jan 18, 2011 4:42pm
Quoting Darkstar
Depends... Who does the latent demand represent? It isn't tech because they are already represented.
A function of orders and time? The further way a given price is from the market, the more time for orders to be added there. Close to the market that potential is smaller, though some of it has turned into actual orders placed.
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