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Order Flow - Achieving the mindset

  • #1,361
  • Apr 14, 2011 4:39pm Apr 14, 2011 4:39pm
Quoting relyt
Based on your posts in the "Smexy Trades" thread, I think you're pretty well down the road

On a side note, if you keep posting your trades there, I'm eventually going to figure out how you decide which levels to fade and which levels you pass on.
lol I do pretty much fade levels/area's or pullbacks, but the key for me is to try and figure out what's up first... it's not too hard to figure out to be honest.

I pretty much posted it there so you guys can see what I'm doing, not just to brag however if I found some platform inefficiency or something like that... nobody would know about it till its gone.
  • #1,362
  • Apr 14, 2011 4:55pm Apr 14, 2011 4:55pm
Quoting Monroe
lol I do pretty much fade levels/area's or pullbacks, but the key for me is to try and figure out what's up first... it's not too hard to figure out to be honest.
Understood, I was only joking with you, anyway. I'm sure it is a case-by-case type of thing. I know for sure it is not an "if X, then Y" type of approach, which encourages me.

Quoting Monroe
I pretty much posted it there so you guys can see what I'm doing, not just to brag
And it is very much appreciated

Quoting Monroe
however if I found some platform inefficiency or something like that... nobody would know about it till its gone.
And I wouldn't expect any different. If you find some sort of platform inefficiency, you better keep it to yourself and exploit it relentlessly until it no longer exists.
  • #1,363
  • Apr 14, 2011 5:05pm Apr 14, 2011 5:05pm
yea.. definitely not if x then y else z...
  • #1,364
  • Edited 9:37pm Apr 14, 2011 9:18pm | Edited 9:37pm
Hi guys,


To improve my trading I have been going through a 3 step process:

  1. Read this order flow threads (mainly this one).
  2. Apply Trade and try to put it into action.
  3. When stuffing redo step 1 followed be step 2.

Anyway here are some technical papers that I have come across, and as a non-economist, I am doing some learning.

Trading and Exchanges by Larry Harris

Here are what some professionals (and maybe some non professionals) in related areas say....

More to follow...

There are 3 sets of posts on market structure and order flow in total here is the link to next page.

Attached File(s)
File Type: pdf EXCHANGE RATE FUNDAMENTALS AND ORDER FLOW.pdf   515 KB | 906 downloads
File Type: pdf Exchange Rate Determination and Inter Market Order Flow Effects.pdf   178 KB | 1,182 downloads
File Type: pdf Exchange Rates and Order Flow in the Long Run.pdf   294 KB | 651 downloads
File Type: pdf Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows.pdf   912 KB | 712 downloads
File Type: pdf Informational integration and FX trading - Evans Lyon.pdf   151 KB | 592 downloads
File Type: pdf Intraday Patterns in FX returns and Order Flow.pdf   236 KB | 764 downloads
File Type: pdf New Perspectives on FX Markets -Order Flow Analysis.pdf   58 KB | 511 downloads
  • #1,365
  • Edited 9:38pm Apr 14, 2011 9:24pm | Edited 9:38pm
All the papers in these posts were found in many different areas around FF.

Here are some more...

Link to the next page for the 3rd post on market structure and order flow articles.
Attached File(s)
File Type: pdf Simple model of a limit order driven market.pdf   192 KB | 722 downloads
File Type: pdf So What Orders do informed traders use.pdf   185 KB | 1,274 downloads
File Type: pdf Stop loss orders and price cascades in currency markets.pdf   129 KB | 588 downloads
File Type: pdf Dealer Quotes Order Flow and Indirect Foreign Currency Utility in a Multiple Dealership Market.pdf   479 KB | 849 downloads
File Type: pdf DMA An increasingly attractive toolset for the fx buy side eForex_Jan_2010_focus.pdf   327 KB | 896 downloads
File Type: pdf Eq Mrkt Microstructure Taking Stock of What We Know.pdf   110 KB | 893 downloads
File Type: pdf Review of fx market structure by ECB 200303.pdf   235 KB | 641 downloads
  • #1,366
  • Apr 14, 2011 9:27pm Apr 14, 2011 9:27pm
Quoting relyt
Understood, I was only joking with you, anyway. I'm sure it is a case-by-case type of thing. I know for sure it is not an "if X, then Y" type of approach, which encourages me.



And it is very much appreciated



And I wouldn't expect any different. If you find some sort of platform inefficiency, you better keep it to yourself and exploit it relentlessly until it no longer exists.
Dude is that you in your avatar? I'm sure you've heard this before but you look just like Charlie from It's Always Sunny in Philadelphia
  • #1,367
  • Apr 14, 2011 9:29pm Apr 14, 2011 9:29pm
Quoting Monroe
Yes, except for the vsa stuff, as I don't feel the need to study it or look much into it..
LOL!!!!
  • #1,368
  • Apr 14, 2011 9:33pm Apr 14, 2011 9:33pm
FX Market structure and order flow cases....

But here they are last post...

Hope this makes order flow and market structure understandable for someone.

Link to previous page for the first 2 posts with articles on market structure and order flow.
Attached File(s)
File Type: pdf Foreign Exchange Market Microstructure.pdf   118 KB | 589 downloads
File Type: pdf FXMicrostructure-Survey_07-15-08.pdf   662 KB | 739 downloads
File Type: pdf Market Impact of a Limit Order.pdf   570 KB | 684 downloads
File Type: pdf OnMarketMakerFunctions.pdf   83 KB | 628 downloads
File Type: pdf On the Structure of Securities Exchanges Auction Markets and Dealer Markets.pdf   75 KB | 668 downloads
File Type: pdf Order ‡flow in the south Anatomy of the Brazilian FX market.pdf   497 KB | 776 downloads
File Type: pdf Order flow and exchange rate changes A look at the NZDUSD and AUDUSD.pdf   449 KB | 1,301 downloads
  • #1,369
  • Apr 14, 2011 9:38pm Apr 14, 2011 9:38pm
Quoting frankkn
LOL!!!!
LOL!!!!
  • #1,370
  • Apr 14, 2011 9:45pm Apr 14, 2011 9:45pm
Quoting Monroe
LOL!!!!
I'm sad that I've been too busy to contribute to this thread, pretty interesting things here (for the most part). I really enjoy your posts bro

But may I humbly recommend that you take another look at VSA?

Essentially it is a way of looking at orderflow. Very unambiguous when taken in the correct context
  • #1,371
  • Apr 14, 2011 9:54pm Apr 14, 2011 9:54pm
Quoting frankkn
I'm sad that I've been too busy to contribute to this thread, pretty interesting things here (for the most part). I really enjoy your posts bro

But may I humbly recommend that you take another look at VSA?

Essentially it is a way of looking at orderflow. Very unambiguous when taken in the correct context
Yes I have looked at it before, I don't want to say anything bad about it. But I don't think anything compares with orderflow, as that is what moves the market, not VSA. If I know what's going to generate orderflow, and I know where the orders are, who the players are, why they are playing, etc etc... what more is needed? I don't need confirmation. Tick volume is not going to do anything for me. Again, nothing against it bro, if anyone can use it and it helps them make money, thats all that matters I guess.
  • #1,372
  • Apr 14, 2011 10:06pm Apr 14, 2011 10:06pm
Quoting Monroe
Yes I have looked at it before, I don't want to say anything bad about it. But I don't think anything compares with orderflow, as that is what moves the market, not VSA. If I know what's going to generate orderflow, and I know where the orders are, who the players are, why they are playing, etc etc... what more is needed? I don't need confirmation. Tick volume is not going to do anything for me. Again, nothing against it bro, if anyone can use it and it helps them make money, thats all that matters I guess.
I absolutely agree that whatever makes you money is literally ALL that matters, period!!

If some crazy bastard manages to achieve consistent gains using a ridiculous color coded system then go for it.

Now, I'd like it to be clear that I don't believe that VSA moves the market. VSA (when applied correctly in the correct context) will show you how institutions are positioning themselves. Of course it is up to you if you wish to subscribe to this idea, no skin off my nose.

I would like to disagree with you regarding tick volume being of no help. I used to have this mind set and I understand where you're coming from, and I don't want to come across like I'm trying to tell you (and other members of the thread) to change your beliefs, just want to offer a perspective that is unrepresented among like minded individuals
  • #1,373
  • Apr 14, 2011 10:16pm Apr 14, 2011 10:16pm
Quoting frankkn
I absolutely agree that whatever makes you money is literally ALL that matters, period!!

If some crazy bastard manages to achieve consistent gains using a ridiculous color coded system then go for it.

Now, I'd like it to be clear that I don't believe that VSA moves the market....
I hear ya, I'll check it out just so I can better understand what you're talking about, though I think I understand the concept of it, and I know it's just a type of analysis to do exactly that (show how the institutions are positioning themselves). Also, I didn't mean to say tick volume won't help you or anyone else, I just don't let that effect my decisions. How institutions are positioning themselves is part of my analysis... just not using VSA.
  • #1,374
  • Apr 14, 2011 10:38pm Apr 14, 2011 10:38pm
i have some questions to the experienced OF traders.
i have attached 2 charts:
1st shows a 10minute chart with the trade in question (blue triangle, = entry; green circle = exit; EUR$, this was last night's chart, i think mid-NY session)
2nd chart shows it as a 1 hour chart (i placed a box on the entry & exit area for reference)

i'm very curious..
1. how far is this from OF trading? is this 1 way of OF trading?
2. if so, is this a kind of trade that u normally take?
3. is there another way of OF trading for this specific trade?
4. what would have u done differently, for this specific trade?
please bear in mind to focus & base your answer solely on how you OF traders trade.
if u have any other relevant comments, please add them in your reply.

i hope the charts are clearly visible.
i apologize if these are insignificant questions to u. (Sorry to the thread starter, Carnegie, as i posted charts here.. i believe the charts are relevant to my post)
OF trading is interesting but i think there are still a lot (for me) to learn. (or has it been staring at my face for some time?)
thank you very much!
Attached Image (click to enlarge)
Click to Enlarge Name: OF trade.PNG Size: 24 KB
Attached Image (click to enlarge)
Click to Enlarge Name: OF trade1.PNG Size: 23 KB
  • #1,375
  • Apr 14, 2011 10:44pm Apr 14, 2011 10:44pm
The way I see it at the moment, is that when attached to large volume:

  1. Limit orders will reduce spread.
  2. Market orders and stop orders will increase spread.

This means that by placing a market order in the same direction as where you know there is a high volume of limit orders you are most likely to capture a reduced spread size.

Not sure, is this correct??

  • #1,376
  • Apr 14, 2011 10:48pm Apr 14, 2011 10:48pm
Quoting supremeChaos
i have some questions to the experienced OF traders.
i have attached 2 charts:
1st shows a 10minute chart with the trade in question (blue triangle, = entry; green circle = exit; EUR$, this was last night's chart, i think mid-NY session)
2nd chart shows it as a 1 hour chart (i placed a box on the entry & exit area for reference)

i'm very curious..
1. how far is this from OF trading? is this 1 way of OF trading?
2. if so, is this a kind of trade that u normally take?
3. is there another way of OF trading for this specific trade?
4....
Hey SC.. maybe explain more about why you took the trade instead of just showing the chart, because you don't need charts... so to trade orderflow, I am of the opinion that you need info/data first and foremost.

but yes, solid trade I think personally... can't speak for every OF trader.

(btw I'm not that experienced)
  • #1,377
  • Apr 14, 2011 11:48pm Apr 14, 2011 11:48pm
hey guys,

just wondering if any of you guys are tracking the eur/usd barrier. very very similar to what DS had mentioned before.
  • #1,378
  • Apr 14, 2011 11:52pm Apr 14, 2011 11:52pm
Quoting melvin87
hey guys,

just wondering if any of you guys are tracking the eur/usd barrier. very very similar to what DS had mentioned before.
I'm always tracking the barriers
  • #1,379
  • Apr 15, 2011 1:42am Apr 15, 2011 1:42am
Quoting Monroe
no nasir.... there is a long road ahead of us...
Yeah ofcourse i was just talking about the thread, it has stopped to progress for sometime now.

BTW Monroe, When u are fading SR, what MM do you use and what are the Technical implications of your methodology.

Lets say you are going to take out stops above 1.4530 in fiber, put all the order flow things aside like barriers and other orderflow generators. How would u approach this setups in terms of MM and entries and exits . I believe you will have different trade plans to imply to different price action that OF will generate.

I am little longterm trader than you ( my average trade life is 17hrs) but i am always fascinated about high leverage and very short term OF trading. Thats why curios to ask these questions.

Ohh BTW hope i dint ask for anything that you are not comfortable to discuss here.
.
  • #1,380
  • Apr 15, 2011 3:42am Apr 15, 2011 3:42am
sup brothers?

The last couple of weeks I have moved away from the stop hunting concept as I feel it is "finished" and all that needs to be worked on is experiencing them a couple of gazillion times.

I have moved on to thinking about where the orders are. While I am not very interested to share everything (no, its not because its classified it's because most of it is wrong...) I will put out some ideas here and I need some discussions about it.

I have been moving into algos and HFT some, currently looking at arbitraging because I see these V-shaped patterns in our chart as arbitraging. However, I seem to have got the concept totally wrong.. Does even arbitrage include in order flow? Or is it more about arbitraging sentiment?

I have allot more to explain and ask but I have little time now so talk to you guys later!
Take care
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