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  • #941
  • Jul 12, 2010 3:24pm Jul 12, 2010 3:24pm
lol you guys make me laugh why are yous making this so hard your over complicating this so much.

regards damien
i pull the trigger when others are fearful---me
  • #942
  • Jul 12, 2010 3:34pm Jul 12, 2010 3:34pm
I don't know if this has been posted yet...
http://arxiv.org/abs/1003.2981
The breaking of a wave cannot explain the whole sea.
  • #943
  • Jul 12, 2010 3:45pm Jul 12, 2010 3:45pm
Quoting Craig
I don't know if this has been posted yet...
http://arxiv.org/abs/1003.2981
Markov Models??? Hmmm, isn't that what they use to predict the weather? Which is a good point, I really emphatically believe, the further your predictions go out from the current tick, the less accurate they are. Like the weather, they usually get it right today, sometimes tomorrow and rarely a week latter.

Dan
.
  • #944
  • Jul 13, 2010 3:52am Jul 13, 2010 3:52am
Quoting redpine
Interesting. That is one of things I have on my TODO list for looking at Time Sales and Level II data. Try and figure out Market orders, when an order is moved and when an order is canceled. I believe it will give a better clue into the motives of the traders in the market.
Unfortunately it's working less in the last years than it did before. Most of it is noise. Orders are inserted and deleted all of the time. The key is summarizing and relating orders that move between the levels.

I've found that some of the orders are there just to provide some depth to the market in key moments and when a little push in either direction is necessary.

Like I said, it's a little noisy and fine grained: commissions are costing too much requiring you to use big blocks from my side too: However I'm not able to replicate most of the block-splitting strategies because of the costs involved (cost of trading to a dealer is infinitely smaller than the cost of retail). As soon as you post a block-trade MM come and get you, just to turn bank in seconds (at least this is my experience in equities now).
  • #945
  • Jul 14, 2010 3:48am Jul 14, 2010 3:48am
Quoting Craig
I don't know if this has been posted yet...
http://arxiv.org/abs/1003.2981
Thank you. I had forgotten about that resource.
  • #946
  • Feb 15, 2011 9:31am Feb 15, 2011 9:31am
This is how i see the market thanks to you guys. and i Quote "Large trades in a financial market are usually split into smaller parts and traded incrementally over extended periods of time. We address these large trades as hidden orders. In order to identify and characterize hidden orders we fit hidden Markov models to the time series of the sign of the tick by tick inventory variation of market members of the Spanish Stock Exchange. Our methodology probabilistically detects trading sequences, which are characterized by a net majority of buy or sell transactions. We interpret these patches of sequential buying or selling transactions as proxies of the traded hidden orders. We find that the time, volume and number of transactions size distributions of these patches are fat tailed. Long patches are characterized by a high fraction of market orders and a low participation rate, while short patches have a large fraction of limit orders and a high participation rate. We observe the existence of a buy-sell asymmetry in the number, average length, average fraction of market orders and average participation rate of the detected patches. The detected asymmetry is clearly depending on the local market trend. We also compare the hidden Markov models patches with those obtained with the segmentation method used in Vaglica {it et al.} (2008) and we conclude that the former ones can be interpreted as a partition of the latter ones."


after i learn here is my demo account statement.
only two day of trading i dont see chart the same way now i know where the big player setup there trap and how to exploit it.
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  • #947
  • Apr 10, 2011 11:34pm Apr 10, 2011 11:34pm
Quoting Scotty B
Keep studying man..I'm doing the same thing. The one common link that connects these orderflow guys is a strong understanding for market microstructure. They know all the little intricacies that a lot of us dismiss as un-important. Obviously we have some learning to do. Gaston said once, that all the information we need is out there, we just need to dig for it a little. I ordered a book that both Gaston and Darkstar both mention, it's called "market microstructure for practitioners" by a guy named Larry Harris. It was a cool 50 bucks, but totally...
A thought on this: People often try to identify where S/R is and place their orders there as if they are betting price will or will not pass the S/R. Thats almost a 50/50 game of chance. I dont think thats how S/R should be thought of. Rather i think it could be smarter to enter once you are certain price has past that S/R area or been rejected by it, like skfx showed in one of his charts, this one:
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My signature is: "Classified".
  • #948
  • Apr 11, 2011 12:01am Apr 11, 2011 12:01am
Quoting yaed
A thought on this: People often try to identify where S/R is and place their orders there as if they are betting price will or will not pass the S/R. Thats almost a 50/50 game of chance. I dont think thats how S/R should be thought of. Rather i think it could be smarter to enter once you are certain price has past that S/R area or been rejected by it, like skfx showed in one of his charts, this one:
It's easy after the fact to see which way to have traded a S/R. That was a 4hour chart and the move before the fake break was a successful bounce. Then if one had traded the breakout, they'd have lost. How many pips past S/R did it go, 50? Where is the point that we know if it's going to be a bounce or breakout? It's so subjective. No-Brainer Trades is a great thread for S/R trading.
  • #949
  • Apr 11, 2011 5:48am Apr 11, 2011 5:48am
Quoting pipmutt
Oh boy, I'm really putting my foot in it today, that comment wasn't directed at you or anyone specific really

.....but now you come to mention it, what is the reason?

Great sport analogies by the way, I loved the F1 speed-watcher one, brilliant!
Maybe because enoughs been said.
My signature is: "Classified".
  • #950
  • Apr 11, 2011 5:52am Apr 11, 2011 5:52am
Quoting Magic Trader
It's easy after the fact to see which way to have traded a S/R. That was a 4hour chart and the move before the fake break was a successful bounce. Then if one had traded the breakout, they'd have lost. How many pips past S/R did it go, 50? Where is the point that we know if it's going to be a bounce or breakout? It's so subjective. No-Brainer Trades is a great thread for S/R trading.
Yes the pip distance would be one thing to look at, and perhaps also engulfing, perhaps also how fast its doing that meaning it might be an idea to look at say maybe M5 or so. Thats just a guess. And i agree its so subjective, if it was not all prices would be fixed forever.
My signature is: "Classified".
  • #951
  • Apr 11, 2011 6:03am Apr 11, 2011 6:03am
Quoting yaed
Yes the pip distance would be one thing to look at, and perhaps also engulfing, perhaps also how fast its doing that meaning it might be an idea to look at say maybe M5 or so. Thats just a guess. And i agree its so subjective, if it was not all prices would be fixed forever.
PA definitely plays a role. As would current market sentiment. And anything else that might have line up with it. You're 100% correct about how to play it though. Just playing it straight as a bounce without any other confirmation is a recipe for losing.

Thanks for bumping up this thread.
  • #952
  • Edited May 19, 2011 12:26am May 18, 2011 7:27pm | Edited May 19, 2011 12:26am
Almost do not follow FF anymore. But wanted to make a rare contribution in tribute to SKFX who started this thread and got me thinking about orderflow.

I'd say, it's a mindset. It's looking at the chart, and thinking about where big money players would most likely begin to place their orders. That's how you get in at the tip of the pinbar or often times even, the high/low of the day.

Also, what situation would force a whole buncha people to NEED liquidity SO badly that they all scramble to hit the market? That's when you see those ridiculously fast moves.

Where is "cheap" to buy?
When will a whole buncha pple go, "omg. I'm so fucking dead. GET ME OUT NOW?"

---

Also. "Orderflow" here on FF isn't quite a method as it's purported to be. It's really a method of thinking about markets.

I personally use it to help me position with the longer term trend. I still use price action heavily as well. It's a damn useful tool in the box that augments all the other tools. No holy grail here.
One Mind, Any Market
  • #953
  • May 18, 2011 9:16pm May 18, 2011 9:16pm
Quoting Cyrus
Almost do not follow FF anymore. But wanted to make a rare contribute in tribute to SKFX who started this thread and got me thinking about orderflow.

I'd say, it's a mindset. It's looking at the chart, and thinking about where big money players would most likely begin to place their orders. That's how you get in at the tip of the pinbar or often times even, the high/low of the day.

Also, what situation would force a whole buncha people to NEED liquidity SO badly that they all scramble to hit the market? That's when you see those ridiculously...
One of those posts that make me smile and realize "somebody out there gets it".

You are spot on especially about orderflow being a way of thinking about the market instead of a trading method (which is what most think). It's a mindset game. Sort of like poker in that sense, I guess, though this is a bigger and more complicated environment.

Needless to say, I can confirm this as well:

Quote
It's a damn useful tool in the box that augments all the other tools. No holy grail here.
  • #954
  • May 19, 2011 12:02am May 19, 2011 12:02am
Quoting Marv
One of those posts that make me smile and realize "somebody out there gets it".

You are spot on especially about orderflow being a way of thinking about the market instead of a trading method (which is what most think). It's a mindset game. Sort of like poker in that sense, I guess, though this is a bigger and more complicated environment.

Needless to say, I can confirm this as well:
Even though it is a mindset and lets suppose it is, the thread about it, in my mind, produces little quantifiable stuff i can work with day to day. I need a spot to enter and i need a spot to exit. If i see that i can learn the mindset. If i dont see that i see words on a screen, and if im going to translate that into a chart a lot will be lost in translation. So to me a chart speaks its own quantifiable language and supposing we are trading a chart, thats the adequate language. Blue is S/R, red is S/D. Channel is nice for entry once it bounced there and gets cought in the MAs, then there is a good chance it will get back a little in the direction it touched the channel. But all that you can see from looking at the chart.

I need something that at least resembles this in some way:
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My signature is: "Classified".
  • #955
  • Edited 8:35pm May 19, 2011 12:08am | Edited 8:35pm
Quoting Marv
One of those posts that make me smile and realize "somebody out there gets it".

You are spot on especially about orderflow being a way of thinking about the market instead of a trading method (which is what most think). It's a mindset game. Sort of like poker in that sense, I guess, though this is a bigger and more complicated environment.

Needless to say, I can confirm this as well:
Thanks Marv. My perspective of it is trying to understand the incentives of market participants given how a particular market is trading at the moment. Very much like poker in the sense you're sussing out the incentives of your opponents. (and if you've no clue who the patsy is....)

I think its really summed up in what I posted above. It's really hard to explain it! Haha. Am actually lookg fwd to what darkstar has to say about it.

I can think of several ways to use this in trading markets. But perhaps we can PM instead... and continue to shroud "the holy grail of orderflow method!" with voodoo.
One Mind, Any Market
  • #956
  • Jun 6, 2011 7:56pm Jun 6, 2011 7:56pm
For all the order flow practitioners in this thread - random question: how did YOU discover order flow trading? Just stumbling upon it by blind luck, or did you have a mentor?

Excluding people who learned it from order flow threads on this forum, obviously.

Thanks
  • #957
  • Jun 7, 2011 3:30am Jun 7, 2011 3:30am
Quoting lolpie
For all the order flow practitioners in this thread - random question: how did YOU discover order flow trading? Just stumbling upon it by blind luck, or did you have a mentor?

Excluding people who learned it from order flow threads on this forum, obviously.

Thanks
I would answer you, but it looks like you've excluded me from the people group whom you'd like answers from.
One Mind, Any Market
  • #958
  • Jun 7, 2011 6:21am Jun 7, 2011 6:21am
Quoting Cyrus
I would answer you, but it looks like you've excluded me from the people group whom you'd like answers from.
Haha, feel free to answer. I was just wondering how some people discovered OF in the first place since the info seems to be all over the place and hard to understand (maybe its just me)
  • #959
  • Jun 7, 2011 7:00am Jun 7, 2011 7:00am
Quoting Cyrus
and if you've no clue who the patsy is...
then you are the patsy.

Quoting Cyrus
and continue to shroud "the holy grail of orderflow method!" with voodoo.
haha no holy grails here my friend. Only a different approach to the market.

Oh and, in my case, lots of coffee.

Quoting lolpie
Haha, feel free to answer. I was just wondering how some people discovered OF in the first place since the info seems to be all over the place and hard to understand (maybe its just me)
As far as I personally know, there's no one resource that can really "teach" it to you. You teach it to yourself by first learning how the market works especially in terms of market microstructure, market participants, their common incentives, the common practices (such as stop hunting), etc., and then spending a lot of time interacting with the market and developing that orderflow mindset.

If I look at anything outside of that practical aspect (such as forum posts, theories by other people, Darkstar's material, quantitative approaches, etc.) it's merely for inspiration.
  • #960
  • Jun 7, 2011 7:36am Jun 7, 2011 7:36am
Quoting lolpie
For all the order flow practitioners in this thread - random question: how did YOU discover order flow trading? Just stumbling upon it by blind luck, or did you have a mentor?

Excluding people who learned it from order flow threads on this forum, obviously.

Thanks
I didn't learn it so much as create it from nothing. After I read Reminesences of a Stock Operator I was struck with some ideas about how and why prices change. That led me into studying microstructure and thinking deeply about the people who participate in the market. Roughly 2 years later, I started making assloads of money and felt the need to share some of what I had discovered.

When I started sharing, people asked what kind of trading I was engaged in. The answer I came up with was "Order Flow Trading" and that was the origin of the term. That was 2006 I believe.

In the years since I've made hundreds of posts here on the subject. Most of the people you read about who do order flow trading now learned it by reading those posts, thinking deeply about what they implied, and asking me questions when they got stuck. After they learned it, many have gone on to help and inspire others to learn the methodology as well.

So the long and short of it is, if someone is trading order flow, they either learned it by reading my posts here at FF or from one of the people who did so. There is no other way.
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