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Order flow trading thread

  • #121
  • May 16, 2014 3:32am May 16, 2014 3:32am
Quoting mikkom
{quote} You can use futures for estimating volumes to some extent or if you are looking for longer term picture (check COT report for some non-chart information *). Other than that there is no way to estimate flow as the fx is not centralized and FX is one of the only markets where it's actually quite easy (and legal) to hide your trades. *) http://www.cftc.gov/dea/futures/financial_lf.htm *) http://www.cftc.gov/MarketReports/Co...ders/index.htm
http://fxtrade.oanda.com/analysis/co...nts-of-traders

http://www.nowandfutures.com/images/cot/EC.png
  • #122
  • May 16, 2014 3:38am May 16, 2014 3:38am
Quoting eurotrash
{quote} My initial reaction to the two images you posted with volume profile-style tick volume is, it looks almost the opposite of "real volume" VP. For example turning points or prices where the market bounces off then goes right through (see highest red volume in your first chart) are typically some of the lowest volume prices (because the market doesn't hang around there long enough for lots of orders to trade), but on your charts they have the highest volume. And areas where we churn and hang about typically generate a fair bit of volume, but...
I had no real clue about what I was doing you know ;-)

I built the chart following this mental process, which can perfectly be totally flawed:
First I needed to "scope" the research for the indi. How long ago to look back? As I didn't know I just decided to remove the time issue altogether. That's why I used range bar as opposed to time bars.

I only consider the ticks inside the bars the price "can be seen" from the future... Well I don't even understand myself when reading this sentence. Let me draw a picture:
Attached Image (click to enlarge)
Click to Enlarge Name: lineOfSight.png Size: 15 KB


This way I only consider the "freshest" PA in a range. Because these are range bars, if the price stays a long time in this range you get more ticks. => more trading activity.

For each tick I consider how much the price moved away from the price. E.g. if the previous tick was at 1.00000 and the current tick is 1.00005, the price 1.00000 is scored 5 pipettes. I sum the scores UP and the scores DOWN separately than I average each groups. I get an average bullish tick move and an average bearish tick move. After a take the difference to know the "winner".

I filter the histogram a little bit with a gaussian blur.
No greed. No fear. Just maths.
  • #123
  • May 16, 2014 3:39am May 16, 2014 3:39am
Quoting srmfx
For the analysis of volatility I use the Average Range, but the chart is the same as for the Tick Volume. {image}
Similar but not the same at all..
It only looks that way.
How do you explain with ATR that 10 ticks can make the price move 20 pips or 100 ticks can make the price move only 5 pips ... ?
  • #124
  • May 16, 2014 4:30am May 16, 2014 4:30am
Quoting Vitez
{quote} It's not ok you are the anti trader guy
Not anti-trader. Anti crap.
  • #125
  • May 16, 2014 5:07am May 16, 2014 5:07am
Quoting Mingary
{quote} Similar but not the same at all.. It only looks that way. How do you explain with ATR that 10 ticks can make the price move 20 pips or 100 ticks can make the price move only 5 pips ... ?
I use the TV and ATR only for volatility analysis. Quote reading is my best tool for guessing the volume (size of the ticks, TV and consecutive ticks in one direction). This is the best filter I've found so far to decide whether to take or skip a signal.
  • #126
  • May 16, 2014 5:41am May 16, 2014 5:41am
Quoting srmfx
{quote} I use the TV and ATR only for volatility analysis. Quote reading is my best tool for guessing the volume (size of the ticks, TV and consecutive ticks in one direction). This is the best filter I've found so far to decide whether to take or skip a signal.
ok. I do something similar.
  • #127
  • May 16, 2014 2:59pm May 16, 2014 2:59pm
Quoting srmfx
{quote} I use the TV and ATR only for volatility analysis. Quote reading is my best tool for guessing the volume (size of the ticks, TV and consecutive ticks in one direction). This is the best filter I've found so far to decide whether to take or skip a signal.

I figure I do something similar as well. When it all comes down to it I like to be in the market when stuff is about to happen, If I lose fast, that fine if I win fast that fine too, but being in the market the right time before price moves alone is better for you in the long run. You can put tight stops and not worry about winning every trade, and coupled with a high win rate and you have an unstoppable trading combination, but like everything it gets better with practice.
Being a trader is lonely, but being a great trader is lonelier still
  • #128
  • May 16, 2014 3:08pm May 16, 2014 3:08pm
Quoting PipMeUp
{quote} I had no real clue about what I was doing you know ;-) I built the chart following this mental process, which can perfectly be totally flawed: First I needed to "scope" the research for the indi. How long ago to look back? As I didn't know I just decided to remove the time issue altogether. That's why I used range bar as opposed to time bars. I only consider the ticks inside the bars the price "can be seen" from the future... Well I don't even understand myself when reading this sentence. Let me draw a picture: {image} This way I only consider...

That's a very interesting Idea, I was wondering if there was anyway to measure the ticks in a bar and place them on a scale. Like for example, if a few bars had 5000 ticks, if it would be possible to count how many times the price ticked up vs down and show which way the market is more interested in price going. I am not a programmer so i couldn't test it out, but it seems you did something similar.
Being a trader is lonely, but being a great trader is lonelier still
  • #129
  • May 16, 2014 3:54pm May 16, 2014 3:54pm
If you want to trade order flow you are better off in futures market. Volume means shit all in FX. The only way to trade order flow is to construct an order board of all the system that will be in the market, where fundamental traders are positioned in relation to news releases and you can use COT just for extra conf if you like. But one example would be Someone who uses diagonal trendline will have orders near line, then there are moving averages, and last week there was bearish USD news that sent price down so you know there are orders there, etc etc etc and many others you will put in there! so you calculate as many possible point where you can find orders and with largest stack obv will be closest to current price but you just build your stack from top down biggest amount to smallest amount.
All posts are my personal opinion
  • #130
  • May 16, 2014 4:16pm May 16, 2014 4:16pm
fundies and techies work in opposite direction. for example euro , the daily TF, topbottom range 300-400 pips, i will loook for long/short opportunities. ema bounce on 200sma @ 1.3680 which is also fibo levels as well @ 1.26795. fundies is EU is scheduled for some easing next month ? money easing or interest cutting i dont think so ,but stocks will still rise and EU will fall . fundie and techies dont work in same direction, but both are winning trades except on has a deeper pocket which is the funie traders.
  • #131
  • May 16, 2014 5:37pm May 16, 2014 5:37pm
Quoting Rtm
If you want to trade order flow you are better off in futures market. Volume means shit all in FX. The only way to trade order flow is to construct an order board of all the system that will be in the market, where fundamental traders are positioned in relation to news releases and you can use COT just for extra conf if you like. But one example would be Someone who uses diagonal trendline will have orders near line, then there are moving averages, and last week there was bearish USD news that sent price down so you know there are orders there,...

It's true what you are saying.I think most people know by now know that FX might not be the best market, not only for order flow trading, but for trading period, but you do get some satisfaction with trying to put the puzzle together. My dad was a mechanic who was able to tell what was wrong with an engine of most vehicles by listening to the sounds it made, from reving it a few times. I am sure that a lot of people would have doubted that someone could do something like that but he did prove a lot of them wrong. And it's the same with the market, when you do something enough you do get a feel for it, and for how money moves. What I and others are trying to do is put a number or profile this "feeling" or at least catalog the types of things that leads to it. I might give futures a shot soon, but I want to learn about forex inside and out.
Being a trader is lonely, but being a great trader is lonelier still
  • #132
  • May 16, 2014 7:19pm May 16, 2014 7:19pm
Quoting saneblane
{quote} It's true what you are saying.I think most people know by now know that FX might not be the best market, not only for order flow trading, but for trading period, but you do get some satisfaction with trying to put the puzzle together. My dad was a mechanic who was able to tell what was wrong with an engine of most vehicles by listening to the sounds it made, from reving it a few times. I am sure that a lot of people would have doubted that someone could do something like that but he did prove a lot of them wrong. And it's the same with the...
Wow that is quite amazing really on your dad. Certainly makes for an easy analysis!
I am finding other markets such as the CFD index and commodities good trades when FX is slow as these things can move a lot on smaller margin depending. Building a portfolio in GOLD is nice if you arent afraid of long term and SPX DJ NASDAQ and OIL all good day trading or long term if you want. FX better for swing. And there is always carry trade if market is slow hope in a carry trade that looks good on technical picture to you. Might make enough for a big mac

The thing with learning is that you never actually stop. Learning forex is a life long journey!!! And if you think you know everything and making tonnes of money then watch out because next curve ball could be just around the corner!
All posts are my personal opinion
  • #133
  • May 16, 2014 7:28pm May 16, 2014 7:28pm
Quoting Rtm
{quote} And if you think you know everything and making tonnes of money then watch out because next curve ball could be just around the corner!
That might be the hardest lesson to learn Lol. I can lose now, but i never really thought about losing a million dollars like some guys do, but losing a million while having a few more millions would certainly we a nice problem to have.
Being a trader is lonely, but being a great trader is lonelier still
  • #134
  • Edited 2:14pm May 17, 2014 2:01pm | Edited 2:14pm
Quoting mikkom
{quote} You can use futures for estimating volumes to some extent or if you are looking for longer term picture (check COT report for some non-chart information *). Other than that there is no way to estimate flow as the fx is not centralized and FX is one of the only markets where it's actually quite easy (and legal) to hide your trades. *) http://www.cftc.gov/dea/futures/financial_lf.htm *) http://www.cftc.gov/MarketReports/Co...ders/index.htm

I think there are ways to find out where money is flowing to.

I think looking at a chart won't tell you the answer though and neither will order flow trading as defined ITT unless you have the actual order book.

Fundamentals tell you what the money is doing, interest rate differentials, rising equity markets, bond prices, gdp growth, inflation and deflation, central bank actions. I think if you have an idea of potential scenarios in your head based on sound fundamental analytical skill, then you can then use a technical method to suit.
  • #135
  • May 18, 2014 3:43am May 18, 2014 3:43am
hi guys,

i love the idea of order flow trading.
but because we dont have order flow data
so we could study tick data.
we can call it tick flow trading/analysis

tick data is lowest surface,
so it will have first impact then 1 min then 15 mins chart...
we can collect it to find out where the smart money is.

all we need to filter big tick jump in price,
because only Big Boys can make big move.

i currently play with the this idea
and my best trade with 60s binary option
is 24 winning trades in a row.

i programming my own charting tool
to test/visualize my idea.

i would love to discuss with you guys
When you lose, I'm the loudest who laugh at your face )
  • #136
  • May 19, 2014 3:43pm May 19, 2014 3:43pm
Quoting MCRotter
{quote} I think there are ways to find out where money is flowing to. I think looking at a chart won't tell you the answer though and neither will order flow trading as defined ITT unless you have the actual order book. Fundamentals tell you what the money is doing, interest rate differentials, rising equity markets, bond prices, gdp growth, inflation and deflation, central bank actions. I think if you have an idea of potential scenarios in your head based on sound fundamental analytical skill, then you can then use a technical method to suit.
That was kind of my point, futures market has [limited] order book for fx.
  • #137
  • May 19, 2014 9:23pm May 19, 2014 9:23pm
Quoting Zelo
hi guys, i love the idea of order flow trading. but because we dont have order flow data so we could study tick data. we can call it tick flow trading/analysis tick data is lowest surface, so it will have first impact then 1 min then 15 mins chart... we can collect it to find out where the smart money is. all we need to filter big tick jump in price, because only Big Boys can make big move. i currently play with the this idea and my best trade with 60s binary option is 24 winning trades in a row. i programming my own charting tool to test/visualize...
Welcome Zelo, You are in the right place man this is all things order flow, It doesn't matter which way you get your information as long as you are a flow trader then something that are said on this thread should help you. 24 winning trades in a row, that's good man keep it up. We are not professionals here so feel free to make any suggestions you think would be beneficial to people who trader order flow.
Being a trader is lonely, but being a great trader is lonelier still
  • #138
  • May 20, 2014 4:01am May 20, 2014 4:01am
hi saneblane,

my idea as below:

when ask price is up, it mean someone execute orders to make price move up, aggressive
when bid price is up, it mean someone have interest to make price move up, passive

when ask price is down, it mean someone have interest to make price move down, passive
when bid price is down, it mean someone execute orders to make price move down, aggressive

passive orders when accumulating enough will make price move up/down,
so often i will move before price

aggressive action will support current price move,
if i move down, when price move up, something is wrong

my formula are:
aggressive = ask up >= bid up and ask up > 0 OR bid down <= ask down and ask down < 0
passive = bid up > ask up and ask up => 0 OR bid down > ask down and bid down <= 0



it is just my theory, but there are some problem,
like high frequency trader ping for big order, ...

i will post picture later.


i hope you understand (i from vietnam)
When you lose, I'm the loudest who laugh at your face )
  • #139
  • May 20, 2014 4:15am May 20, 2014 4:15am
Quoting Zelo
we dont have order flow data so we could study tick data. we can call it tick flow trading/analysis
I share this point of view. We can do with what we have or we can regret forever not having the information we wish we had and do nothing else than whining.

Option 1: we think that's not enough information and we bring some evidence of this (otherwise that's just beliefs). In such a case the thread ends here with an important result.
Option 2: we tackle the task, try and find a way to exploit the information in the ticks. It's certainly not easy. Note this may bring us to option 1.

What is the main difference between the order book and the ticks?
To me the difference is that the book is made of potential orders, which may disappear as soon as the price comes close to them, whereas the ticks are (the trace of) realized orders, past and definitive. Potential future vs lagging info. That's nothing new.
No greed. No fear. Just maths.
  • #140
  • May 20, 2014 6:17am May 20, 2014 6:17am
Quoting PipMeUp
{quote} I share this point of view. We can do with what we have or we can regret forever not having the information we wish we had and do nothing else than whining. Option 1: we think that's not enough information and we bring some evidence of this (otherwise that's just beliefs). In such a case the thread ends here with an important result. Option 2: we tackle the task, try and find a way to exploit the information in the ticks. It's certainly not easy. Note this may bring us to option 1. What is the main difference between the order book and the...
So instead of trying to predict where the orders are hidden, simply watch to see when they occur. Ticks have a pace and direction. I would say more often than not, one large brokers' tick chart will correspond well (>80%) with the whole. When the pace picks up, and the trace assumes a direction, orders are flowing..

The question of judgement is, can you get in on this flow, or are you already too late to take advantage?
Is this move just a few stops being hit and soon to come to an end, or has something happened that will take time to unwind, giving you time to make profit?

Same thing on any chart, but you can see it more quickly on the tick chart. You need to have a feel for the basic pace of the chart at the time you are looking at it. Each time period has its own endemic pace.

I don't know of anybody who can watch all the ticks on all the pairs at all times, and I doubt that an ea could be made to alert you to a move if you are not there to watch that would not be a waste of time.

I suspect thought, when a market center opens up you should pay attention to the pairs containing the currencies that center is most concerned with.

The market is three or more times as active between 2 and 4 am est. and 8:30 -10:30 est. as it is at 4pm est. Usually more. I have found thos to be good hunting times. Sometimes the sidney/hongkong/singapore connection gives you movement on the Aussie pairs, Jpy ? I haven't quite figured that one out yet.
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