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  • #441
  • Jul 25, 2021 10:05am Jul 25, 2021 10:05am
Quoting Mcbeaners
{quote} Hi simnz, intuition: no not really, there are exceptions (like most tools) but if price remains fix in tight range and OF\CD is moving in a clear direction, i or anyone can understand what is going on. or any: OF/CD is my primary indicator for bias. then i move onto more retail tooling for some confirmation on what is going on. or whatever da boyz are working to. links: as mentioned i use sierracharts with cummulative delta. they do 2 week trials (from memory) ok i do have to read the thread.....
Thank you.
Practice makes a person perfect
  • #442
  • Jul 25, 2021 10:15am Jul 25, 2021 10:15am
Quoting RickM
Hi Don One of the things I study every night on my Motive Wave order flow charts is the battle between passive limit orders and aggressive market orders. I see two conditions which I believe need to be traded in two separate methods. Without doubt, buyers don’t create bullish markets and sellers don’t create bearish markets because that’s not what allows the market to move. The passive limit orders sitting on a chart I believe are only to allow movement in one direction to encourage a reaction from traders. I see the real direction is caused by...
Can I conclude in general you are doing common-sense trading that can be universally applied for any kind of financial trading asset? For me the auction market behaves the same in an internal market structure whatever be the asset. There are no major differences between them and share a common trait that of using news events to act as triggers in concert with volumes (pending as well as actual volumes) to reprice the market or balance the forces of demand and supply saving my time and help direct my entire focus towards reading the markets via live charts. My day starts with open of the market and ends with its closure. I don't do any analysis of the instrument, its impact that may happen from news events (while plotting the events' times on the chart religiously before starting the day), and liquidate all the trades before retiring to sleep.
Practice makes a person perfect
  • #443
  • Jul 25, 2021 5:28pm Jul 25, 2021 5:28pm
First of all...THANK YOU!! all of you who have recently started a conversation...I am gratified that this thread is finally starting to show some life. I am behind in responding on several posts so I will begin immediately in the very next post...where I left off. But I wanted to take this post to just show some gratitude for those of you who are taking the time to participate in this conversation. Thank you again
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  • #444
  • Jul 25, 2021 5:45pm Jul 25, 2021 5:45pm
ok spent a little more time reading the thread. got a feel for what you've been advocating and feel it in line with my process. and still can't understand why you believe CD is no more than an ma. facinating.

proof is the pudding, i'll post some my trades and let's see what comes. folk are welcome to post their OF versions of the same. let the fun begin.

edit - didn't see your post Mr Don. but yes let's have a chew on this.
In tea leaves we trust!
  • #445
  • Jul 25, 2021 5:52pm Jul 25, 2021 5:52pm
i've been a field day with softs lately - corn, wheat and soya. massive bull market.

here is wheat from friday. looking very juicy on the long side. where to buy this? i have my idea, do share yours.
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In tea leaves we trust!
  • #446
  • Jul 25, 2021 5:57pm Jul 25, 2021 5:57pm
Quoting Mcbeaners
...Here is quick synopsis of how i use CD. CD is a measure of limit order vs market orders (at least that is my version of CD). ..
An interesting measure and I'd be interested in how that is calculated...in my data feed I am unable to see any DOM more than 10 ticks above and below the current quote. I quite understand that this is most likely calculated "dynamically", but still am force to wonder why you see a large move down in the Cumulative Delta, while at the same time price is rising...is this selling absorption...or lack of liquidity? It also appears when price itself is moving sideways...(thus I am thinking absorption).

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I commented on you chart to show the difference between how I trade and how you trade...I look to see how price responds to the order flow (more readily seen in the volume profile). as you can see the first daily profile shows a clear rise and close above the Volume Point of Control (VPOC). Seeing I would expect price to return to this area and restest it...Normally I can better fine tune this by seeing whether the VPOC was buying, selling, or neutral (balanced). But I was using your CD indicator to show where the buying resumed, in the order flow (1st yellow line-vertical). clearly the buying came in and stopped a bearish candle, providing a clear opportunity for entry.

Then as long as price continues closing above the VPOC and said VPOC remains in the middle or bottom of the day's order flow, I'm good to hold until the target is met. I saw a horizontal line at the top of your chart and figured it was a good target (I'm assuming it was a weekly pivot or some other significant price point).

In addition I drew another vertical line showing where my entry (according to my own method) would've been on the same day you entered. I think we would've gotten in at near the same price...I just would've had to live with a sideways market for a lot longer than you did.

Quoting Mcbeaners
...i'm looking for disortions between price action and CD, as shown (second from the top is CD). i'm only really interested in large distrotions and move from market to market looking for them. this trade was posted on the copper thread. i could go on but that's my process in a nutshell. {image}
I can see how this would be successful for you. I think if you learned to "see" the order flow beneath each of these price candles it would add great accuracy and reduce your risk exposure even further. Thanks for the look into how you trade.
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  • #447
  • Edited 6:15pm Jul 25, 2021 6:03pm | Edited 6:15pm
Quoting Mcbeaners
... and still can't understand why you believe CD is no more than an ma. facinating. proof is the pudding,...
I think this is because I misunderstood what you were referring to in the cumulative delta...The math I've seen on this is basically a calculated delta at the close of every bar, which then becomes the basis for (Yet another) moving average line, that starts at the beginning of each session and continues "cumulatively" until the end of the day. By the end of said day, price is a long way from this metric, and has usually crossed it once or twice...something similar to "volume adjusted price"

For me that is no more revealing than another moving average is...worse it starts over at the beginning of each day. No offense intended...just by the way of my own understanding...does your data feed provide liquidity levels more than 10 ticks above/below the current quote? I've not seen a platform that goes any deeper.
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  • #448
  • Jul 25, 2021 6:14pm Jul 25, 2021 6:14pm
Hello Rick...I have admired some of your posts on other threads...thanks for joining this discussion. I believe all who read your posts (myself included) can benefit from your point of view.
Quoting RickM
... Therefore in my eyes, agressive market orders are stronger than passive limit orders in HIGH volume periods, weaker in LOW volume periods...
I completely agree with this. In fact I hesitate to divide market participanst into "big" or "small" player. (other than myself - who is REALLY small). More's to the point, orders...passive (Liquidity) and aggressive (market). And this is true, that once the aggressive side of the market uses up the available liquidity, price has no choice but to move. However, I go blind trying to watch the tick-by-tick changes in liquidity and compare that to the incoming volume...and quite frankly I just can't think that fast.

I prefer using price response to aggressive volume, to interpolate liquidity. This is one of the reasons I'm a big proponent of watching price (still)...not that price or price action create my technical signaling, but more that price response when viewed through the lens of delta volume at each price level shows me where the denser liquidity is.

Quoting RickM
... This leads to two strategies which are very easy for me to trade. 1.. If the liquidity is showing high Sellers numbers on the DOM, the delta is strongly bearish, we see strong BID imbalance AND price is moving bearish with purpose- SELL till the delta flips strongly bullish. The reason is it’s an uncontainable breakout. 2.. If the liquidity is showing sights of weakens in selling numbers on the DOM, the delta has become extreme, I see very high imbalance BID imbalance numbers with extreme volume AND then price stalls- BUY when the BID imbalance...
This is almost exactly how I trade...you just state it more eloquently. But because I am more a visual (rather than numbers cruching)...I use the types of charts I showed previously..the color changes alert me to dominant order flow (again the aggressive side) and price response alerts me to the imbalance you (and Mcbeaners) speak of.
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  • #449
  • Jul 25, 2021 6:19pm Jul 25, 2021 6:19pm
Quoting DonPato
{quote} An interesting measure and I'd be interested in how that is calculated...in my data feed I am unable to see any DOM more than 10 ticks above and below the current quote. I quite understand that this is most likely calculated "dynamically", but still am force to wonder why you see a large move down in the Cumulative Delta, while at the same time price is rising...is this selling absorption...or lack of liquidity? It also appears when price itself is moving sideways...(thus I am thinking absorption). {image} I commented on you chart to show...

you definitely have a better way of detailing this then i could. i don't often look at poc and more interested in where the trade fads at the edges for entry and exit.

there were other entry points but as CD gave this up but i look for large distortions and missed an earlier trade. i do trade a number of market so will miss the earlier trade (see 1 on chart) also i was kept in the trade with CD at "2" (see chart).

"the order flow beneath each of these price candles it would add great accuracy and reduce your risk exposure even further. "

this is something i need to explore. thanks.
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In tea leaves we trust!
  • #450
  • Jul 25, 2021 6:29pm Jul 25, 2021 6:29pm
Quoting DonPato
{quote} I think this is because I misunderstood what you were referring to in the cumulative delta...The math I've seen on this is basically a calculated delta at the close of every bar, which then becomes the basis for (Yet another) moving average line, that starts at the beginning of each session and continues "cumulatively" until the end of the day. By the end of said day, price is a long way from this metric, and has usually crossed it once or twice...something similar to "volume adjusted price" For me that is no more revealing than another...
to be honest i quite like that most don't understand CD. or maybe chart vendors are providing some other solution. no offense was taken. this is just chat and there are no winners or losers. just vive la différence.

10 ticks. not sure what you mean. if you are talking order book then i don't know, i don't use it.
In tea leaves we trust!
  • #451
  • Jul 25, 2021 7:07pm Jul 25, 2021 7:07pm
Quoting Mcbeaners
{quote} to be honest i quite like that most don't understand CD. or maybe chart vendors are providing some other solution. no offense was taken. this is just chat and there are no winners or losers. just vive la différence. 10 ticks. not sure what you mean. if you are talking order book then i don't know, i don't use it.
Some days it's a positive measure, 10 out of 10, anyway thats my Kiwi/English version.
  • #452
  • Jul 25, 2021 7:48pm Jul 25, 2021 7:48pm
Quoting Mcbeaners
i've been a field day with softs lately - corn, wheat and soya. massive bull market. here is wheat from friday. looking very juicy on the long side. where to buy this? i have my idea, do share yours. {image}

wheat entry points were for me 675.25 and 674.50. it bounced @ 675 .

early days so let's see if i can still get in.
In tea leaves we trust!
  • #453
  • Jul 25, 2021 7:56pm Jul 25, 2021 7:56pm
Quoting Mcbeaners
i've been a field day with softs lately - corn, wheat and soya. massive bull market. here is wheat from friday. looking very juicy on the long side. where to buy this? i have my idea, do share yours. {image}
I intend to move away from trading of diversified portfolio of indices and options that has given me excellent results mainly because of mismatch between futures and options trading hours.

For this purpose I have just got two dashboards coded for all cfd symbols in one of my threads. I want to trade a diversified portfolio of assets - indices and commodities - with bilateral negative, neutral or positive relationships and common factors of margin, leverage, liquidity, entry triggers and trading hours.

Glad you have experience in commodities trading. My experience is restricted to cash markets of Australia, Japan , Hong Kong and India markets during Asian hours; Dax 30 and UK100 during the European market, and Nasdaq during early US open hours.

Based on your experience which commodities do you think are good candidates for inclusion in the trading basket ?
Practice makes a person perfect
  • #454
  • Jul 25, 2021 8:08pm Jul 25, 2021 8:08pm
copper - buyers are getting back in early doors.

i have a thing about not buying back right away but daily ma's are so bullish for me. i'd be a buyer @ 4.165.
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In tea leaves we trust!
  • #455
  • Jul 25, 2021 8:25pm Jul 25, 2021 8:25pm
Quoting simnz
{quote} I intend to move away from trading of diversified portfolio of indices and options that has given me excellent results mainly because of mismatch between futures and options trading hours. For this purpose I have just got two dashboards coded for all cfd symbols in one of my threads. I want to trade a diversified portfolio of assets - indices and commodities - with bilateral negative, neutral or positive relationships and common factors of margin, leverage, liquidity, entry triggers and trading hours. Glad you have experience in commodities...
hi Sim,

i'm fully paid up tin hat wearer. forwarned. believe we are not in a pandemic but an economic reset. if this is true then dollars will need to be washed (seek hard assets) and something like ubiquitous hard asset like copper is a good place to do it.

i have softs thread where i talk up what i think will be a protein shortage looming.

so

copper, wheat, soya, corn, gold and silver. and i suppose any commodity based currency like cad aus.

but like i said CD rules and i go where the setups are.
In tea leaves we trust!
  • #456
  • Jul 25, 2021 8:50pm Jul 25, 2021 8:50pm
copper bounce @ 41.90

meanwhile wheat is coming back to me. i'll be a buyer @ 666.75

ok, enough from me. see you all in the morning.
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  • #457
  • Jul 25, 2021 9:12pm Jul 25, 2021 9:12pm
Quoting Mcbeaners
... 10 ticks. not sure what you mean. if you are talking order book then i don't know, i don't use it.
Below is a screenshot of the depth of market (DOM) from my futures feed...(yes "real" volume). The numbers in the red column are the "depth" in contracts of the passive sell orders. The numbers in the blue column are the "depth" in contracts of the passive buy orders..the yellow line in the middle is the last quote.

As you can see the DOM is only "visible" 10 ticks above and 10 ticks below the current quote. So my question was how is an imbalance in the bid/ask vs the liquidity detected at any level when these numbers are constantly changing...as well, how is this calculated into your indicator, which seems to run opposite of price during times of low liquidity?
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  • #458
  • Jul 25, 2021 9:28pm Jul 25, 2021 9:28pm
Quoting DonPato
{quote} Below is a screenshot of the depth of market (DOM) from my futures feed...(yes "real" volume). The numbers in the red column are the "depth" in contracts of the passive sell orders. The numbers in the blue column are the "depth" in contracts of the passive buy orders..the yellow line in the middle is the last quote. As you can see the DOM is only "visible" 10 ticks above and 10 ticks below the current quote. So my question was how is an imbalance in the bid/ask vs the liquidity detected at any level when these numbers are constantly changing...as...
ok sierra charts dom shows all orders but not completed vol. there could be a setting that i'm not aware of.

ah i see. CD in sierracharts is a measure of market orders vs limit orders that are completed. has nothing to do with the active order book. if market buys come in (over loading the limit orders) the indicator goes up and opposite for market sell orders. this is in line with your process no? just that you are doing the same but at specific prices in a given candle. i'm looking at it continuously.

hence where the price is static but market sell orders are coming and be actively absorbed, then one could assume that institutions are accumulating.
In tea leaves we trust!
  • #459
  • Jul 25, 2021 9:38pm Jul 25, 2021 9:38pm
Quoting DonPato
Hello Rick...I have admired some of your posts on other threads...thanks for joining this discussion. I believe all who read your posts (myself included) can benefit from your point of view. {quote} I completely agree with this. In fact I hesitate to divide market participanst into "big" or "small" player. (other than myself - who is REALLY small). More's to the point, orders...passive (Liquidity) and aggressive (market). And this is true, that once the aggressive side of the market uses up the available liquidity, price has no choice but to move....
Hi Don

I think that’s where the use of the Footprint chart really starts to make sense of all the absorption, imbalance and delta levels we see in a totally visual package.

While the Cum delta is bearish as the market is bullish, I expect to see high absorption numbers occurring in front of our eyes along with strong Ask imbalance numbers.
Liquidity is king during these times and no Buyer or Seller has any effect on direction till Volume steps up in my opinion.

There’s always that one thrust candle that contains at least three sets of Bid imbalance in the market before it reverses.
Cum delta is very useful in overall context over a long series of candles but fails to offer the trader that REASON.

Interesting a two hour bullish run on 1 minute candles showing bearish delta just doesn’t make sense till a simple moderate volume candle flips from strong Ask numbers too extreme Bid imbalance.

Bang, the bullish market is done and going by all that absorption, the big players have removed liquidity on one side of the order book.
More the point, they failed to absorb any more sellers probably because they had cleared out all their buys in good profit from a previous swing.

I like the way they hide this candle and make it look ordinary. It would look like just any other average bearish candle - the different is the Bid imbalance
is extreme and the candle visual trader is blind to its contents.

Cum delta is very useful when those big delta candles show themselves, especially if you trade a handful of pairs. It’s not practical or even possible to watch four footprint charts at once.

Cheers
Trading thin liquidity at the boundary of the charts
  • #460
  • Jul 25, 2021 9:40pm Jul 25, 2021 9:40pm
Quoting Mcbeaners
... if market buys come in (over loading the limit orders) the indicator goes up and opposite for market sell orders. this is in line with your process no? just that you are doing the same but at specific prices in a given candle....
Yes this is what delta volume profiles do...they give this process at each and every price level within every candle. So you can actually pinpoint what price absorption occurrs. It would appear that your indicator gives a delta of the entire candle...and then places it as if it was a price bar. Not sure how that helps...often time I see your indicator moving away from price...divergence?

Quoting Mcbeaners
...hence where the price is static but market orders are coming and be actively absorbed, then one could assume that institutions are accumulating.
This is the very definition of absorption. Again the clue is how does price respond to this absorption? There are many reasons that price would continue even though the active order flow is being absorbed...OSO orders come to mind, triggers that activate deeper pools of denser liquidity than are only apparent once they are triggered. Stop orders that are triggered and simply overwhelm the existing liquidity. Nothing is certain.
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