Registered: Mar 2002
10-07-12 06:02 PM
Quote from jsmooth:
Years ago I traded at a prop and this was exactly what we did (in stocks)....this does not work anymore IMO. When your trading futures (or any zero sum market) I think it still works to a certain point, but not to just front run these orders, but more or less to get some information on pivot levels to trade against. The overall structure of the market is still the same...its not going to move unless a bigger order comes in, and they have to either post it or execute it. What I have found is that they will post it, trade will move up/down around it, then depending on what the market does it gets filled in a iceberg type of order. But that initial post level will still hold some significance as a pivot....when a large order was filled, the market either will absorbed all of it and find support or it wont and move lower.
Jason, a couple of things here to note. Crude oil futures, WTI to be exact, represents only 2% of the actual trading of oil in the world. So by definition, there can be no significant trades. Next, the crack spreads and calendars in oil are probably more heavily traded then crude itself. Now most of those spreads are traded as exchanged traded spreads. However, most prop firms also trade the "implied" spreads via their algos to pick off ticks. Those implied spreads trade on your order book and skew all the flow activity. And lastly, you have the crude options which bring in the crude hedging.
The really big prop firms that trade crude oil have brokers in the cash space and get deal info on what's trading in cash so they can trade the futures better. That is where you want to get order flow info. Not from your DOM on TT which is nothing but algos putting in and pulling orders.