That is why wall becomes very important. The way it disappears or holds could define true momentum. I mostly act on observation right now, where I would like to code an indicator. I do not want to loose 2-3 seconds analyzing DOM. With indicator help decision can be made with 1/2 second. Also, I believe this indicator will be able to enhance entries for any day trading system.
Has anyone been able to reproduce this visually on a charting platform or take the info into Excel or something? I'm curious as how this information could be translated into aiding trading setups.
There are several levels of monitoring and analysis that are possible. There is a combination of several things that compliment the DOM. They all represent extensions of the basic P and V. Check out the WL script and check out the charts various people are showing in the journals. For manual, personally, I like to be able to glance at S/S, the T&S over 49, the whole T&S and the Gaussians on the OTR tick charts of both YM and ES. The downside of my comment is that I am unfamiliar with what a person would do to trade set ups. The closest I could come is that in trading it appears that an exit is the same as an entry in that order of comparison. Anyone trying to optimize reversal turns, most importantly, deals with getting out as last as possible and getting in as early as possible. These two items merge into one point in time and price. Manually, it is a good idea to sweep the list in the order that they lead and lag each other. I find that it is a smooth process and you generally know the values for the next two trades (at a rate of 40 trades (reversals) per day). If you log in advance, then it is possible to be glancing at the right price/time and the above data set when a timely action comes up. For viewing, It is best to arrange at least two screens so they present the blocks of info in an arrangement that forces you to follow the signal sequencing through glances that are informative. I do not "read" values particularly, but, instead, I read shapes. To deal in shapes, there are many (5 to 12 or so) for each block that I view. They sequence as well. I see it as three stages: 1. coming into view; 2. interleaving; and 3. being merged. An orchestral score would depict this. Looking at a print for the day would show just the turns and not the causal factors as would an orchestral score type representation. Excel is an idea that many people gravitate to. Unfortunately, Excel is not pictorial but rather it is numerical. I do know it can be written as vector binary values. Usually at Expo's I go to presentations and ask Q's at the end and after the close of the session. This moslty tells me that people producing products you need and want do not have a clue. There are exceptions, but that would invlove changing to a new point of view on this thread's part. At booths, I do go through ginning up some apps. At first it would require doing it twice since their machines "failed" they said. The second time we got identical answers, then the phenomena illlustrated couldn't really be happening. It was, of course, but it was easy to see that the "technical support" and the "technology" really was not designed to support the application. I remember in NY being cautioned by the expo staff about wasting the booth operator's time since they were there to meet potential clients and sell products. (I was chatting with the presentation manager and the exhibition manager stepped over to caution me). The technical support for TA is oriented to the conventional orthodoxy for good reason. The tools that are the topic of this thread are not as yet recognized for their full value tanding alone and not at all recognized for their immense synergistic values. There is little or no way an incentive can be put in place to get perveyors to serve the real needs of their clients. It is a classic herding mentality that is the incentive. It is one thing to scare or surprise a vendor. It is a totally different thing to have any vendor actually produce platforms that allow people to see the markets to be able to make money on a cookie cutter basis. For many many years I have imagined that almost anyone could make the money that the market offers. I am not too discouraged, but as may be seen on ET, most people will fight it to the end to not acept what is there for them. It is more a money matter than a technical matter. It is also a matter of whether to take one route to the answer over another. Money is a tough issue primarily because those who do not have it are naturally sceptical and cynnical with respect to relating to those that do have it and have earned it. As we all know everyone is smarter than anyone else when it comes to making money. For all practical purposes the colony follows one path without exception and that path is not a workable one. It is extremely damaging to the majority as may be seen. Failure is embedded in the common path and one major consequence is the unbelievability of any alternatives that are available. to get these tools to work a person has to step out of the box in terms of creation of practical technology and in terms of how to understand when something is functional. Building the testing tools for the required technology is an exacting science. In the military the weaponry is supported by test equipment. This specialized gear is called 'Ord 6" equipment. The weaponry for the thread set of tools is not integrated on platorms and the platform suppliers do not have any "Ord 6" equipment even on the horizon. Then there is the "Ord 6" equipment for the user; it is primarily psychological. Do a self check and see if you know that you know the time and price two trades out during each day for about 40 trades. It is difficult to explain how to so this to other people so far.
RedDuke, Iâm a recent adherent of the DOM but learning quickly due to the excellent threads throughout this forum. I have a question, if I may, but bear in mind my relative ignorance. Re price moving to size. If Iâm correct, the bid reflects demand, the offer reflects supply. Letâs assume there are a total of 10,000 lots on the bid, (1000 at each increment of 1-point) and 100 lots on the offer (10 at each increment). If price moves to size, we would expect the move to be down (?). Wouldnât it take less to achieve more on the offer, ie if I bought 100 lots the price would rise 10-points whereas a 10-point fall would need the sale of 10,000 lots? Wouldnât a long be the better position for a trade? Doesnât short supply drive prices up, lack of demand drive prices down? Through my observation of the DOM for the Bund and Bobl, size at support and resistance levels (from 1- to 5-minute bars) stands out a mile (at least during European trading). If price were to move to these levels, wouldnât these sizes actually represent potential limits to price? Maybe Iâm missing some crucial point. To learn, I need to ignore the risk of appearing a prat (not the first time). Grant.
Hi Grant, The question you asked is why I started this thread. It is logical that the price should move towards the path of less resistance, in your example, it should go higher since 100 on offer is much easier to penetrate then 1000 on bid. However, as I and others have stated this not often the case, as the price many times moves towards size and not the path of least resistance. I have stated in my original post how this can be used to improve the entry point, but I think we all need to chip in with observations to establish the rules that can be used and programmed. Also, 100 on the offer (for example )might look like a an easy target but if you hit them and get few ticks in the green, then all of a sudden a wall appears in ask, the price bounces and within seconds you are few ticks in the red. Regards, redduke
Red, Of course, I wasnât disputing any of the points you â or others â make. I'm just trying to clarify why my thoughts (through inexperience) conflict with informed opinion. The wall on the ask â good point. Looking forward to more contributions (Iâm still trying to read all the related info Iâve printed from previous ET threads re the DOM) . Grant.
I've thought a lot about price moving to size as well and one way I've come up with to rationalize it is to forget about the buyers and sellers and think about it from a commission standpoint. There are many people in the trading business, from brokers right up to the exchanges themselves that do not profit from direction but from the volume of business transacted. So price will gravitate to the point at which the most orders can be crossed and this often means moving towards size rather than away from it.
I had a decent morning on DAX today. One trade however was great. I was long (few points in green) and then all of a sudden a big wall (around 200 contracts) formed on one of ask levels. The price was still 2 levels below it, then it hit it. The price tried to penetrate the wall (at this point I was still holding my long) but the wall held and once the price bounced 2 ticks off it, I reversed and enjoyed a nice move down. Gotta love this stuff. Regards, redduke
That's an interesting way to look at it. Someone else also mentioned looking at the bids as people who are short and the offers as people who are long. Which ever group (longs or shorts) is the largest will control the price and move it their way. I was wondering if there is any way to trade this method over a timeframe of more than a few minutes. Could you add up all the bid and offer orders that were placed during the day (executed or not) and get a daily total for instance?
Yes, this can be technically done, since Ninja allows programming access to DOM. Not sure how useful such info will be though.