I agree. Imagine you are MM and you see price going towards high, why would you offer heavily one tick above the high if you expect flood of buy orders? So naturally, the offers may start thinning out ... The buy orders sweep a couple of levels and fizzle out ... oh oh.
It doesn't matter whether the market is manipulated or not as long as you are not trading ill-liquid futures. You have to live with algo traders or market manipulators and there as nothing to fear about as long as you know how to analyse charts. What we need to fear most is our lack of trading competences, and our ability to neutralise fear. Fear is a very big killer, not market manipulator. ____________
Congratulations, if the market indeed behaves the way you think it does you found a way to make a nearly infinite amount of free money. Just sell a bunch of vertical spreads on those indexes just above and just below the price you know they're going to stop at, or even just the price that you've decided they're statistically more likely to stop at. You've found an edge that somehow no-one else in the world until you has managed to find! A hard learned hint for you, any time you think you've found something that regular, it's very unlikely you have, because you would have found a money making machine that none of the other thousands of experienced professional with significantly more experience, education, and money behind them noticed. I've discovered that if what I thought I found requires all the other market participants to essentially be idiots, I'm the idiot. Human brains have a few well documented defects. One of them is called confirmation bias, the brain only notices and remembers things that support what it believes and ignores, forgets, or even purposely goes out of its way to ensure it isn't put in a position to see, any information that would tend to disconfirm that belief. That's why the scientific method with its emphasis on rigorous, repeatable, results, is so powerful. Propose a testable hypothesis, do a quantitative backtest on the last 24 months of CL and NQ (after you've publically released the hypothesis so you aren't tempted to data fit) and see what you come up with. I don't know exactly what you'll find but I'm willing to bet a large sum of money it won't be what you've hypothesized here.
It's possible to back the size out from the estimated market impact (using a square root model or something more sophisticated). Besides some fringe cases like barrier touches, I can't see why anyone would want to do that, though, as it's a guaranteed way to lose money.
@qlai: MM accelerate this behaviour @maxinger: agree with you but if you can recognize the reason behind a certain pattern / behaviour it takes away some uncertainty @Sig: there´re regular patterns in the market, which you can exploit if you apply proper risk management, but I agree there´s no 100% win rate strategy
You can go back 100 years using daily Wheat data, and same patterns exist whether on dailies, weeklies higher/lower timeframes, people are people, whether they trading million shares or the guy do a one lot in Live Cattle. I believe there are seven basic chart patterns for break outs or you can take a position on trendlines, or wait for failures. Risk for me is ideal on failures and trend line bounces, and cause risk is so low, can do 2-3 times more volume than the breakout trader's risk. But you study charting or indicator entries/exits long enough, there is always going to be gunning for the stops by HFTs and bigger traders as pushing the market few ticks to hit stops is easy money for them. It just easier to take other side of those who gunned the stops to let them out and trade back into direction of trend, perhaps HFTs/large traders do a reverse and smaller traders jump back in on second try. The sophistication is the automation and depth of programming skills one has PLUS years of ability to read charts, but I not read where many quants have those charting skills. I don't see new patterns ever forming as apps do not last but a few months based on math and science. Of course we never going to hear about those that last beyond a few months. Trading is not what most think they have to accomplish, so many think more per contract is required to do well, and it is not. Consistency of netting something each day grows accounts. This is impossible to know, HFTs can trigger market orders based on speed of the market going in one direction, angle of price on whatever timeframe, different timeframes produces different trendlines. Question you ask is like asking how many specs of dust in the desert each timeframe on windy day. If you want to really be impressed, checked how many times previous H/L are broken but closes didn't close beyond previous H/Ls, this seems to happen more in ES as it is used much more as hedging instrument, but happens in other markets as well.