At Trader's Laboratory there's a link to a tool created by "Ant" for TS. I think it more like using MD with IB, a snapshot system, but you can probably tell enough to note changes in sentiment. At Trader's Lab follow the links under Trader's resources> "Market Delta for Tradestation."
Market delta is a great tool, but imo you can't really use for it signals unless you are okay with 1 - 2 points avg win on ES. I do use it to watch order flow, in fact I don't watch T&S much anymore because I like the MD footprint chart better. I use a size filter MD footprint alongside a MD footprint with no size filter to compare the retail players versus the big players. Fading retail is quite profitable. One caveat though is the MD premise itself, which says that it is the large aggressive traders that move price and that buyers and sellers are going to market, not sitting in the que with limit orders. The MD assumption is that ask traded volume is always buying and bid traded volume is always selling. However, there are big players who don't go to market, but sit in the que; and some of the biggest players use a combo of hitting and sitting. Hitters vs. sitters - understanding their different motivations and subsequent behavior is the key.
As a beginner, I took the sound advice of 5Pillars and spent the weekend checking out the vids (educational & strategy) at: http://www.marketdelta.com/recordings.aspx Also download the market delta strategy guide in pdf format if you prefer reading at: http://www.marketdelta.com/education.aspx Finally I'm slowly making my way through some of the posts here in ET, starting with Bolter's excellent journal and 5Pillars generous contributions.
Welcome momoneythansense. Not this time for 5pillars. Anyway, I'm hoping that in this thread we can discuss and critique constructively so as to learn. There are some things that I would like to critique/discuss in the hopes that those who are knowledgeable will share their knowledge.
Xxxskier, If you don't mind, I have a couple of questions. Thanks. You mentioned that for ES, fading retail is quite profitable. Just curious, do you think that strategy will work for stocks? Although you ever mentioned that you (used/still do) to swing trade stocks using TA, do you now use delta for your stocks trading and do you find it useful? Amen to your caveat on the MD premise. Totally agree on that.
5pillars, I hope you don't mind sharing your knowledge on delta. Not trying to put down anybody or any strategy, just sharing some of my experience here in order to get some help. Thanks. Simplified example. You have mentioned about the shifts in delta (eg from -ve delta to +ve delta) many times in other threads for you to take the long side. (of couse usually coupled with certain important levels such as MP levels and TSI, divergence) Shifts from +ve delta to -ve delta and back to +ve delta from 1 period to the next is pretty common and certainly not necessary for it to occur at important levels only. It can be +ve delta for 1 period followed by -ve delta in the next period or the +ve/-ve delta can last for several periods at a time etc. One can see this from 1 minute to any number of minutes charts. Same goes if one is using tick charts (eg: 317 tick charts etc). Thus, just seeing the delta shift is insufficient IMHO. Of course, one can add that, let's look at certain levels such as market profile levels etc, then from there look at the shift in delta. For me, although I did not try that with market profile levels specifically as I was not subscribed to it at that time, I can still pick up significant support/resistance levels. Thus, I can 'test' these levels with the shift in delta. IMHO, the shifts in delta (eg: from -ve to +ve at important support levels that hold and which cause price to move up) does not necessarily ring true. As xxxskier has mentioned in his last paragraph, the big players can engage in being hitters or sitters or both. Usually in my experience, they will engage in both. Although, yes for the support to hold and price to move up, there will need to be some aggressive trades at the ask without a doubt, but whether that will always cause a shift in delta from -ve to +ve, I doubt it. I've seen at times(not rarely) where price rise up a fair amount and quickly on -ve delta. Also, I've given an example below where the shift in delta would not work. Say for example, the important support level is at $50 1 minute chart Time Delta Price 10.58-10.59 -50 $49.9 10.59-11am -300 $49.95 11-11.01 am +400 $50.02 11.01-11.02 +50 $50.05 11.02-11.03 -300 $50.1 11.02-11.04 -50 $50.15 11.04-11.05 +100 $50.05 11.05-11.06 -70 $50 11.06-11.07 +200 $49.8 11.07-11.08 +50 $49.75 From the example, if just using delta and important support level, one will go long at 11.01am as price has gone above $50 and there is a shift from -ve delta to +ve delta. But as you can see, it did not really yield any real profits. This is just an example of what I see from my experience. IMHO, if one were to use this strategy of looking at shifts in delta at important levels, my feeling is that its more of an art rather than 'a simple strategy' that it is made up to be. Its just like level II, one cannot simply say that if there are more offers sitting at the bid side, then there are more passive buyers or if one were to assume that they are fake, then there are actually more sellers. Its not that simple! Maybe you can share your experience on how you master this 'art'. Thanks. I've spent a fair bit of time on this and loath the idea of not getting anything out of this delta.
Help please. 1 how common is "Buy the Bid" and "sell the ask" and when is it likely to occur? 2 "Hitters v Sitters" can someone please explain this to me. Are you talking active v passive entry? It seems to me that one way or another, the moment you enter the market you effect MD depending on whether you entered on the bid or the ask
5P, Can you please comment whether my understanding of your Delta Shift concept is correct? I've attached my 317T footprint chart that corresponds to the chart you posted earlier . Btw, the times on my chart are +13 hours ahead of your chart (i.e. 09:00 on your chart is 22:00 on mine). Let me see if I understand Delta Shift. Looking at volume only, a Delta Shift occurs when a negative Delta column is followed immediately by a positive Delta column, or vice-versa. Looking at price from column to column, a Delta Shift can occur with price being at the same level (e.g. your chart), or with price moving higher/lower in the next column as the shift occurs. E.g. The first instance of Delta Shift occurred when price touched 1339.75. Delta was still negative. In the next column Delta then shifted to positive on aggressive buying at 1341.00 The second instance of Delta Shift occurred immediately afterwards when sellers regained control driving price back to the same level of 1339.75. Delta was negative. In the next column, aggressive buying resulted in price closing higher than the open, even though price did not make a higher high. Delta shifted to positive. Because there may be many occurrences of Delta Shift every session, other methods of confirmation are needed, such as divergence of other indicators. Is this the Delta Shift concept in a nutshell? Regards PotV