Amen brother. The trading room head trader obviously is not a good trader. His intuition is lacking or faulty....not sure which.
There is so much spoofing and order crossing going on in electronic markets that I have grave doubts about the integrity of volume information as it relates to short term spec order flows. Only the exchange regulatory compliance department has access to individual order identifier tags - everyone else is literally blowing smoke. If you read the CFTC Spoofing enforcement complaints you quickly realize that there are major BOTS operating in electronic markets that are designed to create a short term liquidity bias illusion by creating order book volume imbalances. And apparently it's a lucrative enterprise. So yeah, market footprint is profitable - for the predators creating the illusion.
Indeed Bone.....I've been witnessing how quickly the delta can change from positive to negative and vise-versa. I don't see any predictive power with the tool.
Resting oder book volume imbalances are not reflected in the footprint. The footprint is simply a cummulative tape of bid/offer transactions at each price level. It is not magic. It simply replaced human memory of the recent past. As for Delta, it is again based on transacted data, so it doesn't swing wildly as the day progresses and any normal thick market. It doesn't swing any more wildly than price.
Agreed. However, Delta does swing from bar-to-bar. The trading room was using 7 minute bars for ES. Why 7 and not 5 minute bars ? That's a mystery.
Price changes that are accepted or rejected over time are all that matter. Volume is a very weak secondary motive.
Really big specs and commercials use very sophisticated iceberg tools and order injection algorithms - it is counterproductive to show your hand to the market unless you’re running a spoofing bot. Which is yet another reason why market delta and volume footprint tools are incomplete or even deceptive.
I might add... Interaction between buyers and sellers... as price changes are accepted or rejected over time. I have to say that I find certain attributes of historical volume character to be helpful in managing the unfolding acceptance or rejection of price changes. But I think footprint et al is being oversold as a system or technique. Syswyz, of varying usefulness, it is the trend in cummulative delta over time relative to trend in price over time. The relationship between the two and how they change as a pair relative to each other. Absolute delta or absolute cummulative delta is of lesser value.
Yes, their tool had cumulative delta, but they weren't using it much. They probably should have been plotting it.
I find the use of cumulative delta and price very informative. If price goes up, but cumulative delta goes up more in comparison with prior moves, it tells that there could be a drastic move to the other side, when cumulative turns. It is not so that it predict a move to the other side, it still depends there is enough action to confirm the move. And a lack of it tells also a lot about further price movement. You can only see this in real time developing.