The ES is a lot different now - easy to see on the D.O.M. Years ago - it would hit 2 - 4 million contacts per day - now - lucky at times to hit 1.5 million. There used to be Thousands of Contracts on each side. Kind of funny - today - it should be over 2 million contracts - maybe get to 2.5 million by the end of the day. If I am trading my Discretionary setup - instead of my Algo - I will Adjust to what I see - fast or slow market - I have no preference. When the market is Slow - I see a lot of Price Consolidation - that I call a Range Condition - which is actually one of my favorite trade setups. I just thought of this - many years ago - I used Tradestation. I did several Posts in the TS Forum - on how I traded the using the D.O.M. - trading strictly off the D.O.M. - with NO charts - Scalping. I haven't had access to TS for years - but if there is anyone interested and they have TS - look up VSTscalper - I think that is what I used in the TS forum.
I think a lot of that has to do with the introduction of the micros in May of 2019. It has sucked away a lot of the volume from the ES. Diluted it, as it were, from mini-to-micro. Today is a perfect example... Right column is the volume. Where would that 1.6 million micro volume be if the MES did not exist? A lot of it would be in the mini.
I agree - but if I recall correctly (which may not be the case) - it actually started long ago - before the Micros - but the Micros - did kill the Volume being traded on the ES. The Micros are great for testing code - rather than using Sim. Quite often - early in the morning - the Micros will have more Contracts being traded than the ES. As I said in a previous post - I learned years ago - to Adjust to whatever the Market offers.
I used to monitor the DOM as a fine level tool like 20 years ago. Hidden liquidity, either actual or synthetic, relegated the DOM to the dustbin. At least for me anyway. Coarse level monitoring—e.g., S&R—is good enough to get the job done. KISS
The following - is what I went thru - trading with the D.O.M. - at my favorite Starbucks. Now I know traders will feel sorry for me - for what I had to put up with - but I took it like a man. I would travel to the San Diego area a lot - go to a Starbucks early in the morning - get a Venti Frappuccino - sit there and trade off the D.O.M. - with NO charts. The only problem I had - at the Starbucks I would always go too - it was near the Beach in the Encinitas area - and early in the morning - girls would stop at Starbucks - in Bikinis - and it did cause me to lose on some trades. One morning - I was trading - talking to a Client in the UK - I finally told him - I have to shut down now - I will get back to you soon - I need to go to a different Starbucks - a couple miles away - far from the beach - because I couldn't focus on trading - seriously - this really happened. Now I am NOT complaining - I did enjoy the early morning viewing at Starbucks. I don't dare to go to that Starbucks now - at my age - I could have a Heart Attack.
I take it you're an experienced trader of the ES. I would love to hear your comments on how you perceive the market to have changed over the last years. Did you have to make changes to your own approach or are you still doing much the same? There have been comments from pure DOM scalpers who claims that their edge or market understanding simply disappeared after HFT volume became prevalent. I never focused on the DOM or scalping for ticks myself, so I wouldn't know. And by the time I started following the ES contract I imagine HFT volume was already significant.
I took a snapshot of the ES and MES - D.O.M. - please notice where I said - "Need Ratio". Many years ago - I coded the Ratio on NinjaTrader - had it on my Chart. I wanted the Ratio for the Bid and Ask - or Buy_Sell - whatever they want to call it. If the Ratio was at a Very Minimum - of 1.5 to 1 or Larger (preferably) - on the Ask Side - the Odds are - I could Scalp it for a Tick or Two easily - and believe it or NOT - I would BUY. So if the Bid Side Ratio was 1.5 to 1 or Larger (preferably) - I would Short. Please notice - on the Bid or Buy Side - I use Red - and on the Ask or Sell Side - I use Green - a simple use of color to indicate what I mentioned above. To me - Red means Short - Green means Buy. The following - I believe I mentioned - in the Tradestation Forum - if anyone here has Tradestation - they can try to find it. I used the analogy - in terms of Real Estate - if the Sellers (ASK) are in Control - they want a Higher Price and the Market will go UP - and if the Buyers (BID) are in Control - they want a Lower Price and the Market would go DOWN. It sounds Backwards - but - all you need to do is watch the D.O.M. - it should still work. But the key - is the Ratio. I actually figured it out - on the old Patsystems J-Trader - but coded it on NinjaTrader - which I don't use anymore. The thing is - a trader needs to be Fast - once you see the Ratio - you need to React Quick - you do NOT want to Over Think - what you are going to do - if you do - you will LOSE. One thing that you need to be aware of - "Big Money" - will Add and often Pull Contracts off the Bid or Ask - and they do that - to try to Pull Price - Up or Down.
Yes, on the DOM the market moved TOWARD greater liquidity as it was shown. This was and probably still is counterintuitive to most people. Interestingly, I too used 1.5 as the significant value for the cumulative ratio four levels deep beyond the inside market.
My feelings about trading successfully. Back in my early days of trading - I traded all day long. Weekends were a killer for me - I couldn't trade Equities - wasn't trading Futures at the time. The problem was - I am sure I mentioned in my thread - I would make money early in the morning - give quite a bit of it back - or go Negative at the end of the day. Psychologically - it was very draining. Here is what I did to change things: 1) I finally decided I would trade no more than 2 hours in the morning - Win or Lose - I would Stop trading. It was hard to do that at first - but it really made the difference for me. 2) I made some VERY Strict and Specific Rules to Follow. Even good Rules are WORTHLESS - if you do NOT follow them. 3) I set a Net Daily Goal in Dollars. Whether I made the goal or not - or even went Negative - I would quit trading for the day at the end of 2 hours. I had to treat trading - as if I had a Job. I was wearing myself out - trading all day - and by the end of the day - if I ended up Negative - or gave back most of whatever Profit I had made early on - guess what I would do the next morning - I would Revenge trade - to try to make up for being Stupid the day before - and it was hard to Stop - this Emotional Rollercoaster. Kind of rambling now - but that is what happened to me. 4) And MOST IMPORTANT - for me - my trading is based on my motto - "Discipline plus Simplicity equals Success". I can guarantee - without a Disciplined approach to trading - and Keeping Things Simple - I would have been out of the trading business years ago. So in a way - Trading is NOT just about Indicators - and Coding and what Equities or Futures Instruments we trade - to me - that is a small part of becoming a Successful Trader.