I feel like I'm writing a text book here. Notice the K200 weak attempt at a bounce at S2 and the rapid drop in the order book delta.
And to illustrate why longer term charts are important, a 30 min chart with overlaid volume profile. We *might* get a little bounce here.
Hi DC, Nice charts. How are you calculating order book delta? It looks like you are 'normalising' it from 0-1? I guess you prefer that to leaving it 'open ended'. Dont you loose the big extremes like that? EDIT: I agree with you about IB data. Its a simple choice do you want a 'full' data stream or a timely one. Esig & Iqfeed get lagged in fast markets imho. Cheers, Nick.
Dcraig, When you say the below sentence and the order book, are you referring to the best 5 price levels? Sorry for the question but for me when I see the DOM it is always the best 5 price levels. THks.
A question for Bill if he's still around. When you are using ACV for simple scalps you mentioned you tend to shoot for a couple of ticks. What do you go with for stops? I would imagine the same it seems like it will go for you straight away if its going too. Thanks for clarifying how you are ploting the order book DC. Just out of intrest are you scalping also? I guess its all down to definitions but these swings in delta and order book seem to lend themselves to quick in and outs? Cheers, Nick.
Yes, sum of contracts @ each of best 5 price levels on each side. Actaully, I think YM has 10 levels, and I recall testing my code on it, but I don't monitor it due to TWS restrictions on number of concurrent DOMs. Also being in Australia, I'm more interested in Asian and European markets due to their more sociable hours.
Nick, For many years....I used J-Trader....never used a stop....although that can be dangerous. Still use J-Trader some....but trading more with NinjaTrader now. My initial stop is set at 20 ticks....which....once I enter with a Market order....I decide where to put the stop. Sometimes....I just leave the stop at 20 ticks....as a disaster stop....in case the Internet connection goes down. When I do move the stop....it is based on what I see at the time of Entry. I can move it with a single click. The key to my Scalping....is my Entry....if I read my chart and ACV correctly....I usually get my target of two ticks. If the market slows too much....I may go for one tick. I usually trade 4 contracts at a time. I break my Net Daily Goal down....based on my two tick trades. I know exactly how much I Net....on each trade....so I know how many trades I need to reach my goal. Of course....if I have some losers....I need to adjust....and I do have losers. Also....although I prefer Scalping....I will jump in on a Trend....if I am convinced it is really a Trend. On a smooth running Trend....I will stay in....on a Choppy Trend....I will Scalp only. I trust my Indicators....which I program myself....and I can usually read the ACV fairly well. I use a 610 tick chart for Trending....and anywhere from 20 to 55 tick chart for scalping....ER or ES. Sometimes I go down to a 5 or 10 tick chart....but if I have to do that....the market must really be slow. Slow markets are usually more dangerous....and more likely to Range. By the way....I don't like stops. The "big money"....knows many traders use too tight of a stop....and that's why traders get stopped out all the time. I don't play their game. Good trading to you. Blll (in beautiful Seattle) VSTscalper