Thanks for your input 99'... There is a a number of posts on this subject - ACV - in depth by a poster - called Scientist... cj... __________________ HAVE STOP - WILL TRADE If You Have The Vision We Have The Code
So, after a few days my question still hangs in my mind. Again: 1) why would a big ask/bid ratio imply you get long? 2) why would a big sell limit(-2) order mean the 'sellers are trying to stop the downtrend'? These, and similar observation are made in threads on scalping. Is there no one that can explain these phenomena to me? If so, what happened to the adagium that you only know you fully understand something when you're able to explain it to someone else? Are you really trading these things without understanding why they happen? Ursa..
I most definately don't claim to fully understand it. But here's one possible scenario that MAY be part of the picture. When a SIF gets 'too far' out of wack with the cash market arbs will sell the future/buy a basket of stocks (or the other way round). To do this in the futures market you will need to be trading a fair bit of size, so you need liquidity ie selling into strength or buying into weakness. Taking a simplistic view, these trades are hedged, so direction is not important. Another possibility - high frequency automated trading systems executing some sort of reversion to mean strategy. Also consider that although size is showing in the order book some of these orders may be pulled by an ATS and not executed. And another - arbing between the future and an exchange traded spread. I have seen it suggested that a significant portion of the YM book is due to this strategy. Also consider hedgeing of stock portfolios. A lot depends on the time frame of the various market participants. Large longer term players may need the liquidity of trading against the short term trend. And so on. As I don't know (and have no easy way of finding out) the ins and outs of these sorts of things, some comments by those who have more knowledge would be appreciated.
I think Sceintist goes into this in depth in this thread (or one of his long threads) http://www.elitetrader.com/vb/showt...26299&perpage=6&highlight=volume&pagenumber=1 he talked about it extensively <b> 2 to 3 years ago...</b> as in: Price goes to Size... i think... cj... ________________ HAVE STOP - WILL TRADE If You Have The Vision We Have The Code
That sure is an interesting thread and I did find that specific quote. I only read half of it yet, but it seems that in that thread too these kinds of wisdom are taken for granted, without really explaining the origin. Oh well, I'm getting used to it . It seems that scalping is a true expertise, that can only be acquired by training patterns. (Btw, are there neural networks used for scalping yet?). I'll keep on reading then and see what I'll understand in a few months. Thanks for now, dcraig too. Your listing of possible 'causes' does indeed make sense and might explain some of the strange effects. especially the stock/hedge could cause contrarian issues. Ursa..
Has anyone else tried this method for scalping? Seems like Bill took his ball and went home. Would really be interested to pick up the discussion.
I spoke with Bill, just a couple of weeks ago...Great Guy!! You should check out his website, and or Email him... He stays busy... But He is Down to earth... Sicnerely, JC
If anyone can get coding for the ACV for Investor R/T, I will compare the ACV activity in concert with market delta fundamentals and see if I can find any correlations.
it's not just 'someone', since it's a truckload size it must come from a big guy and big guy is the guy that definitely can move the market. OK so now we know who is that someone, the next logical question is, is he seller or buyer? if he is seller does he want to sell at lower or higher price? if he is buyer does he want to buy at lower or higher price? what would you do if you are big guy, what would you do if your name is Don Corleone