Hi MB: THanks for the chart. I can see the chart jumped 2 ticks because the bid size was larger than what was offered. Can you further explain the significance of this event? The DOM will momentarily show 1415/1414.50? Right? Does the next trade foretell the hidden sentiment? I mean if there is an upside bias in the market, the next trade would naturally follow in that direction. But the exchange receives market orders all the time, the next trade might well be a hit on bid. And the chart will appear a price drop to 1414.25?
I just try to show the smallest possible fractal and the mechanics of price movement ....If next order is sell market and is larger than Bid size level The price will drop back....and so on...This how the money is flowing they are coming In and Out and our job is to catch them...
This is a great illustration of how when one side gets eaten up, price moves in that direction. The details on the DOM is a few months down the road. In the meantime, what's interesting in MB's diagram is the relationship of the price bar's volatility to the bid/ask size. Price jumped 2 ticks quickly because of the size. This may seem a bit off topic but it's directly related to the price/volume relationship. Take a look at MAK's "volaility spreadsheet" http://www.elitetrader.com/vb/attachment.php?s=&postid=1319868 This drill was suggested by Jack. Go through a day, actually do several days with different ranges, and circle on the spreadsheet where each of the 81 daily bar's volatility is located. You will see an obvious relationship, among several. Higher volume = larger range, etc. What may not be as obvious is on certain days all the ranges are skewed toward either the larger or smaller volatility range for a given volume. For example, today volume of 10,000 on a 5min ES bar may give you a 1.75 point bar, and tomorrow or next week you only get a .75 - 1 point bar. The reason is most likely the size of the Bid/Ask vs the size of the orders hitting them. FWIW, (and hopefully to head off the thread going into a DOM discussion) on every tick change up and down the DOM is changing, or you could say the controlling side is changing. Think of how many times it changes during a single bar. If you try to use it to trade off of at this level it will whip saw you to pieces and things will get ugly real quick. Spydertrader will cover it at the appropriate time. Regards - EZ
Friday's chart, cleaned up, with double-gaussians. A great chart to review if you are trying to understand channel/gaussian relationships and multiple fractals at work.
This is an fridays chart on ES compared to Advancing issues and Declining issues on NYSE...I drown the 1,2,3 channels only and the Gaussians on ES Volume...It is obvious how closely correlated is ES whit NYSE stocks...I am sorry but 2 min YM chart it can not be drown using Prophet Chart stream...It will be great to have this all together to see the market influences .....
Hey I seem to get different volumes for the FX rates associated with different vendors. How do you know if the volume data's reliable?
Agreed... These double gaussians are a tremendous help, going to start annotating this way to remember the bigger picture.... Thanks Pr0