time & sales/reading the tape

anyone attempted this in es recently?

intrigued by the works of wyckoff, ive spent a while trying to develop tape reading skills from time & sales prints.

my initial reaction is that due to iceberg orders and algo's being so common, it is rare to see any meaningful prints as size is broken up to hide the intent. ive attempted to filter the prints, by showing only trades that are over say 50 lots, to try and slow the tape down and only observe the meaningful prints. the problem here is that it then becomes difficult to see if the prints are hitting the bid or ask.

have i just not given this enough time to develop an intuition? (approx 3 weeks getting not very far!)

anyone else with ideas/experience most welcome.....

 

I am not shure I understand this?
I am shure in every charting program you have the option to choose the colour of price hitting bid/ask or above bid or below ask. Like green if bid is hit red if ask is hit.
Perhaps I just missunderstood what you ment, if so just ignore tihis post.

Allso, for any meaningfull information from the T&S. It is important to know WHEN to look at it. This is mostly when you approach meaningfull S/R or waiting for a BO.

It is allso important to get a feel for the "puls" you are watcihng. How fast are the bid and ask hit.

Learning to read T/S takes time, a lot of time.

Are you reading the DOM as well?

 

thanks for the input veggen.


i need to see if i can configure the quote application then, because currently it goes green/red if the last print was higher/lower than the last print (if the spread moves say 2 ticks from the last 50+ (volume) print, then i have no idea if it was hitting the bid or ask). failing that, i will see if there is a better t&s on my trading app rather than quote/chart app.

im also trying to take leads from ym and nq as one or the other usually leads es.

like you say, i think i need to give this some more time. i think ditching the chart as a crutch could well speed up my learning curve as i will have to rely on just the prints to tell me whats going on. ive noticed that i tend to wait when approaching a significant level and wait to see how the tape reacts, rather than getting the lead from the tape as a head start - the whole idea of using the tape.

 

IMO MarketDelta has distilled T&S into visual form with their footprint charts.

 

Look at orders which are "Above Ask" // "Below Bid" at key spots.

Second charts is also another way of visualizing T&S.

 

Not sure this will help - but here goes


I try to see/ use T&S the same way - let's say - I would see waves rolling into a beach


I look for ebs and flows (an "overall" indication) of momentum in one direction or the the other...

I also look to see if I can get a feel for price's penchant for one direction or the other

And I'll use it when price is reaching an important level (howerever i've defined it) to see if there's any intrest from the big boys

Good Luck

 

i wrote an indicator to show in real time on the charts when small, medium, and large orders were being filled at the bid or ask.

it was no help. distribution was still random. sometimes there'd be a huge down trend full of big ask fills. sometimes there'd be a huge down trend full of big bid fills.

sometimes turning points after downtrends were marked by huge ask fills.

sometimes turning points after downtrends were marked by huge bid fills.

e.g. for every possible chart pattern, there was no useful information i got from plotting various sizes of bid/ask fills. every possible type or order inflow would occur simultaneously with every possible chart pattern.

because there were no useful patterns, i ditched the indicator.

your mileage may vary.

im posting from my phone now. if you are interested, i can post a screenshot of my indicator when i get back home to my place and have my computer.

 

I came across the same problems few year ago, realizing that T&S became useless for tape reading after NYSE went Hybrid and ES became very liquid. I have a custom built ATS (NYSE listed stocks/ES) that produces the tape as it crunches market data for real-time and post-trade analysis.

Here is a tape example for ES (it shows >= 100 lot prints, sweeps, plus/minus tick prints, and highlights buy prints in green and sell prints in red):

Code:

16:12:11 218s1170.50  453 x 32  S=/BLK -tkO(250) 
16:12:14 100s1170.50  447 x 115  B/BLK 
16:12:20 157s1170.75  243 x 399  B=/BLK +tkB(400) 
16:12:30 100s1171.00  238 x 233  B/BLK 
16:12:32 241s1170.75  255 x 159  S=/BLK -tkO(400) 
16:12:33 66s1170.75  24 x 255  B= +tkB(90) 
16:12:37 8s1170.75  191 x 82  S= -tkO(90) 
16:12:44 125s1170.75  112 x 246  B/BLK 
16:12:44 122s1170.50  406 x 128  S=/BLK -tkO(250) 
16:12:50 295s1170.25  142 x 5  S=/BLK -tkO(300) 
16:12:50 5s1170.25  20 x 281  B= +tkB(25) 
16:12:51 117s1170.00  175 x 66  S=/BLK -tkO(183) 
16:12:56 125s1170.00  78 x 64  B/BLK 
16:12:58 22s1170.00  68 x 214  B= +tkB(90) 
16:12:59 47s1170.00  172 x 15  S= -tkO(62) 
16:13:05 100s1170.00  136 x 15  B/BLK 
16:13:08 90s1170.00  35 x 523  B= +tkB(125) 
16:13:10 100s1170.25  108 x 393  B/BLK 
16:13:19 125s1170.25  153 x 237  B/BLK 
16:13:20 172s1170.25  328 x 217  B=/BLK +tkB(500) 

 

hmm. that gets me thinking. i take it the foot print charts are the usual distribution curves/traditional mp displays we are familiar with?

 

speculatus - how is that app going? are you still using it? i imagine that could be useful in over coning the iceberg problem.

do you see that t&s is still of value? iron fist would seem to think not with his results.

from past experience sitting next to old voice broker buddies, they still lift the bid/ask in size now and then, and if a prop can get his size done straight away and easily id imagine he would do so taking what he can in 1 clip or 2.

as for the prop black box's, i see them as being more of an aid as i have already seen loads of times price scuttle off for 3-4 points as bids/asks get pulled and there is nothing there to absorb the order flow. this is real la wyckoff! the problem (for me) is getting in on it before it's half way through...