Welcome to NexusFi: the best trading community on the planet, with over 150,000 members Sign Up Now for Free
Genuine reviews from real traders, not fake reviews from stealth vendors
Quality education from leading professional traders
We are a friendly, helpful, and positive community
We do not tolerate rude behavior, trolling, or vendors advertising in posts
We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community. It's free for basic access, or support us by becoming an Elite Member -- see if you qualify for a discount below.
-- Big Mike, Site Administrator
(If you already have an account, login at the top of the page)
As has been mentioned - this could end up being pretty meaningless.
A large trade will only be reported in US Futures markets when a large market order hits a large limit order. Size reported will be the smaller of the two.
You could think of a 1000 lot hitting a 1000 lot as two titans battling it out - a market seller with conviction hitting a limit buyer with conviction. Without any additional context, would you have a reason to expect such an even to have any directional bearing? To me, it seems like it'd be a neutral event, like having an argument with the wife, sometimes one side would win out and sometimes the other...
If you have any questions about the products or services provided, please send me a Private Message or use the futures.io " Ask Me Anything" thread
How would you approach volume delta measures when this new tape-reporting is taken into account ?
(especially if one likes to have a delta for "larger" players and a delta for "retail-type" players)
Should the indicator have a "reconstruction" method incorporated to it to better reflect the iceberg executions ?
I want to fuse more tape measures and volume information into my entry decisions, but as life would have it, it seems complicated to come up with a simple solution.
Hello from Russia. Say thank you Google translator for meaning. I myself with the English at the dog. Woof woof.
In any case, glad to share experience with overseas counterparts. If you like the post, do not bother, write a response.
Your Alex.
instead of time & sales why not a volume ladder and a dom?
there would less stress and also a lot easier to see what's going on. plus with the dom you can see what's happening before and with the volume ladder you can see what's happening right after trades have taken place. and to make it real easy, the best is to have a footprint right next to bid /ask. this way you have all the important things in one place.
I do think some sort of reconstruction is necessary.
I think what you need to be looking for is bursts of large trades. One on it's own could just be half of a stat arb trade being executed.
Also, context is king. If you are at the low of a range and you see a burst of large buy orders, and price doesn't move up, that's added fuel to the downside fire because those large traders are now potentially trapped. So location is important as is the reaction to the large trades.
If you want to set bias, then cumulative delta works well on the ES - a reversal is usually accompanied with a large shift in delta - over 10k contracts.
You are right that it's not simple but analyzing individual trades and the frequency of them may be misleading because it is done without context.
If you have any questions about the products or services provided, please send me a Private Message or use the futures.io " Ask Me Anything" thread
I like to approach my trading with a top down view. My blueprint will always help me set potential trade locations and those will be adjusted as the day develops. When price approaches any said locations, this is where I would be interested in zooming in on the tape/delta/volume side of things, to help confirm and perhaps even pinpoint entries that my present setup might not have caught.
I also like the idea of delta (split into segments) to help form an idea of general market bias.