Happy New Year everyone!

I started this thread in the hopes of gaining some insight into the community's Orderflow trading, but first, a brief introduction. I've been trading equity futures with Tradestation for the past decade, if not longer, and have developed multiple automated strategies. I wanted to expand my portfolio of strategies with Orderflow trading, so I've been trading NQ, ES, YM, and Gold with Ninjatrader for the past several months. (I think we can all agree that Tradestation is not designed for Orderflow trading)

I only trade between 3.30pm and ~6pm CET due to better signals in US equities and gold. I looked into trading FDAX and FESX during the EU session, but it appears that the Orderflow strategy is more suited to US equities.

Do you all have a similar approach? What sessions and futures do you trade?

In terms of the basic strategy, I primarily consider the actual delta change (min./max.) and where the future is trading on a 1-minute bar. For a general filter, I use the Volume profile (5 minutes) to determine whether to look for long or short signals. I occasionally employ Delta Divergences for trade entries, although this is not very often. I also keep risk management simple by using bar highs and lows to determine SLs and TPs.

What method do you take to risk management? Do you have any static TP/SLs? Do you also use Orderflow for exits, such as changes in the Delta?

As you may expect, I am quite new to Orderflow trading, and any input would be greatly appreciated.

Thanks in advance!

To give you an idea, please see the attached short signal in NQ from January 8th at 5.50pm CET. Following the daily high outside the HVA, the Delta drops dramatically, with essentially no positive Delta.

Compared to your setups, do you think this is a valid approach or am I here on the wrong path on developing a systematic strategy?

Every feedback is highly appreciated!

FutureTrader112 

To give you an idea, please see the attached short signal in NQ from January 8th at 5.50pm CET. Following the daily high outside the HVA, the Delta drops dramatically, with essentially no positive Delta. Compared to your setups, do you think this is a valid approach or am I here on the wrong path on developing a systematic strategy? Every feedback is highly appreciated!

Thanks for your chart, best proof is in your positive result. Fwiw, out of my own curiosity I wanted to see how it frames with Super Trend and a simple Bollinger Band on 32 range bars. Nothing special, nothing works all the time, just getting beyond the BB 100 line often translates to a stronger move depending on the time frame and time of day.
White vertical line is your 5:50 CET I think, 7 hr difference here. Dark line is 32R ST and the lighter line is 15second ST.
32r

I use footprints a lot, but only on 5 and 15 min timebases. I don't like 1 min FP, it moves across my screen to quickly to absorb.... (and I only scalp)
More for a longer term picture of where there is liquidity. I like to see where Buyers absorb, and then change to buying at Market, effectively a delta change.

On my 5min FP, I use 4 tick compression, on the 15min, I use 8 tick compression to highlight the liquidity (HV) nodes.

As you can see I use a 1min chart to show volume and Delta, its clearer and quicker to me.

I generally trade ES/NQ around the London Open, rarely venturing into RTH... NQ can provide some very nice 'indications' using the 5min/4tick setup. I always watch what ES is doing at the same time. One may be at structure and react, dragging the other...


08 Jan Footprint and 1 min


08 Jan 5 min chart

FutureTrader112 

To give you an idea, please see the attached short signal in NQ from January 8th at 5.50pm CET. Following the daily high outside the HVA, the Delta drops dramatically, with essentially no positive Delta. Compared to your setups, do you think this is a valid approach or am I here on the wrong path on developing a systematic strategy?

What did the order flow tell at other prior- and subsequent reversals at 13:35, 16:05, 16:20, 18:35, 19:30, 19:55 and 20:30 CET? All reversals are at or outside the value area and BB.

You will always find at least one event that satisfies your thesis, but what about other similar situations?

Edit: you might take a look at FGBL (Bund futures) during the EU morning. You'll find a lot of information about order flow and auction theory on Verniman's blog and X account.

Best,

ragic 

I use footprints a lot, but only on 5 and 15 min timebases. I don't like 1 min FP, it moves across my screen to quickly to absorb.... (and I only scalp) More for a longer term picture of where there is liquidity. I like to see where Buyers absorb, and then change to buying at Market, effectively a delta change. On my 5min FP, I use 4 tick compression, on the 15min, I use 8 tick compression to highlight the liquidity (HV) nodes. As you can see I use a 1min chart to show volume and Delta, its clearer and quicker to me. I generally trade ES/NQ around the London Open, rarely venturing into RTH... NQ can provide some very nice 'indications' using the 5min/4tick setup. I always watch what ES is doing at the same time. One may be at structure and react, dragging the other... 08 Jan Footprint and 1 min 08 Jan 5 min chart

Hi ragic,

Thanks for your reply and sharing your setups!

If we talk about scalping, how does your risk management work? Is it based on e.g. counter signals in the Orderflow?

For example I basically use the high/low from the previous bar(s) and try to catch a min. of 1:1 in terms of placing TPs and SLs. I understand this is not ideal, because the signals I get have a low drawdown and a good entry price. For example a trade from today in NQ and ES. Basically no dd, but could have tripled my PnL for that tried.

Any suggestions how I could improve the risk management?

Edit: Out of curioisity what footprint chart are you using?

Miesto 

What did the order flow tell at other prior- and subsequent reversals at 13:35, 16:05, 16:20, 18:35, 19:30, 19:55 and 20:30 CET? All reversals are at or outside the value area and BB. You will always find at least one event that satisfies your thesis, but what about other similar situations? Edit: you might take a look at FGBL (Bund futures) during the EU morning. You'll find a lot of information about order flow and auction theory on Verniman's blog and X account. Best,

Hi Miesto,

Are you referring to the 8th? In general, I use the volume profile as a basic filter to determine whether to look for long or short signals. For the actual entry, I refer to the footprint chart. If the maximum/minimum delta numbers hit a certain threshold, I am willing to trade. This may only happen 2-3 times per day, but the accuracy is far higher.

Thanks for the recommendation! I will have a look.

Just wanted to post an update on the above strategy and trades from today the 13th.

4 trades in total (3 win and 1 loss):

Long:
Gold 2685,9 -> 2687,2

Short:
YM 42260 -> 42280 (loss)
2xES 5834,5 -> 5830,5 and 5840 -> 5829

I missed two signals (short NQ and YM).

I still need to work on my risk management. Especially the Gold and ES trade would have been very good entries for additional PnL.