ES 3-24-2011


  • 3
  • Lorn
  • 24-Mar-2011 at 9:18 AM
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Here is the developing RTH weekly profile. Obviously prices are well above this at the moment. Also on the chart is Paul's Monday Range fib extension where if prices reach the 1.618 extension of Monday's RTH range on either side the probabilities of prices hitting the 2.000 range are extremely high during the rest of the week. In this case to the tick almost!


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es30min03242011
  • 1
  • Lorn
  • 24-Mar-2011 at 12:38 PM
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I find volume from O/N action is immensely important and adds quite a bit to my own trading but I certainly understand its not an absolute necessity.

Originally posted by pt_emini

Originally posted by BruceM

agree about DTN Lorn....I was on the phone with IB for a while yesterday and they assured me that the way I was looking at Cummulative delta it would work but it doesn't seems so....also there is no back fill with IB with cummulative delta so I'd have to run my computers all the time to collect data


I am running zenfire which does not provide any historical backfill either. I start my volume studies around 8:30-9:00 am (Eastern Time) most mornings and have no problem with that at all. Volume overnight (globex session) is so low that many volume studies do not work right anyways.
  • 2
  • pt_emini
  • 24-Mar-2011 at 12:50 PM
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I agree the overnight volume profile levels are very useful, especially during the first hour or two of the RTH session. The volume profile stuff is constructed from 1 minute volume data (at lest that is the way my volume profile indicator is constructed), so it can be re-built from the historic 1 minute data back fill. Thus, I do not need to keep the computer running all night in order to construct a volume profile from the overnight session.


Originally posted by Lorn

I find volume from O/N action is immensely important and adds quite a bit to my own trading but I certainly understand its not an absolute necessity.

Originally posted by pt_emini

Originally posted by BruceM

agree about DTN Lorn....I was on the phone with IB for a while yesterday and they assured me that the way I was looking at Cummulative delta it would work but it doesn't seems so....also there is no back fill with IB with cummulative delta so I'd have to run my computers all the time to collect data


I am running zenfire which does not provide any historical backfill either. I start my volume studies around 8:30-9:00 am (Eastern Time) most mornings and have no problem with that at all. Volume overnight (globex session) is so low that many volume studies do not work right anyways.

  • 0
  • pt_emini
  • 24-Mar-2011 at 12:53 PM
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Originally posted by pt_emini

Dipping a toe in on the short side here on this retest of the 1304.50 level


Exited, flat at 1301.00
  • 0
  • koolblue
  • 24-Mar-2011 at 12:56 PM
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Great trade ,P.T.! i'll buy 1299.00 ,otherwise i may have to sit today out!
  • 0
  • pt_emini
  • 24-Mar-2011 at 12:57 PM
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Originally posted by koolblue

Great trade ,P.T.! i'll buy 1299.00 ,otherwise i may have to sit today out!


Thanks Kool, VWAP is sitting at 1299.00
  • 3
  • koolblue
  • 24-Mar-2011 at 12:57 PM
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1527
  • 1
  • koolblue
  • 24-Mar-2011 at 12:59 PM
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Originally posted by pt_emini

Originally posted by koolblue

Great trade ,P.T.! i'll buy 1299.00 ,otherwise i may have to sit today out!


Thanks Kool, VWAP is sitting at 1299.00
yes i see that! i have it on a 13 min chart at 1298.75...
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1528
  • 6
  • Lisa P
  • 24-Mar-2011 at 1:11 PM
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2011 03 241310
  • 4
  • Lisa P
  • 24-Mar-2011 at 1:26 PM
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Re: overnight data. Market Delta allows you to separate O/N and RTH profiles. I find it useful, as market often tests O/N Value Area.
Here is an example. Look where the "open drive" stopped.
Click image for original size
2011 03 241325
  • 2
  • pt_emini
  • 24-Mar-2011 at 1:41 PM
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Lisa - Your Point & Figure Delta charts are just nailing the levels today, very impressive, thank you for sharing them.
  • 0
  • koolblue
  • 24-Mar-2011 at 4:38 PM
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s&p 500 cash high today...1311.34! Thats now a magnet,imho!
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