ES trading 4-5-11

I just updated my video from Friday which hopefully has better sound...please let me know if you can actually hear this one

here is another version....could someone tell me which is the better of the two to help me trouble shoot my sound problem....I guess I'm looking for the best of the worst!!

That final test video I can hear you but there is tons of feedback like you are speaking into a wind storm...

MS;">Bruce, thank you very much for your efforts, however, there is a lot of background windy sounds and almost not possible to hear you voice with explanations clearly

Thanks for the feedback...I'll need to buy a new microphone

thanks for updating your video, Bruce.

This morning, I read some of yesterday's comments about the market delta/footprint (I'm not really sure what the appropriate name is).

About 3 years ago I made a concerted effort to incorparate these Market delta measures, Contracts at bid, contracts at ask into my trading.

Without any rules in hand I thought I would be able to just study and study the PA comparing it to the graphic representation of contracts at bid at such & such a price and the opposite (contracts at ask).

Yeah, that didn't work out too well. It's not as intuitive as I thought it would be. Inherent contradictions (as you mentioned yesterday when the bid was huge but price wasn't dropping like a stone). But these are not really contradictions, they are windows into the psychology at price point.

This was one thing that bothered me tremendously until I rationalized what I was seeing (just like Lorn suggested).

What does it mean when there is huge volume at the Bid but price doesn't move? no significant drop in price. This can be viewed as a capitulation of longs, and/or reflects momo traders trying to jump on the downside momentum train (only to become disappointed if price does not drop further, and then the momo traders repesent potentially weakhands).

Lorn wrote: "So if price doesn't fall on big bid volume it represents in my mind at least, plenty of inventory willing to absorb the selling. So, if/when the sellers must cover you get an even faster rising market."

Lorn, exactly. I absolutely agree with the conclusion of your description, but I don't know whether I would have used the phrase "plenty of inventory willing to absorb the selling" isn't inventory something that is already held...in inventory? well I guess I could accept it as "an inventory of willing buyers?"


heavy hands hitting the bid only discovered willing buyers.
(Like Lorn noted) Those bid hitters represent potential weak hands if price swings several ticks (probably has to be more than 3 ticks) above the price of the big volume.

Yesterday, LisaP posted a chart on Page 4 (Bid-Ask update) that seems to illustrate exactly the opposite condition, in stead of lots of contracts hitting the bid, and price unable to move down, in the boxes she shows lots and lots of volume at the ASK, yet price is not moving higher and eventually price reveresed and dropped.


I had to voice these observations (really just agreeing with Lorn) because I am trying to decide whether I will give the market delta footprint another try.

Years ago, after I abandoned trying to use market delta style software, I did try to capture similar data in TS, I wrote an indicator that took the absolute value of upticks minus downticks and displayed the value in a histogram: colored Green if the upticks outnumbered the downticks or Red if downticks outnumbered upticks. Spikes in this measure are worth noticing (Bruce, if you can do this on your software it might be worth using with your regular volume p0bservations). Even though the indicator I wrote for TS is applied to 1 minute or 5 minute bars, if there is a spike in net-tick (for example HUGE downticks versus upticks), I pay attention to the High of that bar. because if price does not continue lower and rebounds, it is not going to make the short-sellers nervous unless price can get more than 3 ticks higher than the high of the bar producing the extreme net tick reading.

Sorry, didn't mean to ramble on, this can be placed somewhere else, I was only adding to the comments made yesterday.

If anyone wants the code for the indicator I described I can post it, but it would be in TS easylanguage.

Great to see you posting more Paul. You add much useful info for everyone.

I like your uptick/downtick indicator and that is an option available with the cumulative delta plot that I use. Rather then plotting bid vs ask volume it plots uptick vs downtick volume so the total numbers will be much less then the bid/ask volume but what I find useful at key levels of interest is to see if there is divergence between the two indicators, ie. if bid/ask is making a new extreme but uptick/downtick is not or vice versa.

good mornubg bruse this no sound

[i]

Thanks Lorn and Paul...that seems to be the only concept I actually can see right now with this delta stuff and that is when big volume on the bid or ask doesn't move the market.....Those big traders haven't been rewarded so the market tends to snap back like you both have said.

But the problem is we don't know when a big order will move the market and when it won't.......Paul, you mentioned 3 tics......so having a qualifier would be nice....yesterday I actually saw a big order on the bid volume at 1325.25 and we dropped down to 1324.75 without additional selling come in.....so perhaps 3 tics may be a good one......something we'll need to watch


So qualifying when a market runs out of sellers....no more people joining the bid side on swing lows and when a market runs out of buyers...no more people lifting the offer ( the ask volume) is my focus as a fader...

Thanks for the input and please "babble" anytime.....good to see ya back posting

I'm hopefully gonna get out today for a new mic to see if that helps..

Originally posted by della

good mornubg bruse this no sound

[i]

all eyes on our 1324.50 - 1325 volume this morning...

something to check out looking at end of day where were they all

http://www.cmegroup.com/popup/mdq2.html?code=ESM1&title=June_2011_E_mini_S_P_500_(Dollar)&type=v