MP Spoos Jan23

I lined up the letters on my profile with yours (i.e. start in letter B instead of D which I usually use) to see how today's profile would compare to the combined Fri/Mon profile that you posted. The shape isn't the same pronounced b as the combined profile but you can see the b.

[1272.75] F
[1272.50] F
[1272.25] FG
[1272.00] FG
[1271.75] FG
[1271.50] FG
[1271.25] EFGIJ
[1271.00] EFGIJ
[1270.75] EGIJ
[1270.50] EGIJM
[1270.25] EGIJM
[1270.00] DEGHIJM [DVAH]
[1269.75] DEGHIJLMN
[1269.50] CDEGHIJKLMNP
[1269.25] CDEGHIJKLMNP
[1269.00] BCDEGHIJKLMNP [DPOC]
[1268.75] BCDGHIJKLMNP
[1268.50] BCDGHIJKLMNP
[1268.25] BCDHIJKLMNP
[1268.00] BCDHIJKLMNP
[1267.75] BCDHIKLMNP
[1267.50] BCDHIKLNP
[1267.25] BCDHIKLNP
[1267.00] BCDHKL [DVAL]
[1266.75] BCDHKL
[1266.50] BCDHKL
[1266.25] CL
[1266.00] CL

There are a few things that say to me that the market wants up:
1. Range Extension to the upside today.
2. We tested the IB low (also low of day) and it was bought up very fast and did not linger down there.
3. Very agressive large sized contracts going through from 16:00 to 16:15 EST - I couldn't work out if these were longs initiating new positions or shorts taking profits from last week/today and squaring their positions.

On the downside I see the b shape. I see 2 crucial numbers right next to each other below us for support tomorrow. They are 1266.50 and 1266.00 and so I see this as a serious support level. Given no other negative news if the market hits here tomorrow I may well buy this area with a tight 4 tick (1 point stop) on the higher price.

Comments welcome...

By the way, why do you start your MP graphic in the B bracket? Is this the correct bracket for the SPoos? I was always under the impression that it started in the D bracket - or is that just because my charts run to EST time zone?

Here's the wacky MP graphic that I've been playing with.


Back to back MP graphic for ES. Left graphic is inverted and built on 60,000 contract brackets and right graphic is built on traditional 30min brackets.

So what are these 2 profiles telling me? The first thing that I noticed was that there were the same number of brackets in both the time based and volume based graphic. This indicates that it was an average volume day. I put average in italics because that is a subjective call and I haven't established what is average and what is not - but today 60,000 contract brackets form the same number of brackets as 30 minute brackets.

I also noted that at the extremes we printed more TPOs on the volume based graphic which indicates that there was more activity at the extremes than the time based graphic would lead us to believe.

I notice that the time based graphic is (very slightly) weighted more on the upside than the volume based one and finally I notice that the initial balance is smaller in the volume based graphic giving us Range Extension to the upside sooner than the time based graphic.

nice work. I start in B becasue that confoirms to the CBOT time brackets for the time of day. Esignal start in A becasue they start everything in A
what you are creating effectively is a Meta chart vs an MP chart
and someone pointed me to a piece of software from a chicago based firm that is doing something very similar except they just use x and o to denote buying pressure and selling interest and the "conversion" of one to the other. What few people realise is that just because trade occurs for example where "they" lift an offer it does not necessarily mean they were a buyer. Think about this and then see if you can spot in your volume profile a) where the conversion is abd b) the spoof trade where they want you to think they are buying it but in reality they are creating smoke and mirrors to generate the liquidity that they need

I agree with your comment that it's impossible to tell if a bid/offer is a spoof or not. I'm surprised that CME et al don't have software that tracks accounts that spoof. It's an easy algorithm to write: Just compare the executed contracts to the number of contracts placed and pulled. You can also do a stat on the average time an order has been in the market for so if someone is pulling an order 1 or 5 seconds after placing it you could track that as well.

I believe that the practice of spoofing is illegal and so would be something that the CME would help prevent. Spoofing is illegal isn't it?

First off the rules for a broker are quite simple. A broker must always have a valid order and a valid account otherwise if they as a broker spoof then yes there are acting illegally. Anyone else it s a grey area for they can always say they were trying to arbitrage the basis or a X market so to answer your question is it illegal. Nope and never will be. Just as many traders do when they have a line to sell first they buy to get the market to grant them the liquidity to sell. Nothing new in this Jessie Livermore wrote extensively about it. I guess to answer your question: the exchanges are interested in promoting product and volume and so long as noone brings the market in disrepute then alls fine and dandy until that is someone like a big commercial feels they have been disadvantaged. then watch them complain and of course it will be always the outsiders who will take the blame and get sanctioned for an insider never does anything harmful or wrongful.

Thanks for that insight Alex - so it is illegal for anyone to do it but nothing from preventing anyone to do it and you'd be crazy to admit that you did it etc.

But you couldn't for example write some automated trading software that used a spoofing technique to trade could you? i.e. the software is automatically putting on and off orders to confuse/influence the market direction and take advantage of that...

I seem to remember reading about CME talking about putting a charge on brokers for the number of orders placed versus orders executed in the ratio of 5 to 1 to prevent flooding of their order execution servers...

the software it exists it is in use all day long by locals by funds. it is rferred to as the ladder wheel. thats why you see 1275 x 1275.25 2300 x 2600 1 lot trades on offer so from now i will just say up to mean they lifted then down to mean they hit the bid. 1 up 1 down 25 up 12 up 5 down and size is still 2300 x 2600 roughly 400 up now mkt is 1275.25 x 1275.5 900 x 1800 . so not only does it put in and take out size but when a particular quantity trades it flips the offer to the bid mysteriously and also you will see th adjustment of the book below and above. just like a paddling wheel. You really think that a few extra cents makes a difference? when the memers cost are around 87 cents who cares about another 2 or 3 cents. the cost issue is only for unprofitable traders who are paying 5 buck commissions

quote:

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Originally posted by alleyb

...the cost issue is only for unprofitable traders who are paying 5 buck commissions

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when you say unprofitable you mean trading that particular strategy cannot be profitable with $5 commissions - and as such longer term strategies need to be sought out for individuals paying higher commissions.

Locals can scalp profitably partly because their commissions are so low - and this strategy is essentially a scalping strategy.

yes. consider that the spoof can do 4 lots for every 1 of the guy paying higher commissions. If I cud show you a stategy that trades say 3 times a day max and takes 10 points or one that trades 50 times and takes 14 which would you choose? I'm asking a rhetorical question because the answer is obvious