Predictor

Theres a large imbalance in book at 18 holding up the market. Anticipate buying to take it shortly... again seeing correlated order flow running 30%+ over recent few prices.

Sellers have established inventory from 15 to 17. If we can hold above this short inventory then they'll be forced to close and we can assume larger institutional traders are taking the inventory. If we trade lower then they'll be in the profit and will have no reason to clear higher. --- One of nice things about my new inventory tracking is that I can actually see where market traders are long and short from. In range markets.. both sides will be in the hole.

I've started to see correlated positive orderflow occuring at higher highs... looks like a retest of highs in play

lastninja: you understand that they'll have to trade through your level for you to get filled.... just an fyi

MightyMouse: For trading a rule-based system, I agree but discretionary traders often don't have a specific edge but rather rely on adapting to the market and identifying the current tendencies. There is a much more uncertainty.. A rule-based system relies on a small edge over a large sample while a discretionary trader relies on correctly identify the market environment. Due to psychology/market tendencies/etc a series of risk controls can work better... zdo: Yes, there definitely would be. One of my main contentions is that the figures that TST posts are meant to mislead less experienced traders. You can get 1k margin these days and trade in the overnight or day session. You never have to put up the full margin unless you hold through the close. This means for example to replicate what they claim is their 50k account, you'd need 5k for 5 contracts +2k= 7k total. However, 5 contracts is probably more then anyone would need at that capitalization, more seriously 2-3 would be a real max. That reduces the capitalization from 5k to 2k+2k = 4k (2 contracts). However, the exact figures are difficult to calculate because its based both on the risk outlay and probability of winning. The simplest way is to look at the fee as a bet with the return as an outlay. So for example you get 2K for $175 or a 10 to 1 payoff. But, realistically you have to reduce this by 40% because that's what they take back. So you get only 1200 for 200 or a 6x payoff. This is still rather low. The other way is just to ask what a "serious offer" would be that would allow for splits and meaningful profit building. I'd say around 8k to 20k would be a reasonable minimum outlay. For example a 12K risk per trader would allow for 2k risk limit per day * 6x the daily loss = 12k. You don't see them offering this though because their "game" can't pay for such high costs. Also worth considering is how honest they are...i.e. how likely they are out to payout in the event of a "bank run"-> many winners during one month.

I've found it is rather easy to identify traders who are serious and likely to be winners vs those likely to be "born losers". It really comes down to a choice. The losers want put a lot of effort into other areas. For example, they take a great effort in appearing smart, knowledgeable, or trying to push an agenda. Trading for them is secondary to wanting to appear smart or make witty comments. They know that nobody cares about what they have to say unless they're trying to put others down. So, that's the only way they can get the attention they crave. The problem for them is that there are lots of smarter people who are really knowledgeable. Some people can't seem to stand that there are people actually out there making valuable products. They can't understand why a trader, of all people, who produce a trading program to better his trading. You might think such people would live in a primitive fashion without electricity or running water or other "evil inventions" but yet they find their way onto the internet. I've learned it is best not to try to help these types because they are "born losers". They don't value the work and effort it takes to win. Really, they do what they enjoy.. trolling around in chat rooms or pontificating about how smart they are or trying to get free stuff or push an agenda. If anyone considering my products stupid enough to listen to the trolls that attack me then I don't want them as a customer. That'd just be a headache. Lesson: Don't be a born loser. Don't reply to born losers. Don't read what born losers write. Why? Because if you read that then its saying that you're not serious about your trading, either. Are you more concerned with writing complete,proper sentences versus your traiding? That's a warning sign because winning trading is about TOTAL FOCUS and INTENTION. Do you try to correct people who are factually wrong and make derogatory statements about you? That's a warning sign. What would it say about my focus if I replied to every "wrong" idiot on the internet or tried to correct them? I've both tams and the other guy on ignore. Please don't copy/paste what they write (to me) or else I will place you on ignore too.

I think you must be joking. Most HFT algorithms POST large size to get a response from other traders while pulling it and never intending to offer that. That's manipulating and CFTC has recently fined a company for as MANIPULATION is illegal. There is no reason to submit 10k messages per day if your limit orders are real. You also can't make markets "miles" away from the price in the liquid futures contracts. They ALWAYS have depth on them. I've put in my order up to 12 hours in advance and seen it trade a boat load of contracts and never fill me. I believe the fine is actually 4k per day. The problem with your strategy isn't that messaging.. well it may be that too. But the other reason that it opens the door for some to post size and pull it which does 2 things: 1 makes large traders execute against non existing liquidity and 2 fakes others into reacting to that. Your strategy may not be manipulative in this way.. sounds it isn't but sounds like also it wouldn't work that well anyway.. If you want to put orders in far off the market, for real, then you can do it. That can for sure work.. I call it "fishing". It doesn't take the ability to shoot in 10k messages per day though. There is a fill ratio you should know about too. If you don't fill 1 order per 20 modifications (I believe) then you can be fined with 4k per day. CME knows that if they allowed the HFT manipulation that occurs in the stocks that everyone would leave or they should should know that. Now, I believe they do make some exceptions to market makers.. you'd have to ask them. Not an expert on this stuff..

Yes, I trade. I've did well too. However, it is very stressful as my account is still small -- not as small as Patak's but small for futures. I am always monitoring my performance. I feel like I'm trading close to my ability (that I had in the simulator) but I'm not sure. I don't want to go back to sim and risk giving up profits. For me, this could be a way for me to test and see if I do better with less pressure.. It would be like a break but I'd still be able to make money. Also, I could continue to trade my own account...

Michael, Don't you think that it is more reasonable that a trader should have AT LEAST 4x the daily loss limit? I can make a case for making it even larger but I could never make a case for reducing it. Don't you think that having less then 1x drawdown from your daily loss limit makes the loss limit pointless? I think your website would look less fishy without these discrepancies and the cool thing is you don't even have to change the amounts you are willing to risk on a trader. This is how you do it.. See. 1500/4 = $375/daily loss limit 2000/4 = $500/daily loss limit 3000/4 = $750/daily loss limit 4000/4 = $1000/daily loss limit I personally don't like to risk more then 5% of my account. Risking more then about 10% will cause most traders to blow out. Given the small account sizes, so that's 1500/10 = $150 daily loss limit in reality and a 4000/10 = $400. Also, I think it would far more honest not to mention the account sizes which isn't MEANINGFUL or representative. No serious trader who used a 2% loss limit would quit when they were down 3%. I'm trying to help you go legit here. Let's also change up something else. Let's quit with the nonsense of your sending your traders back to combine. If your process works then they should be good to-go or they were bad apples: toss them. Better, why not do something like a real trader might do? We'll make sure the cushion is a healthy 10x the daily loss limit. This is equivalent to risking having a loss limit of 10% per day. Okay... so that's 4,000/10 = $400 loss limit. Now, if the trader is down X% then what we do is reduce the loss limit. Its hard to do in your case because its damn hard to trade a futures account with only 4k. So here is a reasonable setup: $400 daily loss limit. If at any time down more then 30% then required to take 1 week off and loss limit is decreased to let's say about $350 or 10% of the remaining. Loss limit is increased back to $400 when previous equity reached. If ever down more then 50% required to take 2 weeks off/encouraged to sim and loss limit is further reduced to $300. And returns to $350 and to $400. Finally, if down 60% required to take 2 weeks/encouraged to sim. Loss limit not reduced. No more risk capital. That's it. Hit the road jack and don't come back.

I've submitted a custom combine. However, on second look at the website I notice some things. There are still some inherent/fundamental problems in what they offer, that to me, would need to change for me to say the math actually made sense: Max risk is only 2x daily loss limit for higher plans. Max risk should be at least 4x-6x the daily loss limit to enable a trader to realistically assume the daily risk given. For example, on the highest plan the max drawdown is only 4k while the daily loss limit is 3k. That is not realistic. It is not an honest offer. An honest offer would say okay, if I'm giving you 3k daily loss limit then I'm going to give you 12k loss limit. I mean ask yourself, would you trade a system that stated up front it could lose 3k in a single day with only 4k allocation? It doesn't make sense. You wouldn't do that unless you were an idiot. So what's the real daily loss limit for the 4k account... you guessed it 1k before splits or about equivalent $600 after splits. Not bad but not what is advertised. What would you need to trade under same parameters? 600*4 = $2400 account + intraday margin or about $3500-$4500.

I'm really thinking about trying this. For the record, I believe that it was originally setup as a way to generate fees from the combines. However, if they can make the "math" make sense then they may get some real traders -- like me. I've did well in my personal account but it might be good for me temporarily take a rest break. I still have to look at the math and see if it makes sense. The reduced goals should up my odds though. Michael, you are now offering a NinjaTrader version?

Nelson, thanks for your interest. Remember, I said that I didn't see any manipulating in the DEPTH in the ES. Well, last night in after hours around 10:57-12AM I seen activity that looked like it could be manipulation. I warn anyone who thinks of trying this that the CFTC recently fined a firm for manipulation. I can't say for certain if the activity was manipulating but someone flashed large size on the DEPTH in the inside level a few times and then immediately pulled it. Remember, how I've wrote that traders respond to order book imbalances. There was a large OB imbalance above the market in the where many traders were trying to clear. A trader flashed large size as we attempted to move into this zone. This triggered what appeared to be HFT market orders. The manipulation was easy for me to read and I hypothesize the intent was a large futures trader was attempting to slow down the rally to acquire more contracts. My hypothesis for this activity: Large futures trader was accumulating inventory but market was rallying too fast. So, he flashes large size near highs to trigger HFT response (sell market orders). He then captures these contracts and resells them. The response was for about 3 ticks. It looks like the HFT robots responded immediately. But, after the first spoof they quit responding. The alternate explanation is that a large trader really was trying to exit but posting the large size triggered the HFT response and he pulled his orders. I don't believe this though because this happened a few times and the size never stayed for more then a split second. It easy to see in my histogram view. --- This is just my interpretation. It happened very fast, and I cant know if this was actually what happened. I do not see this activity as a big deal for my trading and it seems fairly rare. Given it was a lower liquidity market/time then this may indicate that these games are more likely to be played when liquidity/activity is lower/risk is lower and an action is more likely to generate a response.. If anyone wants to check it was the 12-12 ES contract around 10:57PM.

I thought I'd answer the question that some people seem to be asking which is why share/post here? For me, I view trading performance, at least for me day trading, as the process of a highly developed state of feedback and flow. As a trader, I'm constantly taking a "pulse" of the market using order flow and other methods. I'm, also, constantly taking an introspective "pulse" of my own mind. Futures trading at high leverage is a very risky game to play. I need to maintain my sense of awareness at all times and keep my thinking process clear. I believe that posting/sharing my thoughts can help me to stay in the flow state and help me to take better trades. I monitor how this effects activity effects my performance, as well. If it gets in the way then I can make adaptations. I found that it can get in the way when I get more concerned about posting timely updates over taking timely trades. As such, trading always comes first and posts here will always be lagged. I do not post here explicitly so that others can follow my trades. I do not typically read or consider other trader's analysis because I have my own game plan. The past 2 days at the HOD traders were encouraging me to follow the trend and get long. If I lose money then it will be on MY CALLS. However, that doesn't mean that others can't do that.. Some may get value in that. I see the thread helping in 2 ways as such as: 1. Traders posting own analysis and trades for own benefit.. It is best if trades post simple factual data such as "Market made new high" for best analysis. However, some of us are not willing to share everything. I share a lot but I'm not sharing everything. It takes years to get where I'm at. Sorry, not giving it away. and 2. Traders can read others analysis if they wish. I see that some people are frustrated that I'm not posting in a way that allows them to tag along. I hope this clears that's not my purpose. The purpose as I see it... is so that traders can post their own thoughts to keep their own heads clear and share analysis when they desire. My 2 cents.

I wanted to share what I've been finding that works versus what hasn't been useful. First, the summaries are AMAZING. To be honest, I had not used our OrderFlow Bars in my own trading but instead focused exclusively on the OF monitor. However, setting the OF Bar to for example a 1K volume bar and tracking the summary information is a very useful way to see if the order flow is correlated. You can view each 1K block as an "order". I like that our summaries are printed near the bars too. It makes it easy to see what information goes with what bar. Likewise, the summaries on the Volume Inventory Tracker has really made it far more powerful because now I can see much clearer the activity in a range bound market. I've always focused on the Order Flow monitor which is still one of the best way to see the directional moves.. but it gets more difficult to read during range bound or ultra fast markets. I was able to track the accumulations through our inventory tracker even though it was too fast to read. I track the high volume areas within bars and find the distribution useful. I'm still undecided on the shading. I don't think looking at the difference volume numbers inside the bar is useful. I like the color coding without numbers. Of course, this is just how I read the market.. others will sure use different approaches. Some people claim that order flow always drives/leads the market. The reality is that the order flow can be highly mean reverting or trending-- just like the market. Trends are created by highly synchronized/one sided order flow. Both our OrderFlow Monitor and the summary stats help to see whether the order flow is correlated (trending) or mean reverting. We have an experimental measure that I'd like to apply to the summaries as well. First, and I could be wrong but I don't think watching for trade size is likely to be useful. Some algorithms may look for round number executions but I've never used trade size. Our SynchronousVolume measures how one or two sided the order flow is. Its similar to the difference volume but focused on whether orders come in runs or in mixed fashion. I've found that when SynchronousVolume is higher then a certain level then the market almost always sees follow through. The problem is so far I'm only tracking it on a per price level which is pretty much the domain of HFT. One of the studies we'll be looking at is when we collect this information on a bar by bar basis whether or not it proves useful. One of the reasons the order flow is mean reverting is if you take a range market.. all buys are at the highs and sells at lows. The LQ providers just flip them out. They do provide a valuable service for the market though in the ES. As long as they are "real" I don't have a problem with them.. we actually need them. I feel many of these LQ providers are using semi martingale strategies as well which is often why we see these support/resistances in the market as a function not only as a function of technical traders but of liquidity providers trying to create break even "games", just a thought.. The question then is what will cause the range to break? As stated above, the LQ providers seem sensitive to the correlation of the order flow.. As they pick up on that and respond to it. Where will highly correlated OF come from? You guessed it, large institutions/traders are spitting in large orders that are broken up in time or space to prevent showing "naive tracking", i.e big prints. We have some measures we're looking at to help us gain an even better edge... ... But first priority is release the software. I feel functionality wise that its ready.

Steve, I've met a few people, very few, in my life who were really smart jerks (polite word). Such a person elicits a strange degree of contempt while commanding an expert authority... Guess what? You're not one of them. Sorry bud! You're just the regular ole jerk. Nothing special. You want to compare my software, which anyone can see the value of, to your trying to sell that you have "your guys" holding up the market? You've been giving the hard sell since I've been here that you're "the expert"... I'm not buying it. Suggest you go back to your thread/den... I won't be reading any more of your messages which are on ignore by default. I don't like to be nasty but you've been trolling ever since I've been here.

Any touch off the 30.50-31.25 is IMHO a good zone to buy... if we break lower.. all bets are off... fairly correlated selling into the 31.25 limit bids ---- Drive now originating off the 31.25... could take us back to 35

Profit target met.. DFD... felt like the traders were actually just placing trades in front of mine today.I know its FIFO though. ---- My review.. 1. My order flow monitor is very powerful for reading the tape/orderflow. 2. Watching color intensities for buying/selling doesn't actually prove that useful for me. It looks cool but not that useful. I'm more concerned with the HV areas, summaries, and my real-time tape read using the OF monitor. 3. Tracking the difference volume using the OrderFlow Bars is extremely useful. I find that setting it to 1k volume bars works really well for reading the OF. The summary information is where the action is at though. It is like each 1k block is an order.. works very well 4. The accumulator/inventory tracking is very powerful.. again by being able to track the net orders.Before I was clearing it/resetting it to see where there was buying/selling coming in at level... 5. In general, best to be out of markets before reports but the volatility provides for tremendous opportunity that can't be ignored. My levels tend to work pretty good with reports... watching the inventory accumulated/tracked proved useful in determining direction

Some buying coming in at this 34 level... watching the buying-selling summaries on a 1k volume bar provides unique view into order flow.. seeing some correlated buying here...

CB.. yeah I call these cancellation patterns. I think its a combination of liquidity providers absorbing the liquidity and then the use of the stops by small traders. But, yes what they say about the crowded trade is true. What's surprising is that it happens in all time frames... even on a scale that I couldn't trade.

The 35 level looks to be in play.. question is could we retest even 34... uncertain

Today has been very difficult for me... Exceeded my profit target but the narrow range meant I wasn't able to keep it. I was holding into the fed news. That didn't work at all... However, entering on the range extensions worked well especially when tracking the inventory... Steve, I haven't crowed about anything. What I'm doing is sharing analysis/insight to help myself as a trader.. trying to create a positive environment here... sharing in real-time and in advance.. You're welcome to join us. --- A new net -5k balance has developed at current highs... so we're still seeing selling at these levels. However no range extension.. will be shutting down soon.. Too tired to continue.

I have steve on perma ignore as well... He's a real joker -- claims to have a system which is just his discretionary approach to trading. He even claims he has "his boys" holding up the market. Likes to pretend he is smart and make fun of others.. Not impressed. --- What we seen at the 34 level was short term traders shooting in a lot of orders but unable to clear... At current levels, I'm seeing much more aggressive selling... about 10k new contracts open short or liquidated

These new highs are attracting selling....

Swishy great suggestions. This was actually present in an early prototype but didn't make it into the production (yet). One of the reasons is that we actually have a signal column planned which for example will be able to issue a plain text alert when certain events happen that may be relevant.. such as many bids pulled simultaneously. We have studied total ratios and we seen some potential but primarily only at extremes. The right column can be used to calculate the difference in the total resting limit orders which is similar to what you suggest. What we actually do though is just calculate the inside levels.. It stands to reasons that orders close to the market may show a different sentiment then ones further away. One of our goals was to reduce the information burden on the trader.. with the far right col.. we can highlight extremes and it makes them easy to detect. I've been trading with the software for sometime now and so I'm constantly evaluating how to make it better. To be honest, the inventory tracker could be used to read sentiment but had limited use for inventory tracking before we added the summaries. Now with tracking the differences I'm able to track better how traders are opening and closing out inventory.. Please keep suggestions coming. Most probably won't make it in first release but we'll consider everything.

johnw... My sense is that these are correlation traders. The order book dynamics will cause a certain set of dynamics. For example, if many weak hand traders go short/long at the same time then often the market will instant reverse, hit stops, then drop. The reason is somewhat contrary but they created greater demand then was available below them to cover. HFT algorithms might for example try to buy in front of this imbalance (demand area) and resell it for a few ticks. Sophisticated traders use algorithms that can detect such characteristics as well and are reluctant (or their bots are reluctant) to execute into the "pocket" or the hands of the short term traders. However, at times its almost as if the market is forced too move there. The reason is that eventually due to other markets getting out of whack there is a risk free opportunity to take the orders. At that time, the order book imbalances become irrelevant. This is just the way I interpret it. Another interpretation was that the market was going to go there anyway but that it takes some time for the majority to recognize this. During such interval of uncertainty, the market pauses. I don't claim to actually know what happens. I just use descriptions that help me to trade better.