jeffersondaarcy

Hey Guys, I messed around with this today, but couldn't figure out how to get market depth (I can get best bid and best offer) so I called DTN. The guy I talked to had no clue if DTN provides market depth or not as a DDE. He said as far as their DDE info goes, there is a one-page sample file and that is the extent of their information/support for users. Unfortunately, the one-pager is pretty bare bones. I looked through the DTN message boards and didnt come across anything of value either. So... I got nothing. Anyways, just wanted to let you guys know how this panned out.

1. If you place a 1000 buy market order and it prints 1000, by some people estimation, this would be bearish because someone was sitting on the offer with size (one large seller filled your order). I dont have an opinion on this (whether it is bullish or bearish, provides an edge, etc.) as I've never done in-depth research on this, but my guess would be that it totally depends on context. 2. As far as tracking size, think about how you could potentially filter for this considering what information is known (time, price, volume).

Whatever your 10 gets matched with is what CME prints. If there are 10 one-lots on offer, you will see 1 1 1 1 1 1 1 1 1. If there are a two 5 lots, then you will see 5 5.... If there is someone sitting on the offer with a 100 block, you will see a "10" print.

That's why I posted in the first place. Im trying to do my part and stop people from following, that is unless Urma actually wants to address the post and prove me wrong. I would be more than happy to admit that I was wrong and apologize. Plus, his answer would be a tremendous benefit to the community. On another note, if anyone has any questions about how the CME reports trades, I highly recommend calling and talking to them, I have done so on numerous occasions and they are incredibly helpful, usually providing even more information than you initially needed/wanted. If you're going to incorporate something into your trading system, better make sure your assumptions are correct (as opposed to taking the word of someone on the message boards).

Exactly. A 1300 block order will look very similar to a pulsed 1300 lot order (assuming there wasnt size sitting on the offer for the block order). Therefore, trying to distinguish between pulsed orders and block orders (if one indeed believes that pulsed orders are a better indication of order flow shifts than block orders) is somewhat futile because prints are based-off of the limit orders in the book, not the market orders (assuming two market orders are not crossed).If I place a 1200 block buy market order and there are 1200 one lots on the offer, the trade will look exactly like a pulsed order. You cant tell the difference (unless there was size sitting on the offer).

Urma, From my understanding, you've said that the large/important players submit very large orders (let's assume 1,000 contracts) by placing 1000 one lot orders (or some variation of this) that all fall within a single second (or less). From now on, I'll refer to this as a "pulsed order." Furthermore, the purpose of your trade intensity indicator is to detect this pulse. Please correct me if I am wrong. My question is this: Prints are not based on the size of the market order, they are based on the size with which the market order was matched. Meaning, if I place a market order to buy 10 contracts, the tape will print the quantities that were sitting on the offer when my market order was matched. So, if someone happens to be offering 10 contracts, the tape will reflect this by printing a 10. If 10 different people are sitting on the offer, all offering one lots, the tape will print 10 one lots. Therefore, I question how you can tell whether an order was pulsed in or whether someone placed a buy market block 1000 order (assuming the offer was made up of smaller size). Are you saying that a "pulsed" 1000 lot order prints faster than a 1000 block order that gets matched with 1000 one lots? Seems to me like they would have the same "intensity." In fact, seems to me that the block order might even print a tiny bit faster since it is a single order (as opposed to a pulsed order, which is a 1000 micro orders). Thanks

It looks like I'm not going to be able to get to this as soon as I was hoping. Had to bump it down the "priority" list a couple notches. I'll definitely throw it up though if I can get it working. I'll keep you guys posted no matter the outcome though.

I use DTN, so Im hoping to use Tams' as a template/something to work off of. Haven't had a chance to mess around with it yet though. If I can get something working, I'll post it.

Much appreciated TAMS.

Does anyone know of any software providers that allow its users to add custom columns to the DOM? For example, you'd still have your basic columns (ask size, Price, prints, bid size, Volume-at-price, position), but you could also add in your own coded columns. For example: -A user-enabled volume at price column (would allow user to "clear" the volume when he wishes so he has a blank slate for when price retests a level) -Number of trades at each price above (blank size) for those that still track trade size -Some sort of orderbook analyzer such as the difference between the ask size when first arrived at the level minus the current ask size, divided by buy vol@price Dont read anything into the examples, they were just what popped into my head first. I just wanted to give a visual. I'm just looking for something that actually gives the trader more control. My eyes get tired having to dart back-and-forth between a DOM and other market statistics/orderbook statistics in different windows. Somewhat related note that just popped into my head: Anyone ever give any thought to replacing the ask size quantity in the orderbook with a horizontal bar representation? For example, the horizontal bar of an ask with 1,000 contracts would be half the size of an ask of 2000 contracts. The column to the right of the ask size would be the standard horizontal bar of volume at price... or something like that. Doubt this would be up my ally, but might be for the more visually inclined.

Interesting stuff. Any chance those straw poll results might make there way onto TL? It's too bad this type of information isnt in the public realm more. Side note: Does anyone know where one can find recent figures pertaining to how much ES volume each type of market participant does (Commercials do "X%," Prop Firms do "Y%," etc.)? I would be curious to compare today's breakdowns to pre-2007 breakdowns. Thanks

Thanks Blowfish. I think their may be a bit of confusion. I was actually referring to Fulcrum's claim that commercials (JPM, GS, etc.) conduct 70% of their business via market orders (as opposed to limit). However, I spent some time reading through some of the information/reports you suggested and definitely found value in the readings, so thanks for the info. I would be curious to know how Goldman's SLP status has affected (if at all) their findings.

Hey Fulcrum, Thanks for video. Quick question: You said that 70% of commercial trade is instituted via market order, do you mind sharing where you came across this figure? Thanks, JD

This thread has morphed into a broader discussion of the markets; more specifically, transparency and integrity issues. These issues affect us every single day, whether we realize it or not. They not only affect us as traders, but also as common Americans as evidenced by what has taken place the last few years (think derivatives market issues, taxpayer bailouts, etc). So, let's take this one step further... Is buying 200 contracts via 200 individual 1 lot market orders placed in under a single second manipulation according to the SEC's definition of manipulation (underline my emphasis): Manipulation is intentional conduct designed to deceive investors by controlling or artificially affecting the market for a security. Manipulation can involve a number of techniques to affect the supply of, or demand for, a stock. They include: spreading false or misleading information about a company; improperly limiting the number of publicly-available shares; or rigging quotes, prices or trades to create a false or deceptive picture of the demand for a security. Those who engage in manipulation are subject to various civil and criminal sanctions. Manipulation Please dont construe this post as me taking shots at people, me trying to piss people off, etc. That is not my intention at all. I'm just trying to stimulate thought. Going fishing for the week, good luck trading.

Aug. 5 (Bloomberg) -- Goldman Sachs Group Inc. made more than $100 million in trading revenue on a record 46 separate days during the second quarter, breaking the previous high of 34 set in the prior three months.Trading losses occurred on two days during the months of April, May and June, compared with eight days in the first quarter, the New York-based bank said today in a filing with the U.S. Securities and Exchange Commission...Trading and principal investments accounted for 78 percent of the bank’s revenue in the second quarter of 2009. Goldman Sachs $100 Million Trading Days Reach Record (Update3) - Bloomberg.com

Take a step back and think about what the market really is… It is buyers and sellers coming together to conduct trade, it is not a bunch of flashing blips on a computer screen. The key words are “buyers” and “sellers.” A trader purchasing a large quantity of contracts by placing many small orders does so for one simple reason: to hide his true intentions via the manipulation of trade transaction data. As a result, the market receives less accurate information, as participants are tricked into thinking many small orders took place with many buyers. I understand and accept that this is the way the game is played now, and I fully believe it will only get worse as open outcry disappears entirely, but to say that we now have more accurate data is absurd, we have lost transparency, which distorts accuracy, which creates an even more uneven playing field for the retail investor. In the past, if I bought 200 contracts by placing 200 individual one lot trades in under a second, the CME would group this trade together and report it as a single 200 lot order (feel free to call the CME and verify). The tape then reflected my true intentions (to acquire 200 contracts). Granted, during periods of high volume, market orders from several parties would sometimes get combined, I am not disputing that. However, most of the trades that were being clumped together into a single order were from a single party (once again, feel free to call the CME to confirm). This is pretty simple in my book: Trade is taking place on public exchanges and should therefore be transparent. One hundred contracts bought in under a second is one hundred contracts bought, period. The increments of purchase are completely insignificant. At the end of that split second, someone bought one hundred contracts, that’s all that matters, and that’s what should be reflected. When one combines the order subterfuge with the fact that 20% of trade is conducted in dark pools it is obvious that a very scary trend is emerging. Public exchanges need to have integrity and transparency. It’s not just the retail traders that lose; it’s also any mutual fund or pension fund holder. Basically, it is the American public that loses. I am curious as to where you get your premium arbitrage numbers. I would argue that arbitrage has taken a backseat to speculation. Just look at the trading profits banks have recorded over the last year, they are ridiculous. In addition, all these banks have an explicit backing from the US government (aka Too Big Too Fail), which means that they can take as much risk as they want because the Fed/Gov is always going to bail them out. Furthermore, we’re witnessing a stock bubble courteous of the enormous amounts of cash the Fed has pumped into the market via POMOs, agency debt purchases, etc. I could be totally wrong on the lack of arbitrage taking place, but I just don’t see it. Please post your premium arb. source, I would love to see this data [/Quote] Since your system tracks bursts, wouldn’t a single large order by an arb (assume 800 contracts) trigger your system since the large order is broken down into many small orders due to the many counterparties it would take to fill this order (thus being considered a “burst”)? How do you know that you’re tracking the commercial specs and not the arbs?

I'll have to check out "Candlestick Corner" when I get a chance. A cursory glance indicates that you've put a fair amount of time into it judging by the number of Sticky threads. Nice job. Do you look for candle patterns at S/R levels or is it simply a matter of watching time, tick, and/or volume-based candles form? If it's volume, I assume that you assume that large traders are present based off of the rate at which candles are forming? Agree 100%. I did a poor job of communicating this in the introductory post. For simplicity's sake, going forward, let's all assume that all attempts at tracking the smart money/institutions via reading price action (tape or otherwise) are occurring at support and resistance levels as opposed to no man's land (this would be its own unique thread).

I think we have different definitions of what "price action" is and is not. In order to avoid confusion, what do you consider "price action" and how do you watch it (chart, footprint, etc.)? I'm curious as to how you spot these "fairly obvious" big orders and how you apply this information (playing for breakout or playing reversion). Or, do you look to fade every S/R level no matter what knowing that the odds of a reversion outweigh the odds of a breakout, thus putting probability of success in your favor?

The change is for equity index futures only. The CME is also now providing transaction time data to the millisecond. The official line is that it is more accurate trade data (I would argue it is less accurate since it allows institutions to hide their intentions by disguising themselves as many small traders).

Browns-->So you don't read price action around support and resistance levels? Very often in the past the smart money would turn before the dumb money did at S/R levels. It was a great tell.

INTRODUCTION By now most people know that the CME has changed the way that they distribute data (2.5 times as many trades/day, avg. size trade dropped form 12 to around 4 contracts, 80% drop-off in trades greater than 199 contracts). In the past, if I bought 100 contracts at market, the tape (time and sales) would directly reflect this. After the CME changes, the tape no longer shows my single 100 buy market order. Instead, my buy order is broken up on a per counterparty basis. Meaning, if it took 100 counterparties each offering a single lot to fill my market order, then the tape would show 100 one lot orders. As a result, filtering by trade size in an attempt to follow the smart money/institutional trader has become obsolete (sure, one can filter by 50 contracts, but there are retail traders that trade in 50 lots also, so I don't believe this method is very valid). TAKING THIS A STEP FURTHER If a large market order is executed (assume 100 or greater), this means that not only is someone willing to buy 100 contracts, but someone had a limit order of 100 contracts or more offered. Essentially, this is a zero sum game in regards to snuffing out the smart money. At worst, the big guys are playing games with the market, trying to manipulate the tape by getting people to follow large orders. I have a lot more thoughts on these changes, how to adapt, potential solutions, etc. but I want to hold off for now so as not to pollute the creativity pool. So here is the question to the group: Due to the CME changes, how does one now follow the smart money/institutional trader? Note: UrmaBlume has a solid thread on "trade intensity" that many would find interesting. Definitely worth the read. However, I would appreciate it if the trading approach from that thread did not spill over into this thread as this thread's purpose is to generate new ideas and approaches. All ideas, no matter how outlandish, welcome.

2 1/2 times as many trades, average trade size goes from 12 to 4, and amount of big lots traded (199+) shrinks by 80%... Change bro. The CME is now reporting equity index futures trades in microseconds. This obviously gives platforms and programmers more information with which to work. Does this provide enough info to parse trades back together (smart/big money cant hide even by breaking up larger orders into many small orders)? Attached is trade data the CME sent me from last Thursday 9:00:45. Hundreds of individual trades were executed in under a second. Tracking big lots is dead. However, new opportunities have emerged. What are they? es45mjk.xls

Here is the total trades made per day for the last few weeks. The first giant spike is the Monday the CME changes took place.

As of last Monday, the CME changed the way that they disseminate trade information for equity index futures. Due to the changes, there are now 2.5 times more reported trades in the e-mini SP500. Here are the highlights and potential ramifications: There used to be, on average, 1800 trades a day of 199 contracts or more. After the change, we are averaging about 400 trades a day of 199 contracts or more. In addition, the average trade size used to be 12 contracts. It is now between 3-4 contracts. Needless to say, it has become very difficult to follow "the smart money" (large buyers and sellers). This is because trade reporting is based on counterparties. Prior to the changes, if I placed an order to buy 100 contracts at market, the tape (time and sales) would show a single 100 contract market order executed, or possibly one 25 executed market order and a 75 executed market order (or something to that extent). After the CME changes, my 100 contract market order will now be reported based off of each counterparty. Therefore, if it takes 70 different counterparties to fill my 100 market order, the tape will reflect all 70 trades individually Keep in mind that it could be a single counterparty executing my trade, they could just be offering out 70 one and two lot offers as opposed to a single 100 lot offer (I called the CME, this is how they explained it to me). Another side affect of the CME changes is that physically watching the tape is damn near impossible at times since what used to be a displayed as a single trade at 200 contracts could now be executed and displayed as 200 single contract trades. These 200 trades flash on the tape (time and sales) in under a single second. The human eye cannot physically process all this information, it is literally impossible. Has the tape (time and sales) now become obsolete due to the sheer velocity of trades as well as the possible ineffectiveness of tracking the large buyers (sellers)? The question I would like to pose to the group is this: There has obviously been some amazing technical progress (charts, indicators, etc.) made in regards to trading over the last decade. However, the tape (time and sales) is still somewhat stuck in the 20th century, meaning there have been no significant technological upgrades to it. Therefore, how do we not only make the tape relevant again, but also bring it into the 21st century technology wise?

Hey Guys, I'm hoping to put together a scan that returns stocks whose high of the day is also the high volume bar of the day (if volume doesn't work, then tick high bar). See attached TS screenshot for clarification. Any ideas if this is already out there or, if not, how I could go about doing this? Thanks for the help, enjoy the weekend.