FulcrumTrader

First of all, zenfire/rithmic data is unusable for proper bid/ask data needs....so trying to use this feed for CME, ICE, EUREX, NYMEX, or any other markets would in the end be a complete waste of time. Second, I traded the DAX heavily this month as I do many months, and I did not have any problems at all with my DTN.IQ feed (while exceeding my monthly profit goals as I have done all year). The bottom line......zenfire/rithmic feed was never built in any fashion to be focused as a bid/ask tracking mechanism (that is just what many retail type traders are trying to make it into). The zenfire/rithmic feed was built for order routing and basic price and total volume information.....this of course does NOT include parsed volume information of the bid/ask differential. DTN.IQ feed was built to be a complete feed (with a proper ticker plant) for many data/charting uses to INCLUDE historical data look back capabilities.......this INCLUDES up to 30 days of very well formated historical BID/ASK data.

I wanted to point out that action in the Equities Index instruments follow many of the BUY / SELL program activities in the Equities markets (mainly NYSE) for the ES, YM, TF action.

For the ES.......8 to 12 tick runs of price is where I have been targeting covering the majority of the entered position. This may change in time with more forward testing and with any significant changes to the volatility from our current situation. In the CL for instance, I have been so far looking at 15 to 20 tick moves to cover the majority of the position.....again, more forward testing through June and July and I will have a better idea for what is realistic initial targets.

I did exactly give two links from the CME who I am talking about, and in other threads from the past I have stated that large liquidity participants (non-retailers) are those who can cause TI events. BTW, I do not at all like or use VSA and don't really care who VSA thinks is "smart" money. For the sake of this thread, talking about Commercial trading operations, who are conducting both hedging and/or speculative directional trading, is only to point to the group that has the capability to cause TI events. It is not a big groups of players in the futures trading industry who can cause certain TI activities in the order flow as newly initiated directional trade (900 single lot orders strung together as separate orders all executed into the market in one second period of time.....through automation). So while a few spend all their time over who you can or can't call a Commercial, the actual discussion should be on how to identify when large liquidity participants are getting into the market with newly initiated directional trade. Retailers don't have the means or liquidity to cause TI events as they initiate new directional trade (not even when many all at the same time decide to get into the market). Commercial trading operations (some of them) do have the ability to cause TI events as they initiate new directional trade......this is the group you want to look for as they join the market (and follow their specific TI event at the initiation of new directional trade). BTW, just to throw in another wrench................LOL!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!! Who do large liquidity participants (Commercial trading operations......Oh no, I used that darn word Commercial again......LOL!) follow most of the day (in the "ES" that is)? One of my 5 filters as I track for TI events that I want to follow for trade entry signals, has nothing to do with anything in the order flow in the futures market. Here is a good list on factors that you may or may not want to use as filters for building up your own TI indicator; 1) Time between trades (very detailed measurement.....using a very low latency high end feed like Bloomberg versus a typical retail feed will show differences) 2) Some rolling average of the rate of trade, going back say _____ days (to know when you are _____ times or greater above typical levels for instance) 3) Where is the order flow bias at the moment and what was it doing the past _____ seconds (bid/ask differential view) 4) Where is price and what was it doing the past _____ seconds 5) What in the heck are Equities doing right now and for the last _____ seconds (this is for ES, YM, TF trading set ups) 6) Was a capitulation order flow TI event active within the last _____ seconds 7) Was a covering order flow TI event active within the last _____ seconds That should give you a very good idea of the factors needed to build up any TI capability......that would ever provide you the ability to properly detect when significant newly initiated trade events could be followed for automated trade entry. Of all the various TI events on a day to day basis (many signals) there has to be a mechanism to select which ones to actually follow.......so their is my $.02! Enjoy the day....see you in the market!

Real simple......watch the Delta Volume Distributions for 7 years straight and then do specific research as to observed repeating events. Like I said, I have already verified key activities I see day after day or week after week through those I know within the large participant futures trading community. BTW, the 40,000 that day of the video WAS verified to me as predominantly Equities firm requested/initiated activity (for hedging). Also, after that area of hedging, the market did continue to sell off for several days......so Equities did very well for themselves hedging at those pricing levels. Due dilligence is the means for proper verification, not assumptions.

While you again go off in left field, it is very simple who we are talking about that ACTUALLY drive the order flow in the ACTUAL futures market where a TI event could at all be tracked. We are talking about the SPECIFIC entities that ACTUALLY initiate the trading activity in the futures market....to the point they could create TI events as they INITIATE NEW DIRECTIONAL TRADE (so WHO in the actual futures markets could initiate new directional trade that would create a TI event........large professional trading firms or a bunch of retailers with their one lots). I think you are missing the entire point of the reasons why it is very useful to know when large professional trading firms are INITIATING NEW DIRECTIONAL TRADE. Conversations of Louis Dreyfus and Exxon are out in the parking lot while I am talking about what is going on at the home plate after a home run event.

I will take a look at the CL latter today but there definitely may have been a Hidden Divergence you were looking at or some heavy covering distribution.

How about the Red Rock Casino.....is the Austin based "Salt Lick BBQ" joint still there? Salt Lick BBQ - Red Rock, Las Vegas

We have several using this set up with the various GomCD and GomLadder tools and all seems good (which is very nice to say!!!). If NT 7 could just get their platform to interface with the historical BID/ASK data from DTN.IQ feed that would be excellent!

Well I am getting ready to go on an extended vacation this week.....it was great to have these various discussions with everyone as we all look at the markets through our varied life experiences in trading. In the end, I have to say the TL forums have been a pleasant surprise this past year and there are some excellent traders here with some great backgrounds! It is VERY nice to see that a "Politics & Religion" section does NOT dominate the TL world......LOL! :haha:

Pat, Make the trader with the worst P&L each week buy everyone dinner at the Foundation Room on Friday night.......excellent POSITIVE motivation! LOL! I like that security team!

Right.....BID/ASK differential work with a broker supplied feed is not usable data (tainted results). DTN.IQ is the best option at this time to make sure you have proper BID/ASK data.

If you can watch realtime whether a zone of resting inventory is building or dissipating, I am not sure what you mean by failed? Also, where is the divergence and how many contracts are currently held? Middle of a recent multi-day range of price, on the upper end of an up trending multi-day range of price, on the lower end of an up trending multi-day range of price, on the upper end of a down trending multi-day range of price, on the lower end of a down trending multi-day range of price? The context of recent price/delta volume action and where the divergence is in relation to a multi-day range of price are all components that have to be accounted for. I have not seen any overall changes in the various Delta Volume Distribution patterns from 2009 to 2010 other than some volatility expansion again in 2010 (for the "ES" that is). The patterns have pretty much been the same for the last 7 years I have tracked the Cumulative Delta.....now getting into volatility changes, that is a separate subject (and how to account for the changes).

http://www.traderslaboratory.com/forums/f208/massive-hedge-es-before-jan-22nd-7440.html 40,000 contracts accumulated 10 to 15 points off recent lows in a multi-day down trend is for the most part Equities firms (through their own desks if they have futures side or through others) getting very defensive (protecting equities LONG positions/portfolios). Most Commercials trading desks are not suddenly initiating heavy new directional SHORT trade just after the market has had a multi-day downtrend (near the recent lows). As I have mentioned in this thread before, I do not care if Commercials are hedging for themselves or taking orders from Equities firms. The bottom line is, there are specific order flow signatures created by newly initiated Commercials orders that CAN BE detected and used for high probability trade entry determinations.

Did you notice at all I said MOST Commercials.....I did not say ALL so attention to detail is very important. From those who I know in the Chicago futures industry, I have a very good understanding of the types of large Commercial trading activities. I did not actual have many opinions on how Commercials traded until about 7 years ago when I spent some time in Chicago. BTW, I may be there again this late summer working on a new project with several of my contacts there.....all I can say is the HFT game is growing.

Yes.......I have a new system forward testing at this time that will be at a different level than what I have ever had before. In addition, I currently use Accordion trade entry/management systems I have developed so I am trying to blend the two concepts together for future use (as a stand alone fund only using these systems).

Two completely different trade ops......statistically specific TI action is for automation imo, and typical price trading back and forth between zones of resting inventory I trade discretionary. The TI events I don't want to watch for (automation can do that) and the other typical intraday action I can trade it when I feel like it.

BTW, when louis dreyfus firm ever ends up on the CME member firm page let me know....

Sorry pal....in a thread that was STARTED by UB going into more detail how he tracks order flow and trade set ups with his various methods I think you may be confused. How Commercials interject/withdraw their liquidity into the market is very important to track for TI based activity. The LIQUIDITY involved and the technological METHODS used are very important to QUALIFY who has the capacity to create the type of order flow events we are talking about (as we track for these Commercials activities). While you may be improperly distracted by whether it is hedging or newly initiated trades that is your own problem. BTW, most Commercials do not initiate 40,000 lot hedge positions 10 to 15 points off a new low in a multi-day downtrend in the "ES". So if Commercials out of Chicago take a large order from a large Equities firm for a hedge position intraday, I don't care one bit....as long as I can see where that inventory was interjected during the trade day. How that type of order flow gets worked into the market is what separates very large Commercial activity from the rest of the pack.....that is all I need to know. So who are the firms that could potentially pump some serious order flow during the day that could be detected as Commercials TI activity, well lets see; https://www.cmegroup.com/tools-information/clearing-firms.html https://www.cmegroup.com/tools-information/corporate-equity-members.html AGAIN, manner of execution IS a very important aspect to understand for who is doing what and when.

BTW, 1 lot traders all together from TL.com or ET.com do not interject 10,000 contracts into the market in a few seconds just perfectly after another group of 12,000 resting just turned into weaker hands going to neutral.......that IS Commercials. Also, 40,000 contracts do not sit held in a 3 point range of price for 8 days until either challenged (and unwound) or made exceptionally profitable with a trending move.......that IS Commercials. If you plays with MILLIONS on up and use algorithmic automated entry/exit systems as a member firm....your ARE a Commercial. This is actually not at all that hard to research and figure out.....I already did that 7 years ago.

Well a footprint chart will show the Cumulative Delta as the buyers lose control to the sellers (or sellers lose control to the buyers) but it does not at all show you, "hey everyone.....Commercials are joining the order flow for newly initiated directional trade RIGHT NOW!" if you know what I mean. Now I have tracked and worked specifically with Cumulative Delta for 7 years, and I have a very good idea what I see in the order flow at various zones of resting inventory from all my experience (for discretionary trading). With TI there is an ability to have very specific information within a sub-second basis as to be perfectly set up for fully automated intraday scalping/position trading. I would never want to be sitting intensely focused on a DOM or Footprint chart all day long looking for the few second bursts of this TI activity I mention......no thanks. This is the exact type of trade activity perfectly left to full automation.......plus, full automation can scan 30 to 40 markets throughout the day at the same time (looking for specific statistically advantageous TI events to take advantage of).

BTW, does anyone know if OFA is still trying to use Rithmic feed to track BID/ASK Differential? Did OFA finally make the switch to a proper data feed for BID/ASK Differential work with DTN.IQ feed yet?

Investor RT Pro with regular DTN.IQ feed is what I recommend for tracking Cumulative Delta. TradeVec and marketdelta.com are additional alternatives if used with DTN.IQ feed (a rock solid feed is a MUST to properly track the Cumulative Delta).

The predominance of Commercials order flow is handled through algorithmic automated entry/exit systems with "market orders".....BID/ASK Differential is critical to track this very important order flow dynamic. With current technology and speed available for routing orders, the best method possible for Commercials to mask their activity in the market is through "market order" driven order flow. Sitting fat in the order book is the old game...."market order" driven activity through automation is the king right now.