FulcrumTrader

There are very clear patterns within rapidly increasing trade rate supply & demand events that ATTRACT Commercials participation......so yes, you can time entries as you then detect Commercials initiating new directional trade (and join them in the order flow). The whole point of the order flow signature tracking is to statistically identify the exact conditions in the order flow which attract Commercials to initiate new directional trade.....and then to track them as they initiate entries. To SEE when Commercials are initiating new directional trade in the order flow is very advantageous imo.

Cumulative Delta (BID/ASK Differential) is a parsed volume study where you can track the "market order" driven order flow (the predominance of Commercials activity in the futures markets is with "market order" entries/exits). As you track the very critical "market order" driven order flow each day with the Cumulative Delta, you will see the Delta Volume Distributions built from areas of price with resting held inventory. To know the exact pricing levels or zones of price where significant accumulated inventory is resting has distinct advantages. Cumulative Delta can then be used as a mechanism to track intraday open interest as the market trades back and forth betweens zones of resting inventory. These easily determined zones of significant resting inventory imo are the only real support or resistance in a market (where large participants have their butts on the line with real held inventory).

Right...I know TI is only a component of your overall realtime observations....that makes total sense to me. Also, I do not only use Cumulative Delta in the order flow tracking for fully automated trade entry determinations. This stand alone project is more focused on events within the realtime order flow as the primary mechanism. So how hot is Vegas these days? I will be out there from the 5th to the 15th of June for some vacation time at my place....looking forward to it!

Actually I disagree, you SHOULD automate trade intensity derived higher probability trade entry determinations. There are three primary signatures within dynamically expanding trade rates/intensity (when observing an extremely low latency higher end data feed down to the most granular sub second level); 1) CAPITULATION market order driven order flow.....this is when a mass of resting held inventory is bailing out of the market to go flat (the Losers at the moment turned into weaker hands). 2) COVERING market order driven order flow......this is when Commercials are systematically covering out profitable held inventory into various price levels or related supply and demand events (the Winners at the moment covering into optimal supply and demand events). 3) NEWLY INITIATING market order driven order flow......this is when Commercials initiate new directional trade into the effects of a related supply and demand event or at targeted pricing levels achieved (the Commercials jumping into the market while taking full advantage of at the moment supply and demand related activity or targeted pricing levels hit). Once you know how to track the three primary supply and demand related signatues that can cause significant trade intensity increase, then you have something robust to work with. You next have to statistically determine which combination or sequence of the three signatures within the order flow are most optimal for automated trade entry points. There is one exceptionally powerful combination of signature activity within the order flow that provides extremely powerful trade entry points. These very high probability trade entry points happen right as a significant grouping of held resting inventory get neutralized (Inventory Grab events).....these are the Losers bailing out of the market at the moment (trade rate starts to rapidly increase). At the moment of the Losers bailing, you will then also have Commercials (detecting weaker hands rapidly unwinding positions) then covering their own profitable positions into this supply and demand event.....this is Commercials taking advantage of Losers bailing, so they can cover their Winning previously held positions into a perfect sudden available supply (to optimize their exit while reducing profitable exit slippage). The next at the moment blast of signature within the order flow is Commercials now initiating new directional trade......right after they just covered their Winning positions into the Losers bailing. What a perfect time to join the market for a new directional trade, right after a bunch of Winners just covered into a bunch of Losers. Any time you have a significant group of Winners leaving the market at the same time a bunch of Losers are leaving the market, you have a brilliant supply and demand event signal to initiate a new directional trade. With all the volatility in the markets the past months, these trifecta (all three signatures at once) order flow set ups have been taking place very frequently day to day. Ultimately, the tracking of the signatures within the order flow and the trade entry operations from these developed signals is most optimal in a fully automated mode imo. I sure in the heck don't know how to trade 40 markets at the same time, do you??? LOL! With proper trade intensity based signals......go fully automated, and go often!

Tested it twice in the past 6 months and all was good. CQG has a BID/ASK differential TFlow product, so they have to provide clean BID/ASK data to properly feed the TFlow study. Fortunately I have never had any DTN billing problems as mentioned by others.....billing games are a pain in the butt and the last thing I ever want to waste time dealing with.

Today in the "ES" we had a very good example of the physics behind "supply & demand" events during intraday trading.......... Images | ChartHub.com At the lows in the ES today the market had just neutralized the very last significant LONG inventory which had still been held in the market. As that last supply of available LONG inventory was getting used up, as an exit by those who had sold the new highs on the day, we had a nice bounce off the 1066.25's. You can also see how the SHORT covering accelerated after all that supply was used up.....after a proper Order Flow Transition occurs in the Cumulative Delta indicator we go LONG with this type of "supply & demand" event. The market dynamics are suddenly shifted with a market suddenly vacant of remaining held LONG inventory (all known resting LONG inventory of significant quantity bailed in the ES......no more LONG holders that can be used for additional LONG covering into Equities SELL program activity). It is just so interesting to watch how right as the last available LONG inventory goes to neutral how the Equities SELL program activity shuts down (happens frequently.....why I love to track the Cumulative Delta). There are very key patterns/events in the tracking of the "supply & demand" game which can provide you with very timely and actionable trade entry information.

Right, I am familiar with Neoticker (used it for a while in the past) and I do like the charting application overall. I have also followed the CD tools discussions at the NT forum in the past........... CVD (Cumulative Volume Delta) Indicator - Page 3 - NeoTicker Forums I have several trader friends who use NT so I know you get some workable flexibility in the use of their charting app.

Being harsh is very different from stimulating some competition in the vendor charting industry.

[ame=http://www.youtube.com/watch?v=h83G32E8W-4&feature=PlayList&p=0AC673004700610C&playnext_from=PL&playnext=1&index=3]YouTube - S&P500 Emini rally off the 865's explained[/ame]

I never called any top last April....you seem confused. I have traded 9 longer term ES trades since this time last year and all were profitable (some LONG and some SHORT). Had some very nice longer term LONG trades this past year too. [ame=http://www.youtube.com/watch?v=yQpQ6OZCyZA]YouTube - Delta Zone for the BUY![/ame] Three very good longer term LONG trades in the ES this past year.....LONG off the 866/867's.....off the 977/978's....and was just recently in a longer term LONG ES trade off the 1040.75's bounce. I trade BOTH directions as I see longer term set ups form.

Yes, back in the day it was not easy to get clean BID/ASK differential data (or charting software that even knew how to show that data.....INCLUDING NeoTicker). Also, after all these years you can see not even Neoticker has any decent off the shelf Cumulative Delta tracking tools. LC does not at all seem interested in CD, so I am never surprised when he makes comments like that. Well now we have MarketDelta, Investor RT, NT7, Sierra Charts, and soon TradeVec and the next Tradestation summer release that will have Cumulative Delta tools.....COOL! Traders who want to pay attention to the order flow are asking for these bid/ask differential tools everywhere, so I wonder how good LC is at spotting a trend?

Yes on a day to day basis the Cumulative Delta plots/data match up exactly when the feeds are compared together....we are not finding any data discrepancies.

The exceptionally well built GomLadder (another excellent job by supper Gomi!) in NT connected to DTN.IQ feed will give you results that you can at least trust. BTW, did I mention that Gomi rocks!

Absolutely correct, so trying to make broker supplied feeds work for BID/ASK differential duties is an exercise in futility. Use a proper data feed (with a ticker plant and available historical BID/ASK data) for a few bucks more a day and then focus your efforts on your trading set ups.

Yes....a $2,000 a month feed. DTN.IQ feed passes the verification test on a week by week basis......none of the broker supplied feeds do from all the various testing done.

Yes traders can get access to TT Fix Adapter feed which is uncoalesced, but can they build a mechanism to catch all the BID/ASK data without data loss.....that is the challenge. So the best way to go without having to deal with numerous potential hassles (for the retail trader) is to just use DTN.IQ feed. DTN.IQ feed has a ticker plant with historical lookback of the BID/ASK data with efficient formating. This is the exact reason why TradeVec is setting up connectivity at this time with DTN.IQ feed for those who need clean BID/ASK data. Handling even uncoalesced broker supplied data feeds has challenges for those who need proper BID/ASK data.

Yes sir.....Zenfire/Rithmic/TT Fix Adapter/Transact/OEC or most any of the broker supplied feeds are not usable for BID/ASK differential work (Cumulative Delta). I ONLY use DTN.IQ feed for all my Cumulative Delta BID/ASK differential data needs.

Yes, he scalps the DAX in a very very similar fashion to how Mark Oryhon would scalp the DAX (used to be the top volume DAX trader based in the US). They actually watch aspects of the equities market internals (groupings of particular stocks that make up the DAX index) and they watch the DJEuroStoxx50 action (much more liquid instrument.....higher liquidity level players). When I am working the DAX as intraday only type scalp/position trades (during the EU cash session hours) then I ALWAYS keep my eye on the FESX. I found I did not need to watch EU markets cash session issues as long as I watched the FESX. I mainly have a way I track the two instruments against each other from a movement of Price/Delta Volume comparison. I usually counter-trend scalp the instrument that overshoots the movement between the two instruments. At other times, I will trend follow with the instrument that hangs for a brief period of time in a covering order flow pullback while the advancing instrument remains in a continuing trending move. I much prefer to make scalp type intraday entries in the DAX, but on occasion I will work trades in the FESX.

Usually you will see Commercials directional trade core positions by SELLING into a rising market (in a small range of price) and BUYING into a descending market (in a small range of price). Equities players (funds, institutions) will though at times, while hedging in futures, SELL into descending price action as the market is trading through key pricing levels.

Yes as stated before, Paul at Vcap Futures is working directly with TradeVec to help them add various features so he is a perfect contact ( TradeVec - Algorithmic Trading Platform | vCapFutures.com )..... pwilson@vcap.com

Info I found out for you - TradeVec is Dot Net based and they will release the beta API this week. Also, their VWAP with deviation bands is already built for release in their next minor update.

TS has not made any official announcement yet on upcoming potential changes by summer. TradeVec already has VWAP and they are adding SD bands. The platform is C++ and they will be activating the ability for custom work within the platform soon (few months away). They have the first 100 clients through Vcap Futures getting $47 per month instead of $97 per month lifetime and I will check into a lifetime license option for you.

TS has decrepid order routing infrastucture and speeds......No thanks!