FulcrumTrader

The chart shown is a .75 Renko chart.....most of my charts are .50 or .75 Renko charts for my "ES" trading. 3, 5, or 7 tick Range candlestick charts work fine too imo......for scalping up to bigger picture analysis in the "ES" S&P Emini. Delta Volume Distributions DO SHOW true support and resistance levels.......where zones of resting inventory are at various pricing levels. True support and resistance in the markets are at areas where those holding significant quantities of real inventory have their butts on the line. I trade a variation of three primary set ups according to what I see at the time in the Delta Volume Distribution.....after a break through and neutralization of a zone of resting inventory I may entry off an "Inventory Grab" set up.

I have good friends and various contacts in the Chicago futures industry, so my initial and forward going research as I developed a way to track the Delta Volume Distributions lead me to that information.

Sure, this should help explain what played out on Friday better...... [ame=http://www.youtube.com/watch?v=s0pODbiPnLo]YouTube - January 22nd, 2010 Equities Hedging in "ES" before SELL-OFF[/ame]

I have MANY that were using Ninjatrader with Zenfire feed to do their bid/ask differential work for Cumulative Delta plots and there was frequent data drops day after day (since the CME data output changes in October of 2009). To research the problems that had started to appear for ALL Ninjatrader/Zenfire users running bid/ask data, I compared the end of day data runs to a very robust uncoalesced server side accessed feed. The NT/Zenfire data runs for BID/ASK data comparisons did not at all match up with the CME feed runs from a very high end application. You will need access to direct uncoalesced FCM server side feed or pay high bucks for very robust low latency feeds to make a proper comparison. It was pretty bad actually, everyone that I know who was using NT/Zenfire for doing bid/ask work all had their charting go to crap after the CME data changes......I wished that was not the case! I was also a user of the NT/Zenfire feed for back up bid/ask data work, but I myself no longer use this set up.....not until I see new proof that NT/Zenfire have made the necessary changes to whatever is causing the problems (and that will take some extensive work to change their current application limitations). I really like the Ninjatrader platform and I still use the platform for basic order entry/management ops, but I do not at all use it for Cumulative Delta work anymore.

If you track the byproduct of the traded order flow with Cumulative Delta (the differential of those entering "market" order trades at the bid/ask) you will easily be able to see accumualtion take place. If you fully understand order flow dynamics in relation to price action, it is very logical and easy to spot on a realtime basis intraday. Maybe I will make a video for you to understand how a person can watch and track this activity.....I will post it up here latter today.

So far the patterns I have tracked in the order flow distributions these past 7 years have all stayed the same......the only aspect that flucuates on occasion is the total amounts of contracts accumulated or distributed in various ranges of price. For instance, in November of 2007 I saw MASSIVE amounts of SHORT inventory accumulation by Commercials at the recent highs. Now those patterns of price rotational accumulation look exactly the same as how they look today.....it is just the total amount of contracts accumulated will varry with each new accumulation event. The Commercials still dominate the order flow in most futures instruments and their trade entry and management behaviors have for the most part stayed the same all these years. I have not yet seen any shifts in the order flow patterns I constantly track for with the possible changes from various market participants. For the most part, Commercials are still doing a very fine job of turning MANY on a daily basis in the weaker hand! :o

It is actually very simple to spot these zones of accumulation in the various futures markets using the Cumulative Delta, and tracking the Delta Volume Distributions going forward from the first day a contract trades. To get to your question you have to remember first, every buyer on the other side of that 50,000 contract accumulation was not necessarily a newly initiating buyer (trade entered to start a new directional LONG position). Some of the buyers in the 1110's/1111's on Friday were those entering newly initiated LONG positions looking for the breakout back above the 1111's. This group was looking for price to finally trade back north out of that lower range of price and to start advancing back into the previous upper range. This was definitely the case after the market traded down to the new low at the 1101.00 level, and then was able to work all the way back to the 1111's of the day's cash session highs. The ability of the market after making a new low and then trading all the way back to the cash session highs had new buyers thinking the "bottom" was potentially in. We also had many then covering SHORT positions (BUYING to cover) with this market activity. Those covering SHORT positions very much "in the money" were looking to lock in profits before the market trades back up into the previous upper range of price. With several rotations Friday back up to the 1110's/1111's area of price, we had plenty of newly initiated buying and SHORT covering (BUYING to cover) to take the other side of those accumulating over 50,000 contracts SHORT. I have been tracking Cumulative Delta and Delta Volume Distributions for 7 years now, and what I observed on Friday was a pattern of the order flow distribution that I usually see as the market transitions directionally from a macro view.

Friday trading in the "ES" had a very rare event that I only see a few times a year. The markets had traded lower in recent days off highs at the 1148.00 level in the S&P500 Emini. Friday pre-market action printed a new lower low to the 1104.75 level right into the +40 point Commercials profit target zone. Commercials who had accumulated heavy SHORT inventory over a several day period at the 1148.00 to 1144.00 zone of price now had price trading right into another zone for profit taking. As the US cash session opened on Friday the "ES" was able to trade back up to the 1111's where it was then immediately sold. Within the first hour of the US cash session the "ES" printed another new low to the 1101.00 level of price (10 points off the 1111's). Trade to the 1101.00 level brought in immediate short covering into the order flow and then new initiating buyers.......next, we trade right back to the 1111's (10 points off the 1101's). At this point, I was starting to notice that we were showing very large SHORT position accumulation at the 1110's/1111's taking place. With each price rotation back up to the 1111's I could see the SHORT position was growing in size.......very big size, like over 50,000 contracts! What makes this type of inventory build very rare is the fact it was happening JUST ABOVE recent lows after a multi-day sell off. Usually this size of accumulated SHORT inventory takes place at fresh new highs, as Commercials start to load up in a small range of price (like they did at the 1144.00 to 1148.00 zone of price). As this very large SHORT inventory was building just above fresh new lows, I was thinking that Equities Funds/Institutions must be building up a very large hedge on the day before they start dumping into the closing hours. Since I knew that Commercials do not typically initiate large SHORT directional trades just above fresh new lows, the Equities hedge game seemed to be in effect. As the markets traded into the final hours of the day, it is very easy to see that Equities Funds/Institutions transitioned into a full SELL PROGRAM dump mode......and the markets eventually printed 1086.25 LOD for the "ES" just before the end of the cash session. BTW, the 1088.00 to 1084.00 zone of price is the +60 point profit target area for those Commercials who sold the 1148.00 to 1144.00 Delta Zone of resting SHORT inventory. We ended the last portion of the Globex futures session Friday with a small SHORT covering rally to the 1091's (20 points off the 1111's). It looks like Equities participants on Friday decided to start locking in profits near recent highs for the held LONG positions they have been building up since the March 2009 lows. I am glad we are getting volatility back into this market and I look forward to next weeks action.....should be VERY INTERESTING! http://www.charthub.com/images/2010/01/23/FulcrumTrader_CD Equities late day SELL PROGRAM dump........ http://www.charthub.com/images/2010/01/22/FT_NYSE_TICK

Market order flow distribution patterns are all the same as before....it is just the amount of DATA provided from the CME has changed. There is no change at all in the markets, just a change in the "retail" type tools to look at those markets (as a result of the increased amount of data granularity). Markets trade between zones of resting inventory, and it will take some extremely drastic changes in the actual markets to ever change this on going fundamental.

Just as a heads up......MANY broker supplied data feeds/platforms (Transact AT, OEC, NT with Zenfire, etc) have gone to the bottom of the dumpster since the recent CME data output increases. It seems that many of the platform/charting/datafeed vendors/brokers were NOT properly prepared for the changes that were made in the CME data output per unit of time. It also seems that much of the platform/charting software architecture for these various vendors/brokers can't handle the increased data flow, and reliability issues have expanded in recent months for many. Data drops from the data feed flow as it interfaces with a platform/charting application is a problem I see with many. It looks as if some in the broker and vendor world were not "ahead of the power curve" to make sure their platform/charting apps could handle the changes to the data flow from the CME. I have not heard of any reliability issues with XTrader 7 and CQG since the CME data flow increase......unfortunately, the once rock solid NT6.5 w/Zenfire feed has even at times been lacking in the reliabilty department. My point in this matter is we all trade at our own risk, so think out all aspects of your operational trading requirements since the game has obviously changed again.

Hello all.....WEEKEND UPDATE! It appears the CME will let the trades stand from the event discussed here in this thread. The CME for the FIRST TIME EVER just allowed someone to trade within the same entity over 200,000 contracts in the ES (that is suppose to be making a market with yourself and NOT within compliance). Even though the trades stand I have now "sanitized" all my bid/ask data runs of this very interesting single party trade event.......THANKS CME for all the new "games"!!! :rofl:

LOL.........That is a good one! :haha:

These were algorithmic automated order entries strung together (tons of them) in under ONE SECCOND of time within the same trade entity.......this is not your typical fat finger single entry mistake.

That seems to be the story out of the CME so far........much of this story seems very odd to me so far.......hmmmm??? I will be checking this latter to see what it shows for the time period involved............ http://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500_quotes_timeSales_globex_futures.html

"Between 11:03 and 11:04 CT today, there were a series of transactions in ESH0 in which a market participant appears to have inadvertently traded approximately 200,000 contracts as both buyer and seller. CME maintains trade practice and risk management rules and procedures respecting such matters. In keeping with standard practices and CME's self-regulatory responsibilities, CME is reviewing the circumstances of this event."

In the case of OFA software, they have determined a set amount of contract differential from tracking Cumulative Delta as their algorithmic criteria for a new reversal bar to be initiated. Since I have used Cumulative Delta exclusively now for over 6 years, I know various statistical order flow transition levels that are important to me.....I have no idea what OFA is using as their benchmark order flow transition criteria (Cumulative Delta order flow "flip" differential).

OFA is doing something that is different from MD footprint charts or any other recent links provided so I give them some credit. OFA has decided on a statistical level of order flow transition criteria (their algorithmic function) to determine WHEN a new reversal bar should form based upon the order flow that shows conviction.....that is a smart move imo. Of course this function they have built within their software is totally dependent on clean bid/ask data and a platform that can handle that data. If OFA remains using Ninjatrader with a broker provided feed, they will not get fully accurate bid/ask data and will have computational mis-plots of their reversal bars (not good). If OFA software is running in a platform/charting set up that can handle an uncoalesced feed with no data loss, then their trade set up criteria may work just fine (since they are properly pin pointing statistical SHIFTS within the realtime order flow conviction.....which is one of the key components to a proper high probability trade entry determination).

A guy in my neighboorhod has a Gran Turismo S in Nero Carboni metallic black with the 20" Birdcage wheels in Grigio Mercury paint.....car is very SHARP! I really like the new Skyline GT-R but lately after checking one out in person I am getting hooked on the new Panamera S (and I am not a Porsche fanatic by any means). A very different from the rest of the crowd looking Panamera S in Yachting Blue Metallic with Platinum Grey leather would be just fine imo! [ame=http://www.youtube.com/watch?v=YssFS12jVUU]YouTube - Porsche Panamera TV Commercial (60 sec version)[/ame]

The main reason I have never used these type of perceptional indications is that all are based on a computational based assumed reality. Most frequently the plots of these various projected realities have almost no alignment with the true factual state of the key volume distributions intraday. Where real volume has been proven to be distributed and real butts are on the line with actual held resting inventory will always be the facts within the markets. As the market trades between these real zones of accumulated inventory, where large positions are being held or capitulated, that is where you will find the intraday realities in the correlated volume/price action.....and most frequently not from computational projections.

Patrick O'Hearn ............. Brilliance to my ears, peacefulness to my mind, freedom for my thoughts.............. [ame=http://www.youtube.com/watch?v=vTzg-Zrxa5g]YouTube - Patrick O'Hearn in the studio[/ame] [ame=http://www.youtube.com/watch?v=irBU_Tra-KM&feature=related]YouTube - Patrick O'Hearn - Beyond This Moment / The Dream Catcher - theatrical trailer[/ame] [ame=http://www.youtube.com/watch?v=KZjAqDlEQ4c&feature=related]YouTube - Patrick O'Hearn - So Flows The Current[/ame]

Thanks!!! Happy New Year to everyone at the TL forums too.....everyone be safe as you party into the NEW YEAR!!! :beer:

Real simple.....DTN.IQ is matching CME data runs and I have NOW FOUND Zenfire/Rithmic feed runs that are NOT matching and that is a problem. I have ALSO since had verified what is causing the Rithmic/Zenfire feed data drops since I was myself using Zenfire feed with my NT charting (for back up and remote trading work). Now I also can't use NT/Zenfire for any CD work which is disappointing to me (hopeful that will get resolved soon with feed enhancements through Zenfire and platform enhancements with NT7...we will see). New FACTS have shown me for the time being I can no longer use NT/Zenfire for any CD work....I will be very happy if this set up can be used again in the future. In the end, do your own due diligence and go through what it takes to verify a feed and find one that you trust. I am not expecting anyone to rely on my info....just putting out the info to make sure everyone is aware of potential problems with the various feeds for those who need CLEAN bid/ask data.

Tony, Sending you a PM....I will just say that it is very odd to me that these data feeds can't get there data output straight. I know DTN.IQ feed spent a bunch of money upgrading their data infrastructure this year, so maybe that is why they are getting it right and others like Esignal have some errors.

If I check my DTN.IQ bid/ask run at the end of day it will match an uncoalesced CME run from a more direct source (I will leave it at that).

As you can see.....DTN.IQ feed.