jtrader500

I would make sense to me. How about on a 5 to 1 volume down day. If it is 5:1 down vol. That tells you right there that the big money wants to get out, but they do it in a way that keeps there slippage to a mininum. Thats why you see a selloff start out with higher bounces and it lessens as the people panic more. I am currently getting the software to track the market depth in relation to each bounce, to see how the limits chase, as prices fall. That should be a clue.

I am just guessing here but I think the underlying fundamental point to a delta divergence is that (say for ex. a daily 3min chart) when the sup/demand favors the downside for that day, then there are the larger players (the market movers) that dont want to just dump shares. They push prices down a little and then the limit orders lighten up so that the market can come up (and suck retail in) and then press some more. So my theory is that when you see a short term divergence where prices go up more, relative to the offer differential (negative delta). what you are actually seeing is more like a slight vacuum effect that may pop back in line or diverge further because the limit side sees that there is still some up juice. That would explain the effect of a stop run to the upside breakout and then the smart money pushes down harder after the move is exhausted. I used to think that the boxes would push into stopruns, but that would cost to much. its free to just pull offers and suck everyone in. This is the basis of most of my entries, is to find TRUE exhaustion, then fade. Now you are trading with them. I think thats where the old adage down on the floor comes from. "If the market wants to go up, It must go down first". I could be wrong, but it makes sense.

I'm sorry but I have to jump in. Please, Please don't look at cumu delta, Your right, there is no edge with this crazy tool. When I place trades, I think I will go consistently in the opposite direction as the block traders who are holding onto contracts even on a pullback. thats a strategy that will work over time. I just threw it on a chart a few weeks ago, and now you couldnt pry it from my dead lifeless hands. And all I use it for is to gauge the strength of pullbacks on the last couple of 2min bars.

Your right, experience to know which way to trade a stop run. I try to incorporate stop runs into every trade that is in an area that alot of people are watching. Shorting swing highs are my specialty, I can pick them like friut. A stop run looks exactly like a breakout. I just focus on the offer side after the run. The volume and the micro-volatility on the pullback gives me a pretty good read. But then again, all I do is trade the ES from the short side. If someone knows the price action from the short side better than me, they can take my money... If I can make money every day last week from shorting, on the biggest up week in history, I can say, I think my head is getting big. That means I will prob lose tomorrow:)

You are right, an iceberg order is considered an aggressive order, but it in context, it is still less aggressive than a market order of the same size. I think the biggest misunderstanding in orderflow tracking is that most people look to close at specific orders and sometimes base trades on them. When I am wanting to get short in a range, I watch the battle go back and forth with lots of very convincing prints happening at times. But I hold off because I know that we shouldn't have a good breakout until the micro-volatility gets tired. When I see the battle wear down, Sometimes, I can narrow it down to the next big big order that should be the tipping point. For people that just say "this area looks good" and then look for a convincing set of prints, 8 times out of 10, they are somewhere in the middle of the battle. And as you know, After you are in, price will push your emotions to the limit, then go in the true direction. For me, trading is easy but mentally draining. The ONLY thing I concentrate on when i'm trying to enter where that one tipping point is(exhaustion) is it the second, third, fourth, fifth test. One rule of thumb I go by is that if one semi-fast move is met with aggression from the other way and it turns price, you can bet that price will return to test that level (because the fight wasn't finished) That is one way that I boost my confidence to countertrend trade. It is very reliable and most of all, it makes sense.

If you want to measure the diff b/n stops being hit and aggressive orders. You need to step back and look at where it is happening in the pattern. Is it on the outside of the range or is price bouncing off the lows. If price is bouncing off the lows, then there should not be stops there, since price just went through that area. (its, not definate, only an edge) Most people search for indicators that work all the time. The key is to understand why it didnt work. This is all only for a slight bias. (greater than 50%) If we are in a range and I see more longs holding contracts as price comes back down to the bottom of the range. If thats all the info you had to work with, which side would you lean toward. Nothing is black and white, it's all grey Thanks

I dont mean to meddle but if you think about it, The ONLY thing that can move a market from one level to another is a market order. You cant have a limit order jump up and take out another limit order. Since we all want to know only one thing in orderflow (which side want it more). Then measuring the aggressors by way of delta is the best way. A limit order can only be traded into by a market order. CD is a nice tool and gives you a running total of the aggressors so you know where they stand wrong or right. Its just a "bias tool" thanks

How I use the cumu delta in the short term is to look at it on a 2min chart. To me, in the very short term, it is pretty good at giving a slight edge when you see a pullback in price and the CD stays pretty flat. Always remember that the last printed CD bar is the most important and each bar after decreases in importance because of the fact that the further back in time you go, the more variety of players are in for different reasons, and the margin of error increases. I let volume and multiple retests to dictate where i want to trade then I find out why we are battling here (see what technicals line up, VA,PLOD,Open, etc) then I rate my risk/reward according to where we are located in reference to the lastest major swing highs and lows to determine what size to put on. And ONLY then do look for divergences, NYSE tick channels and so on to say that I want to get short this level. Now the most important part is that I use ONLY orderfow to time my entry, I use the summary tape from jigsaw trading that puts the shredded orders back together. In order to use indicators to trade from, you have to very very confident and persistent to be consistent. I may have a down day once every 2 weeks with this method, are they are extremely small. Let me give you one piece of advice that if you use it, will allow you to keep your stops so small that you can be wrong 7 out of 10 times and still make money. And EVERY institution looks at it this way. When you are looking to enter a position using orderflow, the lowest risk point is to NOT to look at when the big money start buying off of a low (which most people do). But concentrate on the exact point when sellers run out of steam on each timeframe. (I use a 2 min and a 15sec chart). If you wait for confirmation from seeing 2 or 3 ebbs and flows of buying and you have already tested the low 3 times, there wont be a pullback close enough to make the R/R worth it. All this being said, my MAIN rule is that the bigger the move to try to countertrend, the more tests and fakeouts I have to sit through before I enter. I keep my trading chart with just price, volume & t&s, and on another screen I put all the S/R levels and fun stuff on. Once I pick a level to trade, there is no reason to look at the cluttered chart. Hope this helps someone, Thanks

The cumulative delta (it measures the diff b/n bid/ask market orders, which only a market order can trade into a limit order. How I use cumu delta is to have a feel for which side is holding inventory out of sync with the prices. If the market went up 100 points and back to flat and there were 20,000 extra long contracts being held, I would ONLY factor that into my plan just to be aware of who and why they are holding, And I try to figure it out. NOT Trade off it. Most people dont know how to use it, (I think you do) Like today, I was shorting the whole day in and out, because of my plan. One main reason was that I felt the market had to fill the open gap, but because all the way down, I was looking at a good size positive delta divergence, I kept my stops tight and really timed my entries. Toward the end of the day I was still short the down channel waiting for a final blowout breakdown. One reason I held on short was because I felt that the optimism in this huge dow runnup was overblown and those longs were not the smart money and would get squeezed being a fri and a weak trading day. As a general rule (shhh, dont tell anyone) If you are closer to swing lows, The bullish divergences are more reliable. If Optimism is high after a nice run, (I wouldnt trade heavy against it like I did) plan on there being more speculating retailers holding and hoping. How do you think the institutions know where you are and how to crush us. This is one tool. If you view the cumu delta as a channel like, bollinger bands, you can see the relative flow between people accumulating contracts till its too far and get slapped, then the unwind starts to happen. You will see people try to trade off of this and get killed. Its only 1 tool, but a good one... Thanks

Thats good stuff, Today I confirmed my short on the 3rd test of todays highs with the cumu delta and i am still holding for a high vol low. Thanks

Everything else aside, a bare bones approach to tilting the odds slightly in your favor on determining is this is a pullback. Look at the cumulative delta off of a one min chart. You will be amazed how much more confident you will be buying pullbacks. Cumu delta measures the differential in "market orders" at each price. Just study it and you will see which side wants it more... Good luck "if you have thought about it, I have tried it"

I have always done my trading based only on total volume (swing highs to swing lows) and adjust my size accordingly. The hardest part of that is factoring how much is short covering vs real buying. I am just starting with this cumulative delta, but it seems to me that you can spot the frenzy buying clearly when the average range of the delta bar is out of normal proportion. I would also like to see the bid/ask delta extended on top of each total volume bar so I can get a good sense of "ease of movement" for the current bar (5sec bars for entries) I know the cumu delta measures the market orders beyond the limits, but is there any advantage to knowing which side the size is favoring in the limit orders after a nice run. thanks

To all viewing this thread, this "cumulative delta" is an unbelievable tool when you know how to "properly" use it. It gives you a leg up on the answering the most important questions in trading consistently profitable. Know WHO is in the market and from WHERE The big money knows where you are, do you know where they are? How can you fight and beat someone if if you cant see them...

You are on the right track to profits my freind. here is secret that is in plain sight, learn it, know it. Jigsaw Trading. Day Trading, Tape Reading Decision Support Software. your welcome