rwk

I tend to cringe when I hear the phrase "price action", because if you ask 10 people what they mean by it, you get at least 14 definitions. In general, if a trader is monitoring a chart (5 minute or otherwise), he is not doing what I consider to be "reading order flow". That's not to say there is anything wrong with trading from charts. I have used charts in the past. "Tape reading" is another phrase that's often interpreted in many ways. Traditionally, it meant charting price moves, and had nothing to do with reading a Time & Sales display. That's unfortunate but understandable, since computers had not been invented yet.

I think John Grady's e-book is a fair deal at $40. Grady is now offering webinars too. Jack Broz also offers order flow training at: TradeBondFutures.com I agree that this style of trading is not for everybody (myself, for example). I am still using order flow in my projects, but I am relying on automation to do the parts that I am not very good at. I have no plan at this time to buy any trainings or mentorships, as those get expensive fast and emphasize adopting the vendor's style. I figure at some point I need to start thinking for myself.

I just talked with Steve Hawkins at Steidlmayer Software about this. He says that they don't have anything yet. The presentation handout doesn't reproduce well, and Steve is working on a re-do or something. Hopefully he will have something in a week or so. I also talked with Brian Murphy at Cunningham Trading Systems, and he confirms that Volume Strips has been implemented via the T4 API, but he said they don't have anything about how to use it. I'll post if I find out anything more. It sounds like this stuff is really new. [rwk]

I noticed that CME has posted a video of the 22 JUN 2011 presentation here: Steidlmayer Volume Strips: J. Peter Steidlmayer Unfortunately, the video makes several references to a handout that CME is not also making available. Does anybody have a copy? I have spent many hours listening to Pete Steidlmayer, and while he is always interesting to listen to, he is very hard to follow. This 94 minute video is like trying to take a little ol' sip from a fire hydrant. [rwk]

I'm a little late to this thread, but I thought I would chime in. I am pretty much where carltonp is, that I am attempting to use automation to read and act on order flow. I was a professional programmer before becoming a full time trader. I am well aware, as joshdance points out, that I am competing with the smartest and best-financed traders in the world at their game. I also have many years' trading experience. Thanks to gosu for pointing out that "GLOBEX allows orders to be shown that do not reflect the actual size being bid or offered; e.g., a bid of 1 contract at a certain price could actually be 1000 contracts.". I knew that was common in stocks, but I had not heard that about GLOBEX. I have heard that GLOBEX is now aggregating trades. I'm not sure if ECBOT is doing that too, but I would not be surprised if they are or will be soon. The problem is bandwidth and transaction volumes. That's also something I wonder if carltonp is aware of. While IB's data is aggregated, it has less lag, especially during busy times, than more complete data feeds. You can have completeness or you can have timeliness ... take your pick. I use IB's data. There are some things about IB's data that don't seem to be widely known. For example, we can now get live volume together with price in the same update, along with a timestamp. Pair that with DOM, and we have a pretty complete and timely picture of what is happening at a rate of well over 100 updates per second. By way of clarification, we need two things to be able to trade off order flow: the limit order book (which shows bid/ask but not trades) and the tape (which shows trades, not bid/ask). This thread got to be pretty confusing about that. Regarding carltonp's question above, it comes down to identifying whether a trade removed size from the bid or ask. I believe you can guess, and you will be right most of the time. But what I really wonder is: How useful is that information? [rwk]

I just bought it and started reading yesterday. It's too early to tell whether I like it.