DionysusToast

There is an argument that a Futures contract, traded on a single centralized exchange IS the most simple type of instrument around.

Good point. There is a method called "AIM" that makes you money during these periods but of course will make you less if ti goes straight up. Holding forever is still a strategy, in fact the only "no strategy" is not trading. Even as a day trader, it seems to me the most important decision you have to make is which mode the market is likely to be in right now. That's before you even think about where to get in and where to get out.

Not really, I'm usually positioned way before the IB forms. In terms of the things I watch to figure out what sort of day we have: - The open - how fast it is in terms of prints coming through, how thick the depth is, how many ticks the opening range is. Of course, if there is news at 10:00 and we have a slow start, I tend to give things till 10:00 and then re-assess if the action changes - Todays volume profile - does it start out building a lot of volume over a relatively small range of prices, does it have clusters of high volume with lower volume between, does it just churn high volume at higher & higher prices without retrace. This sort of thing you can easily see in the first 30 minutes - How we are positioned relative to yesterdays range/value In essence it's about the pace of the market and how it builds up volume at the prices from the outset. After any decent move, I am always wary of consolidation. When we get that consolidation, the more volume we get there, the more likely I think it is to continue. So if you push up and then build 100k contracts near the new highs, I see this as acceptance and a new push up more likely. Most of this you can get off the DOM but I also use swing charts on the ES which look like this: The idea being that you get a handle on the price swings and the participation in them. The Cumulative delta is below which is your mile high view of the order flow. I also keep a watch of the average volume for the time of day - whether that is above/below average and I also watch the NYSE Tick to see if the stocks are on a one way day, swinging up & down or just moving sideways. Bottom line is that if you watch enough days, then you start to get a feel for it.

I don't agree that scaling out of winning positions reduces profits. Now - I would agree that a mathematician could probably prove to himself that scaling out reduces profits but stick the guy in front of a trading screen and see how he performs. It's all relative to your instrument & of course you don't have to manage all trades in the same way. For instance in tight consolidation, I'm all in all out. For trades where I think we have a decent move ahead of us, I absolutely scale out and I personally make more money that way. I don't really care what some academic things about the issue. I read Phantom of the Pits and I agree with his philosophy of scaling in but for an intraday trader on the ES where the moves often only last 30 minutes, there's no real scope to do it the way I trade. Fact is, when you get into a trade, you have no idea how far it will run. All in all out is great in theory - but all out at what price?

I'd have thought most ES traders were position day traders. To me the definition is fairly simple, it's a trade who tries to hold some or all of their position for a good run - potentially lasting the whole day. Of course, a typical day on the ES will see it put in 3-4 decent sized intraday swings - of the 8+point order, so as a position day trader, you can't really expect to hold a single position all day unless it's a one way day and those only come about once every 2 weeks. So a position day trader on the ES needs first and foremost to figure out what mode we are currently in. If we get into a 2 point range, I'll hit it from both sides because that's all that is available. It's not my preference though. If you know what mode the ES is in - or at least become proficient in making a decent call as to what mode it is probably in, then you can decide if it's a short term move, jump on those 8-10 point swings or hold all day. For the 8-10 point swings, my method is fairly simple. I will watch the levels everybody else watches - globex range, value areas, yesterdays range, weekly highs/lows but I don't trade off them. I prefer to let the market reverse from one of those levels and then jump on the first retracement. I find those retracements easier areas to play as there is less gameplay there. I make less points per move but then I have less stop outs from catching the proverbial knife. In terms of a reversal vs a retracement, I use discretion to decide which is happening but it is roughly along these lines: Reversal (long to short) - will be accompanied with a large relative shift in Cumulative Delta, 10k or more - will be accompanied with a larger swing than prior upswings - will be accompanied with larger volume (per swing) that prior upswings Pullback (in a down move) - will be approximately the same size as average pullbacks on the way up - will be accompanied by smaller volume that the last push down - will have very little if any shift in Cumulative Delta Everything is relative, so you have to put this within context of the sort of shifts in delta, price, volume for the day.

I would agree that making a living from flips would be a tough game - as someone that trades the ES morning session every day (as a position day trader), it's pretty rare I play them. When I do see them, I'm more inclined to think "OK - let the big boys have their fun" and step aside. Part of this is because from a trade location perspective, flips occur in a God-awful place UNLESS we have been in a fairly tight range and hit the bounds of it 3-4 times. In that case, a little gameplay to break the range is to be expected but it doesn't mean there will be any follow through - did I mention I was a position day trader? If I have some directional bias on a range, I'd play the flip but I'm much more likely to just buy the bottom of a range if I am overall biased upwards. Playing what appears to be a flip on the ES without good trade location is not something I would do and then you come back to the issue that all of this needs experience. I'd say that if you want to scalp the DOM and get profitable fairly quickly you need to.... - stick to thicker markets - FESX, US Treasuries - consider spread trading

Personally, I'd steer clear of the releases. If you want some excitement, watch the DOM on the ES right after the open. It is quite common for one side to absorb a lot of market orders within the first few minutes. It gets to a point and there is so much liquidity there that it moves away. It's good for a scalp, sometimes more. Many people would say it's a terrible time to trade but I've had trades in the first 20 seconds. There's probably a good reason this occurs, if you watch it, you'll see it. For news though - I don't bother, the liquidity thins out up to the release going from 1-2000 at each level to just a few hundreds. There is a case for fading the area you expect liquidity to exist but to be honest, it's a bit to wild for me. In terms of position day trading, the reason I mentioned this is that the game is slightly different. When scalping, the depth itself is pretty important because you try to take advantage of the gameplay that occurs at times. For position day trading, the flow of market orders is more important. It is for me anyway.

Probably about right but I think the arguments will come when you start talking about position day trading. There's also no mention of spread trading, which shouldn't be omitted from the list either.

For FESX - here is what I do - mark the levels beforehand - many of which are extremes away from the market but also prior value areas which we might be above/below/within - as we approach a level for the first time, the profile is not that relevant, the depth is though - as the profile builds for the day, it becomes more and more relevant for picking intraday levels and of course you try to pick up clues from the depth Treasuries traders watch 3 DOMs side by side and don't bother with intraday charts. Charts aren't much help at all for scalping. A lot of spread traders also wouldn't have much use for the price charts of the individual instruments that make up the spread. There's some stuff on youtube if you search around for it NoBSDayTrading - YouTube Guy Bower - YouTube Akira Kobayashi - YouTube

Well - it depends on the market. I very much doubt you could get good trade locations of Crude using just the days volume profile, it's for thicker markets. On ES & FESX I do set levels before the markets open. And those levels come from daily charts/value areas. For FESX, there is no need for an intraday chart or any other chart for that matter. For the ES - I do use the intraday chart because I play measured moves on more volatile days. On less volatile days, I ignore the charts and focus on the profile. I do use swing charts too. Even on volatile days, I will give more precedence to what I see on the volume profile if we build a lot of volume in the area. Early on in the session, I tend to pay more attention to medium sized volume clusters as areas we will come back and test and that will get defended. Later on as the profile builds I don't use volume clusters at all, especially if we are retracing old ground for the day. I tend to focus on highs/lows, steps in the profile and distribution areas. In terms of the depth, well there's nothing special about the using the depth for the volume profile but basically you are looking for absorption, vacuums, one side to give up or one side to start pushing it aggressively.

Lot's of people trade without charts but that doesn't mean they don't have a means to pick a good trade location. This is enough information to pick a spot: In fact - this information isn't available on the price chart and a price chart would be misleading as it doesn't show you where the majority of trading occurred.

US Treasuries are certainly the slowest/thickest. For various reasons, that gives you more time to make a decision. You also have spreading activity occurring which can tip your hand. I will hold up my hands and say that I can't personally see the spreading no matter how hard I look - it's way above my head. I think FESX is just as good though and I would argue that it's a better trade, certainly for people in Asia like me.

I see - so now you are telling me when I can/can't post? You sound like my old math teacher. The internet never ceases to amaze me. I can meet the challenge - I just wont dance to your tune, John. You have your opinions of what is valid and what isn't. This is fine. On the other hand, you have to understand that my comfort zone may be different. I may for instance be sitting in a developing country and not want to publicise the fact that I earn 100 times the average wage. My tax situation might be somewhat 'complicated'. Have you been to T2W to see what was posted there in terms of entry times, number of contracts etc? Is this sufficient for you? How about the video I posted - the one you called an infomercial, did you bother to watch it? Would this be sufficient? Are you perhaps not bothered to look at these things because it's your way or the highway? I say let's get some more opinions. Yours has been stated loud & clear, with the exception of what it is you expect to see on this statement which proves I am a 'legit' trader. In good faith though - could you post a scan of last months salary slip to show your own opennes to revealing your earnings.

John I understand your position but your simple 'yes or no' is not so simple because the next guy wants something different. In my opinion, everyone has a different idea of what constitutes validation of trading ability. All I am doing here is trying to get to the point where something reasonable is agreed upon. You jump on that and call it avoidance. Such is the internet - no matter what you do, someone jumps on you for doing it. I have been logging trades as they were taken on T2W. It's all out there. I presume though that this isn't good enough because you'd have to go back over the post times/trade times to validate it. Someone who was willing to do that would have the validation they need. It stopped as it was a massive pain in the a$$ to do it in a timely manner. Specifically, it was the uploading of images to an image host was cumbersome, especially when doing it in the first few minutes of a trade. Account statements - the amount of money people earn, I think most people play that close to their chests for the same reason. The amount of points you earn - that's fine - but actually releasing publicly the amount of dollars you earn just because some random guy on teh interweb who won't buy your products anyway thinks you are a fake? I don't see it. How much do you earn by the way? Cheers DT

Please be aware that I take this forum thing with a huge grain of salt... Anyway - in interweb parlance you are "calling me out". Fair enough but I do think that you need to sweeten the deal a bit. You know - set some sort of target for me & then if I hit that you buy the products. Put a few grand in escrow and I get that if I succeed (not that we have defined what 'succeed' means at this point). This sounds a lot better than me jumping through hoops each time a random person shouts "jump" on the internet. Seriously though - this is something I thought about after something that happened last month. It was 19th of December and a guy I'd been chatting with on Skype (who has been ripped off on numerous occasions) asked me to record my screen and discuss what I was seeing. I did, made a trade about 20 minutes in, left it recording for another 40 mins and sent it to him later that night. It's on Youtube for anyone interested. Greg is now a happy bunny, he has the validation he wanted before spending time looking at this stuff. He asked for a vid and a few hours later he got it. Anyone else that watches it will say - "you could have made 1 of those every day and just sent the good one" "looks edited" "probably SIM" (well - except the depth changes when I place trades). On my side - the recording was fine. My PC crashed 3 times trying to render the video and on the 4th attempt (at 3am) it managed to complete. I then had to upload it and get up at 5:40am to take my son to school - happy days. The PC is in the shop now where an unidentified issue is being repaided by throwing new bits at it. Still - I think I could refine this process to a point where it would be relatively painless. I note that you are interested in the next 3 months trading and not the last 3 months. I presume this is because you want it done in such a way that you can validate it. The only way I know to do that is to call trades in advance or just after entry. Is this correct? I did spend some time on T2W where I posted charts just after entry - with the price markers on the chart and way before I closed out. I then posted the closed charts. It was something that would be tough to fake but it was a lot of work and I stopped after a few months. My thoughts are that a much easier (for me) way to do this is to just turn on Camtasia at the start of the session and switch it off when I am done. I am not sure this will pass muster with those looking for validation - plus it will create some long and incredibly dull videos. So - in all seriousness - what is it exactly that you want to see - just an account statement? Running commentary? Also - what is your measure of success considering it would be a solo mission?

Well, no PM yet but I just noticed the post. So let me get the terms of this competition right... I compete against nobody for 3 months. At the end of 3 months, I publish my earnings on this forum to show that I am a legitimate trader. On the opposing side, the person I am competing against will publish nothing. Are these the terms you are proposing? Is there a prize for being the winner?

Got sent this video today. A good example of a real trader trading order flow on the ES.

Excellent post, John - not just the above but all of it.

I'm not John - but couldn't the above just be seen as setting bias? If the market moves down, keep bias short until a move up occurs that carries a significant delta increase. That'll be 2-4 points and 10k+ contracts delta on the ES. As long as you aren't in a narrow range day, heading into lunchtime etc. You should be able to still get a decent entry 2 points or so above the low. The alternative is catching the low itself which is tricky because you don't need to take many shots at the low (or high) before ruining your day.

Actually, it's a fair question. I know a few guys that can't trade and want to get into the mentoring game. As you are in the same position, I was hoping you could help them with the rates. I've already taught them not to say "buy programs initiating" every 5 minutes.

lol.... Best you are going to get away with here is claiming this is all a coincidence. That your colors on a specific feature of your product just coincidentally happen to be the same color as the same feature on my earlier product. As you mentioned on another thread, you didn't even start developing this till 12 months ago and anyone looking at your screencast account can see you've nothing there earier than September this year (MarketPredictor's library) - so why not be a gentleman about it, admit the colors are the same but give yourself the 'out' that it's all a coincidence. It's much better than trying to convince people I saw your stuff and time-travelled back to April to put it into my product... LESSON 2 - coming soon.

How much is it for mentoring again?

Well that is only 6 months after the feature went into Beta on Jigsaw and 4 months after it went live. Amazed it took so long to be honest.

It's OK - the only question about what came first relates to a chicken and an egg, not our two products.

OK - LESSON 1 - BUY & SELL PROGRAMS One of the tricky things about reading order flow on the ES is the number of correlated/inversely correlated markets it has incestuous relationships with. As with any correlated market, people play off those correlations with arbitrage trading. With the ES you have, amongst other things. Correlation with the big S&P Correlation with the index/stocks in the index Futures options Inverse correlation with the treasuries This means that at any point, someone can come in and arb these markets if they think that have gotten out of line. With any arb trade on the emini, only HALF of the trade is placed on the emini itself. The other half will be eslewhere. The trade will be exited when the normal market correlation is back in place or the pain of the increase in divergence from the norm is such that the trade is killed. In an arb trade, the trader does not care whatsoever which way the market goes after entry. So after buying 5000 e-mini contracts, they might be quite happy to see the market go down as long as the spread between that & the correlated market narrows. These trades therefore are without directional bias. This is important. If you look at indexarb.com, you will see a daily report on the premium (the difference between ths futures & the spot index) and the buy/sell programs that will likely be initiated when the premium reaches that level. As an example, for today, if the premium is -2.36 then SPY will be purchased and an S&P500 buy program will be initiated. Note that this is just based on the premium, not the direction of the market. So, a buy program is just half of an index arb trade. It is non-directional. What you will very often see is a downward market moving down and you get to a point where it halts and a lot of orders are absorbed at the bid. It looks like someone is trying to hold the market. Then it will blow right through that level to a point below where the same thing occurs again. It sort of gets you thinking who would bs stupid enough to stand in front of the market, absorb all of those orders before getting run over. Well - it's not stupid, it's arbitrage. Anyway - I bring this up because of all the "Sell programs executing" nonsense on this thread. Sell/Buy programs are merely half of an arbitrage trade. They are neutral in terms of being a predictor of future direction. When you see sellers or buyers pile in, it has nothing at all to do with buy programs and sell programs. In fact, the competition for these arb opportunities is fierce and as a retailer, you really have no way to benefit from them. HERE ENDS LESSON 1