gojun077

Kudos to bobajob on a great MP spreadsheet. It was just brilliant of you to think of using CONCATENATE to create the row of letters from the separate letter columns! I have made a small addition to your spreadsheet "ES Profile Maker Next Gen." I added a feature that will calculate volume per tick using tick data for the KOSPI200. In bobajob's current implementation, the profile appears perfectly, but there is no volume information for how many contracts were traded at each price point. I hope everyone will find this minor addition useful. This feature was added using the excel function SUMIF. Cheers, Jun MP2-26-07 example.rar

It's true that lots of limit orders are placed far away from the current price, especially when traders are caught on the wrong side of a move. It's kind of an attempt to 'psych' out the market. However, it can also be a good contrary indicator, as Steidlmayer pointed out on pg. 153 of "Steidlmayer on Markets" (3rd Ed): 'One relevant observation I have made pertaining to watching the book and order flow on my Trading Technologies (TT) front end is that when the book is stacked (aggregate bids vs. aggregate offers), the book is usually wrong. When I say stacked, I mean it has slightly less than twice as many total bids as total offers or slightly less than twice as many total offers as total bids. What is probably happening is a trader or traders on the wrong side of the market are putting in false bids or offers defending open position, which are cancelled once the market gets close to the trade price.' I'm sure many of you are familiar with this situation. There might be a huge overhang of several thousand sell orders 5 or more ticks above the market that suddenly evaporate once aggressive buyers start hitting the ask. I disagree that order book info is worthless. It is certainly misleading, but that doesn't mean we should discard it entirely. Perhaps some of you out there use the huge imbalances (when the book is "stacked") as a clue for reversals of intraday moves. Also in S. Korea, we have an indicator called the "buy ratio" which is simply a ratio of the outstanding buy orders to sell orders. When it's above 1, the indicator is bullish, and when it's below 1, it's bearish. Of course, there's more to it than just that, but really fast-moving day traders like to use it as a momentum signal. I've attached a chart showing the movements of the buy ratio vs. the KOSPI200 futures from April 6th. It's pretty amazing how closely the two track each other. (the buy ratio is in red, and the kospi200 is in blue)

Hi, Soultrader- In response to your post regarding the daytrading population in S. Korea, it is absolutely HUGE in stock index futures, namely, the KOSPI200. On some days, individuals make up 50% of total volume! Also, options activity on ATM and slightly OTM index options are mostly driven by retail buy-side activity. Margins are really steep, though (15% for KOSPI200 futures!), after a spate of retirees losing all their money in the futures market or getting wiped out after selling OTM naked puts. So how is trading in Japan? I recall reading an article in the WSJ a few weeks ago that talked about housewives and salarymen currency trading after work and how individuals are getting into the yen-carry trade through futures brokerages...We're in the same time zone, apparently. It's 6:51am right now, best luck trading today! -Jun

To make the OFI calculation, you would need tick data. Here in Korea, this data is usually provided by brokerage companies free of charge through 'HTS' (Home trading system) programs provided to customers. The data comes in the following format: Time Ask Bid Curr. Chg(yest) OI Theo. Fut. BASIS Volume # Sold # Bought 15:05:00 189.55 189.5 189.5 0.9 94,121 189.66 1.82 157,472 2 15:05:00 189.55 189.5 189.5 0.9 94,121 189.66 1.82 157,470 1 15:04:59 189.55 189.5 189.5 0.9 94,121 189.66 1.82 157,469 1 15:04:59 189.55 189.5 189.55 0.95 94,121 189.66 1.87 157,468 3 15:04:59 189.55 189.5 189.5 0.9 94,121 189.66 1.82 157,465 1 15:04:59 189.55 189.5 189.5 0.9 94,121 189.66 1.82 157,464 1 15:04:58 189.55 189.5 189.5 0.9 94,121 189.66 1.82 157,463 1 15:04:58 189.55 189.5 189.55 0.95 94,121 189.66 1.87 157,462 1 15:04:57 189.55 189.5 189.55 0.95 94,121 189.66 1.87 157,461 10 15:04:57 189.55 189.5 189.55 0.95 94,121 189.66 1.87 157,451 1 15:04:57 189.55 189.5 189.55 0.95 94,121 189.66 1.87 157,450 5 15:04:56 189.55 189.5 189.55 0.95 94,109 189.66 1.87 157,445 1 15:04:56 189.55 189.5 189.55 0.95 94,109 189.66 1.87 157,444 1 15:04:56 189.55 189.5 189.55 0.95 94,109 189.66 1.87 157,443 2 15:04:56 189.55 189.5 189.5 0.9 94,109 189.66 1.82 157,441 6 15:04:55 189.55 189.5 189.5 0.9 94,109 189.66 1.82 157,435 5 15:04:54 189.55 189.5 189.5 0.9 94,109 189.66 1.82 157,430 5 15:04:53 189.55 189.5 189.5 0.9 94,109 189.66 1.82 157,425 1 15:04:53 189.55 189.5 189.55 0.95 94,109 189.66 1.87 157,424 3 15:04:51 189.55 189.5 189.5 0.9 94,109 189.66 1.82 157,421 5 15:04:50 189.55 189.5 189.55 0.95 94,109 189.66 1.87 157,416 2 15:04:49 189.55 189.5 189.55 0.95 94,109 189.66 1.87 157,414 2 15:04:49 189.55 189.5 189.55 0.95 94,109 189.66 1.87 157,412 15 15:04:49 189.55 189.5 189.55 0.95 94,109 189.66 1.87 157,397 1 15:04:49 189.55 189.5 189.5 0.9 94,109 189.66 1.82 157,396 7 15:04:49 189.55 189.5 189.55 0.95 94,109 189.66 1.87 157,389 1 (I apologize for the poor formatting- it looks nice on my screen, but the exported text is hard to read) I'm sure similar data is available from your service providers' screens. Once you have the tick data, simply calculate the average of the contracts sold column, and do the same for the contracts bought column. Then divide (avg bought)/(avg sold) and you get your OFI. As I stated in my earlier post, there are different ways to calculate OFI. This is the easiest method. The second method requires data from the limit order book. It takes into account the number and size of orders in the order book in calculating OFI. First, the formula: (Total # of contracts bot/# of buy side contracts in order book) / (Total # of contracts sold/# sell side contracts in order book) Sometimes, however, I feel the second method gives a misleadingly low OFI figure. Consider the case of a monster up day. On such a day, there will be a large bias of longs vs shorts. When we divide the number of Total contracts bought by the huge number of unfilled orders in the order book, the numerator of the OFI will be small. Let me illustrate with some real numbers from the KOSPI200 futures on 3-27: 75,047 contracts sold, 84,676 contracts bought avg number of contracts on the sell side of the limit order book: 3,781 avg number of contracts on the buy side of the limit order book: 5,658 (84,676/5,658) / (75,047/3,781) = 0.75, a very bearish OFI figure, but using the first method above, we get: avg size of buys: 6.76 contracts, avg size of sells: 6.07 contracts, OFI = 6.76/6.07 = 1.11, a moderately bullish OFI figure Although MP is getting quite popular among day traders here in S. Korea, the OFI concept is still not well-known. I'm still in the process of gathering data for OFI correlation to the next morning's up/down movement. I will post my findings after gathering a few weeks' data...

In "Steidlmayer On Markets" 2nd edition (2003), Steidlmayer talks about OFI (On-Floor Information) as an indicator for trading the first three time periods for the following day. If OFI for the previous day is <1.0, then we should consider going short the next morning, and if OFI > 1.0, long. The formula for calculating OFI was simply: OFI = AVG SIZE OF FILLED BUY ORDERS/AVG SIZE OF FILLED SELL ORDERS However, in an interview with Active Trader Magazine in the September 2005 issue, the formula for On-Floor Information was a bit different: OFI= (Bought contracts/buy orders) / (Sold Contracts/Sell Orders) The resulting OFI figures can be quite different when we factor in the number of contracts entered in the limit order book (the divisor in the second formula above). In my casual empirical observation of OFI figures and the next morning's move in KOSPI200 futures, OFI doesn't seem to be a good predictor in this market. My question is- does anyone else use OFI in their trading, and which method do you use to calculate the OFI figure? Cheers from South Korea, Jun (I apologize for starting a new thread as a newbie...)