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markl67

ES Bid Vs. Ask Question

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I've been sim trading the es for a few months now and I have this nagging question which I can't seem to find the answer to.

 

When trading stocks, you buy at the ask and sell at the bid which makes sense, but with futures it's the opposite, buy the bid and sell the ask...? If that's the case then why when I'm watching the time and sales screen does the price move up when a lot of "at ask" orders come across and the price moves down when a lot of "at bid" orders come across?

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B/c games are played on the dom and time/sales all day long. There's a thread floating around here somewhere where I detailed how things can look real easy one day and the complete opposite the next day if you pay attention to that kind of stuff.

 

Huge games are being played on the doms and I don't even bother watching it anymore. You can see orders come and go in a blink of an eye. You can see a 'huge' buy order get filled and think that it will create support only to see it crash like a crater. Other times price will find support there.

 

The issue at hand is that you have no idea what the intent of those orders - filled or not - truly is.

 

For example - let's say I am a huge fund that is short 10,000 ES contracts and I want price to go down. Maybe I flash a 500 or 1000 order on the buy side and then quickly remove it when price gets close. Maybe I let it get filled so I can sucker the retail guys into thinking price is headed up, even though I am still net short 9000 contracts.

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Thanks - so watching actual filled orders is generally not useful in determining price movement? I still don't get the buy at bid and sell at ask. I work in "the industry" and that concept is so foreign to me. :confused:

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Thanks - so watching actual filled orders is generally not useful in determining price movement? I still don't get the buy at bid and sell at ask. I work in "the industry" and that concept is so foreign to me. :confused:

 

For me there is zero use in watching the tape. Others would say they live and die by it. So I can't tell you what to do b/c maybe it will work for you. I'm just suggesting that many, many games are played so it didn't work for me.

 

There's many ways to skin a cat my old high school math teacher would always say to us. While a rather archaic saying, it holds true in trading - where I see something a value, others will see nothing; and vice versa. That's part of the path to enlightenment - you will find a path that suits you.

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I've been sim trading the es for a few months now and When trading stocks, you buy at the ask and sell at the bid which makes sense, but with futures it's the opposite, buy the bid and sell the ask...?

 

Hi Mark,

 

in my view its the same for stocks and futures.

 

If you try to buy a stock, you can limit your order below the market price, so that your order is part of the bid.

If you try to sell a stock you can limit your order above the market price and it should be part of the ask.

 

For futures its the same.

 

If you don't use limits, and place market orders instead, you buy at the ask and sell at the bid. Whatever it is.

 

So its about order types.

 

-----

 

Tape reading; well, that is another story.

 

But yes, if the price is rising there is more pressure at the ask, vice versa for a falling price. Does tape reading make sense, yes, but it needs time,

and maybe the use of simple trend lines on charts can save much time.

 

-----

 

Just my thoughts.

 

Hal

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I've been sim trading the es for a few months now and I have this nagging question which I can't seem to find the answer to.

 

When trading stocks, you buy at the ask and sell at the bid which makes sense, but with futures it's the opposite, buy the bid and sell the ask...?

If that's the case then why when I'm watching the time and sales screen does

the price move up when a lot of "at ask" orders come across and the price moves down when a lot of "at bid" orders come across?

 

 

You are describing the concept of "Minority Control".

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You are describing the concept of "Minority Control".

 

Hi Tams,

 

I think I guess, what you mean, but could you elaborate a little bit.

 

BTW, I have taken some tape screenshots yesterday (ES, after close, somewhere between 4:00 and 4:15 pm EST).

But its not Bid/Ask, its the vwap of 5s bars.

So one line represents: 5s vwap, # contracts, # trades.

 

FWIW, have a look:

 

attachment.php?attachmentid=10481&stc=1&d=1241561060

ES-04.05-AfterHours.thumb.png.80b90cbf58cf79efc40eec089a404eba.png

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I don't understand the illustration.

 

Basically its a 5 sec tape, if you read it from bottom to top,

price is rising on high volume and a high number of trades (ticks).

 

I don't know how a usual tick tape would look like,

maybe there would be more red in between,

but I think, that the use of "snapshots" can filter out some noise.

 

I have posted this because during this run,

I can't see something like minority control.

It just tells me -> up.

 

Surely, there are other moves, where price is moved on relatively

low volume compared with other moves within the same session.

These, I would consider are under minority control.

But maybe these moves are just a correction to the last

starting point of a high volume move.

 

For example: buy 10000 contracts,

wait and sell 2000 (correction) down to the starting point,

buy next 10000 contracts.

This might work if not everyone likes to buy.

 

Anyway, just my thoughts and finally the market does what it does,

so I don't know if all these interpretations are worth something.

 

I think trend lines have more value.

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The thread Browns fan posted as a reference has one pair of charts that shows the minority control. It is the last chart at times :21 and :22.

 

There are two salient factors for doing turns using the DOM.

 

Minority control and the WALLs.

 

At BBid and BAsk you see orders that are being taken by those who time the market. These types of timing the market orders are called "market" orders.

 

Market timers do NOT show their orders.

 

The type of trader who uses targets and maximum loss they will stand for are the kind of trader who show their hands to others.

 

Also you have four games played where hands are shown. They are often done by a few people who work together to play the same game. An observer gets used to these players and front runs them with unseen orders. I am one of these people.

 

This post provides a general framework for getting specific.

 

the DOM that showed on :21 was a reference for :22. You can see how the Bid is getting closer to its vanishing point where the price, then will move to a new pair of BBid/BAsk. At the time of the move a new formerly unseen value of AAsk will show on the right side.

 

The lower BBid will again reach a vanishing point. And price will follow the minority downward leaving all the Ask orders unfilled and futher away from price. This are ordes of traders who often lose money as the day goes by, i. e., most traders.

 

When will this successive vanishing stop on the Bid side?

 

It will happen when the WALL appears. What is a WALL? This is the collective limit ordes of a lot of traders who are the next group the price will move away from after a while. BBid/ BASk pair move to the WALL. And the WALL is too BIG for the timing type traders to breach. Some of us know that. We see the WALL as the limit of the trend movement of the profit segement we are currently taking.

 

We the timers have to change side of the market at this point to collect all profits possible and begin out new profit taking segment on the way to the next WALL on the opposite side of the market.

 

All the gams played on the DOM help the timing type traders. Timing type traders are front running the game players. Game players do two things but they do NOT take trades. they ADD limit orders and they PULL already placed limit orders. Naturally, a timing type trader can SEE ADDing going on. Values increase with adding. Adding is done "away" from BBid/BAsk.. Pullling is done ON BBid and BAsk or next to it if chicken sets in for these guys. FIFO is used to some extent for adding and pulling. To make it each to team up with others, the units digit is used for ID's

 

As a timing trade I do not trade small numbers of contracts. I keep a 50 plus T&S running to keep the chicken feed out of eye sight. At a WALL it is easy to see timing traders doing partial fills of 50 contract trades over and over to get their accounts reversed on the WALL.

 

the minority ALWAYS control the direction of the market. and those who pile up a WALL do not get filled and soon thereafter the market ismoving away from them.

 

this is a tough post to follow. It contains many points. the points are interrelated. the comments in the post are not sensitive to beginners because it is hard to be a beginner if that happened long ago. I apologize for what will be assumed to be poor communicating.

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The thread Browns fan posted as a reference has one pair of charts that shows the minority control. It is the last chart at times :21 and :22.

 

There are two salient factors for doing turns using the DOM.

 

Minority control and the WALLs.

 

At BBid and BAsk you see orders that are being taken by those who time the market. These types of timing the market orders are called "market" orders.

 

Market timers do NOT show their orders.

 

The type of trader who uses targets and maximum loss they will stand for are the kind of trader who show their hands to others.

 

Also you have four games played where hands are shown. They are often done by a few people who work together to play the same game. An observer gets used to these players and front runs them with unseen orders. I am one of these people.

 

This post provides a general framework for getting specific.

 

the DOM that showed on :21 was a reference for :22. You can see how the Bid is getting closer to its vanishing point where the price, then will move to a new pair of BBid/BAsk. At the time of the move a new formerly unseen value of AAsk will show on the right side.

 

The lower BBid will again reach a vanishing point. And price will follow the minority downward leaving all the Ask orders unfilled and futher away from price. This are ordes of traders who often lose money as the day goes by, i. e., most traders.

 

When will this successive vanishing stop on the Bid side?

 

It will happen when the WALL appears. What is a WALL? This is the collective limit ordes of a lot of traders who are the next group the price will move away from after a while. BBid/ BASk pair move to the WALL. And the WALL is too BIG for the timing type traders to breach. Some of us know that. We see the WALL as the limit of the trend movement of the profit segement we are currently taking.

 

We the timers have to change side of the market at this point to collect all profits possible and begin out new profit taking segment on the way to the next WALL on the opposite side of the market.

 

All the gams played on the DOM help the timing type traders. Timing type traders are front running the game players. Game players do two things but they do NOT take trades. they ADD limit orders and they PULL already placed limit orders. Naturally, a timing type trader can SEE ADDing going on. Values increase with adding. Adding is done "away" from BBid/BAsk.. Pullling is done ON BBid and BAsk or next to it if chicken sets in for these guys. FIFO is used to some extent for adding and pulling. To make it each to team up with others, the units digit is used for ID's

 

As a timing trade I do not trade small numbers of contracts. I keep a 50 plus T&S running to keep the chicken feed out of eye sight. At a WALL it is easy to see timing traders doing partial fills of 50 contract trades over and over to get their accounts reversed on the WALL.

 

the minority ALWAYS control the direction of the market. and those who pile up a WALL do not get filled and soon thereafter the market ismoving away from them.

 

this is a tough post to follow. It contains many points. the points are interrelated. the comments in the post are not sensitive to beginners because it is hard to be a beginner if that happened long ago. I apologize for what will be assumed to be poor communicating.

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Thanks jack for enlightening information, can you please explain

 

1. What are the four games played on the DOM

2. What do you mean by prefixing bid/ask with the Cap B

 

Karish

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When will this successive vanishing stop on the Bid side?

 

It will happen when the WALL appears. What is a WALL? This is the collective limit ordes of a lot of traders who are the next group the price will move away from after a while. BBid/ BASk pair move to the WALL. And the WALL is too BIG for the timing type traders to breach. Some of us know that. We see the WALL as the limit of the trend movement of the profit segement we are currently taking.

 

We the timers have to change side of the market at this point to collect all profits possible and begin out new profit taking segment on the way to the next WALL on the opposite side of the market.

 

Let me preface this question by saying that I don't use a DOM at all in my trading, but I do watch in on occasion when I'm bored.

 

I find the quoted part of your post a little confusing. The "walls" that appear on the DOM, that is, the huge size that can appear at certain prices on the DOM, often seem to disappear when price reaches those "walled" price levels, as is demonstrated in the BrownsFan post that you referenced. However, your post makes it sound like the walls on the DOM do in fact represent inflection points.

 

In my limited experience with the DOM, I find that the orders at these walls are often pulled, and price just continues through those price levels undisturbed, but that is not in agreement with what you're saying in your post. Can you clarify this part a bit?

 

Edit: I realized I should have included this question in my post above. I guess my brain is starting to shut down, so I should go to bed soon.

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You have to watch closely DOM for some time to train your eyes on DOM movement just than it will become apparent to you the difference between game players and the WALL. Usually when price will get closer to game players they will disappear, hence you know they are fake. On the other hand real WALL will become apparent at actual S/R and would stay, a pull back may occur. In strong trending market price would stop at the WALL for sometime till all resting limit order eats up and only than the move proceeds.

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My personal observation on DOM are similar to the following Jack description:

 

It will happen when the WALL appears. What is a WALL? This is the collective limit ordes of a lot of traders who are the next group the price will move away from after a while. BBid/ BASk pair move to the WALL. And the WALL is too BIG for the timing type traders to breach. Some of us know that. We see the WALL as the limit of the trend movement of the profit segment we are currently taking.

 

It is large amount of limit orders which you see their hands and constantly refreshed.

 

I cannot approve/negate your thesis of the existence of a hidden WALL, I have never search for this pattern in the DOM, as if they are stealth in the DOM we need to look somewhere else to find them.

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OK thanks for clearing that up, I have seen that kind of thing on the DOM as well, but I don't think of that as a wall, more as an area of real S/R, only because if you just glance at that area on the DOM, it doesn't initially look like a "wall" with large size.

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