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butch1130

Identify Larger Traders

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I recently read a post by Dr. Brett about Median Volume levels per 30 min period. The idea was that when the volume was significantly above the median for that period, larger players were likely involved in the market at that time.

 

It got me thinking on how else to identify larger players in the ES market.

 

Can anyone share things they use that they feel identifies the larger traders?

 

I have Market Delta and intend to try and use some of their tools to help answer this question.

 

Thanks very much.

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In Market Delta you can filter out lot sizes using the Volume Breakdown indicator. You can use this to see if the big lots > 100 > 200 are are more aggressive on the bid or ask...

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I recently read a post by Dr. Brett about Median Volume levels per 30 min period. The idea was that when the volume was significantly above the median for that period, larger players were likely involved in the market at that time.

 

It got me thinking on how else to identify larger players in the ES market.

 

Can anyone share things they use that they feel identifies the larger traders?

 

I have Market Delta and intend to try and use some of their tools to help answer this question.

 

Thanks very much.

By far the most direct realtime method to track commercials activity (mainly position building inventory accumulation) is watching and then indexing Cumulative Delta Thresholds throughout the trade day. Tracking only increased overall volume activity above median levels can be deceiving. There may be order flow equilibrium withing increased overall volume rates, but the important item to track is the conviction within traded order flow....this is accomplished with Cumulative Delta.

 

I do not really care how much overall volume trades most times, no I just want to know the conviction within the traded order flow. I want to know who is in control of the volume flow as parsed through Cumulative Delta. When a new high or a new low for the day is tested I want realtime indications of who controls the order flow, buyers or sellers. When a tracked zone of resting inventory support/resistance is tested intraday, I want to know what is the realtime demand at that level.

 

I have in the past filtered order flow trade size for tracking demand at various zones of price, but I have found tracking all traded order flow position size combined works just perfect.

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Hi AMT,

 

I didn't know you were also here on TL - welcome. I've read pretty near every post of yours on that other forum (except the political ones :) ) and I still don't understand exactly what you mean. Perhaps you can elaborate on this with something more visual....

 

I find in my own use of trying to replicate what you describe above has been terrible. I often think that I've aligned myself with the order flow, only to get hammered seconds later. Maybe we can post some examples back and forth - I can even post some my HSI blunders....

 

With kind regards,

MK

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Hi AMT,

 

I didn't know you were also here on TL - welcome. I've read pretty near every post of yours on that other forum (except the political ones :) ) and I still don't understand exactly what you mean. Perhaps you can elaborate on this with something more visual....

 

I find in my own use of trying to replicate what you describe above has been terrible. I often think that I've aligned myself with the order flow, only to get hammered seconds later. Maybe we can post some examples back and forth - I can even post some my HSI blunders....

 

With kind regards,

MK

 

Hello Sir! WOW...that reminds me....I owe you an email response from the other day!!!

 

I think the best way I can explain the inventory accumulation game is in a live chat format, so as you ask questions I can explain right away in a more efficient manner. I will send you some information on what day will work best for me to set this up with you! Look for an email just after the close today and I will try and set something up for this week. :thumbs up:

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BTW, the commercials I have been tracking these past weeks who have been building the 30,000 contracts SHORT in the ES sure paid themselves well today! ;) Oh how I love this game! :)

I watched some of your videos on your site, very interesting, when do you start the cumulation period, and I am using the indicator you pointed out to me in Ninja Trader which needs to be running to track the contracts, does Investor R/T store the cumulated # of contracts?

 

Thanks,

 

Chris

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It seems like Fulcrumtrader (AMT4SWA) is marketing his services on this forum. Those who are interested should search for "Inventory Grab Alert 4"

"Inventory Grab Alert 4" - Google Search

 

On ET threadid=162563&perpage=6&pagenumber=397 there should be a doc file that summarizes the trading style. You can decide if it suits you.

 

amt notes - cumulative volume delta.doc

amt notes - cumulative volume delta.doc

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I watched some of your videos on your site, very interesting, when do you start the cumulation period, and I am using the indicator you pointed out to me in Ninja Trader which needs to be running to track the contracts, does Investor R/T store the cumulated # of contracts?

 

Thanks,

 

Chris

I track the Cumulative Delta from the first day a contract trades going forward for my longer term CD tracking, but that is not really needed for those looking for basic intraday set-ups. I use Investor RT with DTN.IQ feed for my primary intraday Cumulative Delta tracking, and the historical bid/ask data goes back almost a month which is perfect for 95% of my needs. There is also some great new features ahead for Investor RT so I am looking forward to the expanded capabilities.

 

"Linn Software is also working with Zen-Fire/Rithmic to enable Investor/RT clients who have a Zen-Fire/Rithmic brokerage account to trade directly from Investor/RT."

 

Investor/RT - The Trader's Ultimate Tool Box - What's New in 10.0

 

:cool:

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It seems like Fulcrumtrader (AMT4SWA) is marketing his services on this forum. Those who are interested should search for "Inventory Grab Alert 4"

"Inventory Grab Alert 4" - Google Search

 

On ET threadid=162563&perpage=6&pagenumber=397 there should be a doc file that summarizes the trading style. You can decide if it suits you.

 

amt notes - cumulative volume delta.doc

Talking about how to use Cumulative Delta is not marketing, but at least now someone in the futures trading community is making traders aware of the possibilities! Cumulative Delta is a very good parsed volume study and it shocks me how few know how to use it.....oh well.

Edited by FulcrumTrader

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Talking about how to use Cumulative Delta is not marketing, but at least now someone in the futures trading community is making traders aware of the possibilities! Cumulative Delta is a very good parsed volume study and it shocks me how few know how to use it.....oh well.

 

 

Can you give a critique on this Cumulative Delta indicator?

How would you improve it?

http://www.traderslaboratory.com/forums/56/volume-splitter-5824-5.html#post66247

post #180

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Tams,

 

So far I have never seen an actual working Cumulative Delta candlestick study in TS live (for the 6 years I have tracked and traded with Cumulative Delta). I would really need to watch the indicator live for a while (hour or two) to come to a proper conclusion. For Tradestation, the Cumulative Delta candlestick study set up the way I use it with Investor RT is kind of like UFO's....I know they are out there but I have not yet been offered a ride!

 

I myself would LOVE to have a proper CD candlestick study for TS so if someone has one that works that would be GREAT! Also, to properly track CD you really need the candlestick format with multiple days of accumulated plotting....that is a must in my book!

 

BTW, an ideal set up would be Zenfire or DTN.IQ feed pumped into TS with a proper CD candlestick study that can look back at least 30 days of bid/ask data!

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It is not completely accurate none of the TS implementations are due to the data handling. TS handles best bid and best ask asynchronously. It may be possible by using 3 data Plots one assigned to the instruments bid one to the ask and one to the last. You would need to ask TS whether price change 'events' of bid and ask are handles sycronously they look like they might be if you simply watch them on a chart.

 

On the merit of Fulcrums approach does it not assume that trader acumuluate by buying aggresively? Isn't this the opposite to what occurs? When accumulating a large position you would buy passively at the bottom of the range and sell aggressively at the top (to keep price down).

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It is not completely accurate none of the TS implementations are due to the data handling. TS handles best bid and best ask asynchronously. It may be possible by using 3 data Plots one assigned to the instruments bid one to the ask and one to the last. You would need to ask TS whether price change 'events' of bid and ask are handles sycronously they look like they might be if you simply watch them on a chart.

 

On the merit of Fulcrums approach does it not assume that trader acumuluate by buying aggresively? Isn't this the opposite to what occurs? When accumulating a large position you would buy passively at the bottom of the range and sell aggressively at the top (to keep price down).

Accumulation of held resting inventory by commercials has the same behaviors at zones of price that become support in the market or at zones of price that become resistance. Commercials seem to handle the building resting inventory independently from their other trades around the range of price that contains the zone of price which is the cost basis for the held main position (and this made sense when I first started tracking the Delta Zones of resting inventory years ago.....the commercials are made up of separate groups all doing about the same thing at about the same time as they accumulate positions in the same fashion but independent of each other).

 

There are definite biases of trade activity in the order flow as these positions are developed over multi-day or multi-week periods of time prior to the enabled breakout move of price AWAY from their held position cost basis (of course the eventual price move is in their intended trade direction....like we just had yesterday, very common enabled move of price in their intended trade direction). Another continuing pattern which almost seemed counter intuitive at first, but then made sense over time was how commercials will ALLOW price stretch away from the overall cost basis of their held inventory. After looking at this activity over and over again and thinking about Auction Market Theory it did eventually make total sense to me.

 

Commercials can't improve the cost basis of a large held position without the rotations of price away from their held position to ADD inventory with "price improvement". As price is then driven back to the mean of the cost basis and through into the intended direction of their held position, they can then thin out positions previously entered at pricing level less advantages to the remaining held inventory. The commercials allow price to continually rotate around the cost basis of their held positions, as they make some profits on less beneficial positions covered after they have added new inventory beneficial to the held position....this is the behavior of the position building phase prior to the enabled driving of price away from the held position for the big score.

 

I do know exactly how counter intuitive a lot of this commercial activity seems at first, but in conclusion let's just say the commercials are very active in the realm of going forward price activity once they start building large resting inventory....;) Oh, and you will not find any of this type of market dynamics information in any trade books like "Mastering the Trade"......LOL!

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Thanks Fulcrum, good post

re

...how counter intuitive a lot of this commercial activity seems at first

The real trick is that sometimes it is just intuitive and sometimes it's counter intuitive

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Tams,

 

So far I have never seen an actual working Cumulative Delta candlestick study in TS live (for the 6 years I have tracked and traded with Cumulative Delta). I would really need to watch the indicator live for a while (hour or two) to come to a proper conclusion. For Tradestation, the Cumulative Delta candlestick study set up the way I use it with Investor RT is kind of like UFO's....I know they are out there but I have not yet been offered a ride!

 

I myself would LOVE to have a proper CD candlestick study for TS so if someone has one that works that would be GREAT! Also, to properly track CD you really need the candlestick format with multiple days of accumulated plotting....that is a must in my book!

 

BTW, an ideal set up would be Zenfire or DTN.IQ feed pumped into TS with a proper CD candlestick study that can look back at least 30 days of bid/ask data!

 

I hear yah, I've started working on it. No ETA on delivery though.

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