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JohnnyB12

Bid/Ask Volume Contradictions

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Hi all,

 

This is my first post on the forum. This is in regards to my studying up on support & resistance and how I've been finding that some of the stocks I've been buying/following lately have had what I consider odd shifts.

 

For instance, I have stocks in LRT.UN, which has had a significantly higher volume of bids than asks (in some cases 80 to 30), with a very small spread, yet the bulls catch the play.

 

I am working hard to understand the concept of volume and what I find on the web only states that things should go the other way.

 

How can I better anticipate what the brokers are fixing?

 

Thank you.

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There have been several threads here in the past on 'delta' (Vol@bid and Vol@Ask) you should be able to find them if you look round. http://www.traderslaboratory.com/forums/f6/order-flow-analytics-7173.html is the most recent.

 

My hunch is that a lot of what you read was based on false assumptions. If you take a look at that thread I made a post recently listing why I have reservations about 'delta' as a proxy for order flow.

 

I haven't traded stocks for ages but when I did at times you would see Goldies sitting best bid (or a level or two outside) absorbing 100's of thousands (or even millions) of shares. Needless to say price would eventually rise.

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There have been several threads here in the past on 'delta' (Vol@bid and Vol@Ask) you should be able to find them if you look round. http://www.traderslaboratory.com/forums/f6/order-flow-analytics-7173.html is the most recent.

 

My hunch is that a lot of what you read was based on false assumptions. If you take a look at that thread I made a post recently listing why I have reservations about 'delta' as a proxy for order flow.

 

I haven't traded stocks for ages but when I did at times you would see Goldies sitting best bid (or a level or two outside) absorbing 100's of thousands (or even millions) of shares. Needless to say price would eventually rise.

 

The main reason I love to use Cumulative Delta for my primary trading analysis is the fact that I keep seeing the exact same "supply & demand" patterns repeat over and over again. Successful trading is a "pattern" identification business in my mind, and developing a method to identify repeating patterns is exceptionally important to me. Another very important advantage of tracking order flow with Cumulative Delta is the ability to see about 80% to 90% of commercials order entries/exits. Commercials blast in and out order flow with market orders for the majority of their trading activities.....so I definitely want to be able to see that order flow and how it is distributed each day.

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....... Cumulative Delta is the ability to see about 80% to 90% of commercials order entries/exits. Commercials blast in and out order flow with market orders for the majority of their trading activities.....so I definitely want to be able to see that order flow and how it is distributed each day.

 

What makes you think the 'commercials' use market orders to accumulate a position? I wonder if you saw my post about accumulation in the other thread? I wonder if you might have a crack at answering that as I do have respect for the stuff you have written despite being somewhat doubtful about your core assumptions.

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What makes you think the 'commercials' use market orders to accumulate a position? I wonder if you saw my post about accumulation in the other thread? I wonder if you might have a crack at answering that as I do have respect for the stuff you have written despite being somewhat doubtful about your core assumptions.

 

I KNOW Commercials use market order entries and exits for the majority of their trade activity due to aquired knowledge I have about their automated order entry systems. I also have Chicago based contacts throughout the past years and have verified how Commercials work their positions in and out of the market. You have to realize that current technologies offer Commercials the BEST ability to hide their order entry and exits through automation with "at the moment" initiated market order operations.

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FulcrumTRader,

can you make an example of :

"the BEST ability to hide their order entry and exits through automation".

Thanks

 

 

 

 

I KNOW Commercials use market order entries and exits for the majority of their trade activity due to aquired knowledge I have about their automated order entry systems. I also have Chicago based contacts throughout the past years and have verified how Commercials work their positions in and out of the market. You have to realize that current technologies offer Commercials the BEST ability to hide their order entry and exits through automation with "at the moment" initiated market order operations.

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FulcrumTRader,

can you make an example of :

"the BEST ability to hide their order entry and exits through automation".

Thanks

 

Commercials SELL into markets frequently that are at the moment trading higher and BUY into markets that are at the moment trading lower. For an example, as Commercials price targets are met (for whatever system they use to decide WHEN to get into a market) they will start to sell at the moment into a rising market with market orders. Commercials initiate trade frequently into a movement of price that at the moment is counter to the intended direction of their trade.....they don't wait until after price rolls over in a rally to sell into. Commercials initiate trade with rapid automated order entry of market orders into movements of price that will BEST hide their order entry maneuvering (while getting a good entry price and not creating slippage from their heavy entry into the market).

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I KNOW Commercials use market order entries and exits for the majority of their trade activity due to aquired knowledge I have about their automated order entry systems. I also have Chicago based contacts throughout the past years and have verified how Commercials work their positions in and out of the market. You have to realize that current technologies offer Commercials the BEST ability to hide their order entry and exits through automation with "at the moment" initiated market order operations.

 

The very best way to hide your order is to use a market order! I'll certainly acquiesce to that:D Rather than repeating ourselves here I wonder if you saw my post here http://www.traderslaboratory.com/forums/6/order-flow-analytics-7173-4.html#post82577 I really would welcome your comments as I do find your work most interesting. In a nutshell have difficulty with the core assumption that 'commercials' trade aggressively and 'non commercials' (retail?)passively.My experience of a variety of 'commercial' participants in a variety of markets is difference to yours. Another angle is to have a 'commercial' trading aggressively on one side and a 'non-commercial' trading passively on the other you need roughly equal volume on both sides. A quick look at the Co shows this not to be the case. Another thing, a cursory investigation into market micostructure would show that there are numerous types of informed traders using quite different methods to conduct there business.

 

As I have said I do have respect for your work (otherwise I would not bother pursuing this,) not only does it seem to fit together coherently but it seems to provide you with a decent framework to make your trading decisions. (This is of course what's important.) The trouble that I have is with the core premise that participants accumulating or distributing inventory predominantly do so aggressively.

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