MASSIVE Hedge in the "ES" Before Jan 22nd Sell Off!

[Ceschiatti 10]

Hi, Fulcrum Trader! Don't you look at larger time frame cumulative delta to see the medium term trend? In a 350k volume chart, for instance, we can see the short inventory is far from being taken. We can see an important level at about 1100. Prices right now reaching this level, but cumulative delta not even close to the value it was when ES last visit 1100 level.

 

Images | ChartHub.com

 

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[FulcrumTrader 10]

Hi, Fulcrum Trader! Don't you look at larger time frame cumulative delta to see the medium term trend? In a 350k volume chart, for instance, we can see the short inventory is far from being taken. We can see an important level at about 1100. Prices right now reaching this level, but cumulative delta not even close to the value it was when ES last visit 1100 level.

 

Images | ChartHub.com

 

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You are not properly interpreting the longer term Delta Volume Distributions if you think all that SHORT inventory is still in the market. There is still some SHORT inventory being held in this market from previous trade at the 1101.50 and 1103.50 areas of price......but for the most part, those who were sellers at the 1148.00's on down have already covered out most of those positions profitably (in the run down to the 1040.75 level).

 

There is a lot of extra work that needs to be done to properly determine how much SHORT inventory is still in a market after over a 100 point move (and where is any remaining SHORT inventory still being held from). I have spent over 7 years now exclusively working with and tracking Cumulative Delta, so I know how to read longer term Delta Volume Distributions very well. Tracking intraday and longer term Delta Volume Distributions in various futures instruments is my specialty, so I also use some higher time frame Renko charts.

 

At present, the last significant held SHORT inventory in this market is tied to the 1101.50's and 1103.50's (also, the new SHORT inventory zone that was accumulated in a Delta Zone of resting SHORT inventory in the 1100.00 to 1097.00 range of price....this was from yesterday's action). Any trade north of the 1103.50's in the next few trade days may cause the last significant held SHORT inventory by Commercials to unwind......that is what I am tracking for at this time.

[i trade 10]

Any trade north of the 1103.50's in the next few trade days may cause the last significant held SHORT inventory by Commercials to unwind......that is what I am tracking for at this time.

 

Great call Fulcrum! Looks like we got that event at 3:40pm today?

[FulcrumTrader 10]

Great call Fulcrum! Looks like we got that event at 3:40pm today?

Today we did finally get the Equities buy program run needed to push the 1103.50's through SHORT covering dominating the ES order flow. The recent upper rotational sellers from yesterday did unwind their held SHORT inventory and I did get a moderate "Inventory Grab" SHORT signal. I sold the move in the 1104's/1105's as previous weeks resting SHORT inventory from the 1103.50's area of price still held in place. Also of note, the last minutes of the day had us 12,000 new contracts net SHORT as we closed the Globex session.

 

Well, we all know what happened after that.....LOL! Commercials I am sure will be sending a king size "Thank You" card to the FED for the news release timing. I hit targets right out of that Globex session re-open at the 1101.00's and 1096.00's so far......next targets at the 1092.00's and then 1088.00's. Holding DAX SHORT's I put on before the close too.......those will open gapped down most likely, so I will scale them out latter tonight and into tomorrow if we continue to breakdown.

[hegh 10]

hello Fulcrum Trader

 

on the video, you use MM on Bid / Ask Cumulative?

[FulcrumTrader 10]

hello Fulcrum Trader

 

on the video, you use MM on Bid / Ask Cumulative?

Just to make sure I am clear.......what is "MM"?

 

Thanks!

[hegh 10]

Just to make sure I am clear.......what is "MM"?

 

Thanks!

 

I mean,

 

mm = moving average

[FulcrumTrader 10]

I mean,

 

mm = moving average

OK....got it.

 

In some of my various videos I do show some MA's on what I call scalp charts.

[hegh 10]

thank you very much.

[BlowFish 10]

This is an interesting take on hedging vs trend following Commitment of Traders: Hedging vs Trend Following I am not sure I buy into the core assumption of the hedging indicator....too tired to think about it properly. It certainly appears to be worth thinking about

[FulcrumTrader 10]

A simple look at the daily open interest of the "ES" will show a different picture......there is definitely significant "ES" positions being held for much more than just intraday action.

[BlowFish 10]

personally I would aggregate the two seeing as they are fungible. (actually I might aggregate all months in both contracts thus eliminating spreads). What he is saying is not that the ES has no longer term traders, just that the SP is a better instrument to look at to track there positions.

 

I was more interested in the second vid trying to establish whether positions are 'directional' or hedges.

 

As an aside have you tried comparing your delta based proxy for Inventory with actual Inventory (OI)? Even with actual data only available weekly it might reveal interesting info.

[FulcrumTrader 10]

personally I would aggregate the two seeing as they are fungible. (actually I might aggregate all months in both contracts thus eliminating spreads). What he is saying is not that the ES has no longer term traders, just that the SP is a better instrument to look at to track there positions.

Right....I just disagree with his conclusion.

 

Also, I do pay attention to the open interest of the various futures instruments that I trade. Fortunately, the Cumulative Delta and Delta Volume Distributions are realtime information that I can use for actionable trade entry determinations (unlike most open interest information).

[BlowFish 10]

Yes I think I understand how you use cumulative delta as a real time proxy for inventory/OI. I would have thought it might be interesting to compare with actual inventory holdings (obviously on the coarser time frame), figured you might notice interesting things that suggest refinements to your tools or there application. It should also be able to quantifiablly show how good a proxy it is. I have a hunch (not exactly sure why) that it might actually 'amplify' changes in inventory I don't think this would matter the way you are doing things (relatively rather than absolutely when it comes to inventory), it may even be desirable.

[i trade 10]

FT...any comment or experience with the accuracy of the DTN IQ data feed when it comes to bid/ask volume data? Also, if you wouldn't mind could you post an intraday chart from Thursday and/or Friday of this current week showing cumulative delta so I can compare it to my data?

Appreciate it!

[FulcrumTrader 10]

FT...any comment or experience with the accuracy of the DTN IQ data feed when it comes to bid/ask volume data? Also, if you wouldn't mind could you post an intraday chart from Thursday and/or Friday of this current week showing cumulative delta so I can compare it to my data?

Appreciate it!

As stated in various threads here at TL, I do know that DTN.IQ feed is very solid and I have no complaints. I have been traveling this weekend on trading business so I will try and put up some charts soon.

[paolfili 10]

Fulcrum can you add some words (on your experience) about TT ?

From some of your posts I seen you consider the TT Fix adapter a "low quality instrument".

1)From wich perspective?

CumulativeDelta analysis only - due probably to Ticker Plant absence and the coalescing of data - or in general (speed,loosing data,etc) ?

2)Have you some experience on TT API (About Cumulative Delta,un-coalescing of data,speed...)?

 

Thanks again for your sharing experience

 

Paolo

 

 

As stated in various threads here at TL, I do know that DTN.IQ feed is very solid and I have no complaints. I have been traveling this weekend on trading business so I will try and put up some charts soon.

[enochbenjamin 10]

Fulcrum, or anybody... Do you know if there is significant difference between cumulative delta and on balance volume? They seem like they attempt to determine the same thing???

[gooni 10]

On Balance Volume adds the volume of a bar if it closes up and subtracts the volume of a bar if it closes down, and tracks that bar to bar.

 

Cumulative Delta does this on a trade by trade basis, and adds if the trade was at the ask and subtracts if the trade was at the bid.

 

You can also do something that is part way between the two where you accumulate tick by tick (like cumulative delta) but add on an up tick and subtract on a down tick (like on balance volume).

 

I trust this is clear - the two are similar in high level abstract concept but extremely different in practice and usage.

[FulcrumTrader 10]

Fulcrum can you add some words (on your experience) about TT ?

From some of your posts I seen you consider the TT Fix adapter a "low quality instrument".

1)From wich perspective?

CumulativeDelta analysis only - due probably to Ticker Plant absence and the coalescing of data - or in general (speed,loosing data,etc) ?

2)Have you some experience on TT API (About Cumulative Delta,un-coalescing of data,speed...)?

 

Thanks again for your sharing experience

 

Paolo

 

TT Fix Adapter feed is usable if uncoalesced and if you have a proper means to capture and store the data for historical lookback capability (like TradeVec.com will be doing for BID/ASK differential volume needs).

[FulcrumTrader 10]

Fulcrum, or anybody... Do you know if there is significant difference between cumulative delta and on balance volume? They seem like they attempt to determine the same thing???

 

I myself never use OBV....I stick with the "market order" driven order flow tracking with CD.