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rocky9281

Trading F&O by Time and Sales

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un filtered, un coalesced data

 

 

Hello Blowfish,

 

I asked some people about unfiltered, uncoalesced data. They haven't heard these terms earlier.

 

IMHO,I think:

 

Unfiltered means - they should disclose every trade as they occur and don't hide any trade.right?

 

Uncoalesced means- they don't add up two or more trades and show them as one trade... like bought 50@ 200.5 and bought 25@200.5. These 2 trades add up to give bought 75@200.5,and show this 75@200.5 in the T&S instead of the two separate trades of 50 and 25. Am I correct?

Please tell me what do they mean,in case I am wrong.

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Yeah, actually I always used the term un aggregated but seems that un coalesced is the more popular term :) Can't be that popular from what yo say. Anyway you are right, sometimes someone down the line will 'aggregate' several trades at the same price/time (report them as one trade). At one time the CME intimated they where doing it on some instruments but that is not the case now.

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Hello BlowFish,

 

Those vendors who provide true tick by tick data are too expensive for me.

 

Most of the data vendors here provide data with ticks updated for every 1 second(although the exchange publishes every tick, these vendors can't incorporate it that fast and accurately).Please see the screenshot attached at post #49 for a sample of this kind of data.This is from eSignal.

 

So this is bit inferior than true tick by tick data.Will that lead to data aggregation? Will that kind of data work for T&S analysis? Shall I go for it?

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IQ feed is way better than esignal, IQ feed has better data but their platform stinks so you'll need your own to tie into it...(ie..ninjatrader), esignal has a prettier platform but their data stinks.....

 

What is it you want to do?

 

If your Scalping or an Intraday trader... then I like T4 or x-trader....

Longer term trades, Trade Navigator...

You can learn scalping from TradeNavigator but I don't trust their stability for scalping

 

I use X-Trader myself & have been a full time trader since 1991

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Please throw some light on Time and sales refreshing.

 

1.Why does the T&S refreshes?

 

2.What does it mean when we see the time and sales data/window refreshes?

 

3.What to look for after the refresh?

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Some possible price and volume combinations in time and sales window are:

 

1. High volume trading going off-both in bid and ask, with intervening small/medium trades in both bid and ask.I don't think this pattern should be ignored just because it is indeterminate as both bid and ask sides are traded heavily, but should be watched closely because the high volumes indicates professionals are participating.

 

2. High volume trading going off in bid,not a single trade is of small/medium volume.Also, not a single trade going on in the ask. (vice versa)

 

3. High volume trading going off in bid.Along with that,small/medium volume trades going off at ask. (vice versa)

 

4. Large number of small/medium sized trades going off at bid.None of the trades is of high volume.May not seem to be professional activity,but at the end of the day the summation of the volume of trades at bid at that price level comes out to be very high.

 

What does each of the above four combinations indicate, and hence, what the tape reader should do when he sees them in his time and sales?

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Compression(or expansion)of the bid-ask spread.Any idea what it indicates?

 

How to use bid-ask spread in trading?

 

I think the compression(or expansion)of the bid-ask spread has got something to do with an intraday short lived rally or reaction.Can you please elaborate on this?

 

Also, please mention why does this happen..

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What does it mean when I see the same volume figure appearing again and again in the time and sales window, also, it comes constantly in the same side (either the bid or the ask).

 

Please note that these are intervened by many other trades.But this number appear too frequently.

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I have heard this from some traders that, if we see large prints in the time and sales, we must stay out of the trade and let the buyer and seller battle it out. After that, we should go with the one who wins.

 

My question is, how do you determine who won?

IMHO, if price gives breakout to the upper side, the buyer has won and we should buy, and vice versa for breakdown. So we are just waiting for a breakout either to the upside or downside.

Is there anything more to it?

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Firstly I would ask wherever you heard it. Secondly I think there is more to it than that. For example a seller may bid up the price to 'test' supply and demand at those levels (of for a variety of other reasons). Broadly speaking you can assume who one by price direction tests and stop runs not withstanding.

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Firstly I would ask wherever you heard it. Secondly I think there is more to it than that. For example a seller may bid up the price to 'test' supply and demand at those levels (of for a variety of other reasons). Broadly speaking you can assume who one by price direction tests and stop runs not withstanding.

 

Thanks Blowfish

 

Blowfish, please explain briefly what do you mean by

1.price direction tests ,and

2.stop runs not withstanding

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Have a look in the Whyckoff (and the VSA section to some extent) section there is lost of information on 'tests'. A top run is where price is marked up or down to trigger resting orders...most people have got a pretty good idea where they are likely clustered. Price direction is simply the direction price moves away from somewhere.

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Please help with this question.

How does large institutions enter or exit positions?

 

I know about the following options:

 

1 Large block trades and

2. Algorithms

 

What are the others?

 

Oh, they're very creative, they can hold a bid or ask to dump or scoop up contracts. Mostly though they just buy gradually at certain levels, from what I've noticed so far. If you check out the tick volume on a chart you can see where the big players are accumulating or distributing. The average volume per tick candle is huge compared to what us little guys are doing.:2c:

 

Cheers,

 

 

XS

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The T/S and DOM is a crazy place that is for sure. To be able to see Iceberg and other institutional orders is a big help with any trading method.

 

I have created Software that works with Ninja Trader and plots these orders on a chart in real time. I have been a trader for 11 years and have always looked at the order flow on the DOM and T/S but a lot of orders have become way to fast for the human eye or are hidden in tiny lots. I have examples and screen shots to help explain. This will help anyone that is trying to understand the market by tape reading.

 

Have a great day!

Edited by MadMarketScientist
links

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What is a stale buyer and why should he MUST buy and MUST suffer losses?

 

If he knows he is about to suffer loss, why didn't he cancel his bids and avoid unwanted fillings?

 

Lastly,

Can stale buyers buy with:

1.algorithms like TWAP

2.perfect prints on ask

3.double prints

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If we see a small bid rising up tick by tick, is it true that the bid is actually very large, and is placed by a pro?

 

For example,

 

bid qty=158,bid rate=123.11

bid qty=158,bid rate=123.12

bid qty=158,bid rate=123.13

bid qty=158,bid rate=123.14

bid qty=158,bid rate=123.15

 

 

See how the bid rose from 123.11 to 123.15, but the size remained constant (158).

 

1.Should we go long here?

 

2.Is this a phenomenon that we will search for BOTH in the best bid ,as well as in all the tiers of bid that are below the Best Bid ?

 

3.Are the reverse things true for ask?

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Just a general question here. If anybody knows the answer, please help me

 

Are the stock(etc.) exchanges a source of income for the large institutions?

If yes:

1. What %age of their annual income comes from trading stocks,futures etc?

2. Do u think that these large institutions will quit operating on these trading vehicles someday in the future?

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