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pbylina

Order Flow Advice

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How do people learn to read bid|ask footprints/orderflow? Do they only look at footprints at key levels or can you trade with just footprints without looking at candlesticks/barcharts by just 'going with the flow'? Is the best way to learn by just staring at it for hours each day?

Any advice appreciated. Thanks.

 

-Paul

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  pbylina said:
Is the best way to learn by just staring at it for hours each day?

Any advice appreciated. Thanks.

 

-Paul

 

Regardless of what you are looking for, thought is needed. Just looking and staring and looking for answers wont help (thats what the magic of TV is for :))

look to test ideas, look to confirm ideas and look to see when things work - and dont work, based on your theory of the markets and for why you think they should work.

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  pbylina said:
How do people learn to read bid|ask footprints/orderflow? Do they only look at footprints at key levels or can you trade with just footprints without looking at candlesticks/barcharts by just 'going with the flow'? Is the best way to learn by just staring at it for hours each day?

Any advice appreciated. Thanks.

 

-Paul

 

Go to the CBOT website...

they have lots of free material on Market Profile

 

that is a good start.

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I learnt how to read the footprint from http://www.ioamt.com. Some other helpful sites are Discovery Trading Group & L2ST - www.inthetradingzone.com - L2ST - www.inthetradingzone.com.

They all use a footprint chart.

Market profile sites:

http://www.cmegroup.com/education/interactive/marketprofile/handbook.pdf

Market Profile

Articles by James Dalton | Free resource to understand Market Profile and James Dalton’s approach | James Dalton Trading

 

The footprint is most productive at key price levels. I use bar charts and point & figure charts, but the footprint is my final entry tool. Keep in mind that reading order flow is an art form that takes time to master. I do know someone who used a small time frame chart to learn the patters, but why bother with that when you have good teachers out there.

 

Also, take everything you read on the trading forums with a grain of salt, including this post.

 

dVL

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Paul

 

As with most things in life, how you approach this depends in part on what you are trying to do..

 

If for example you want to learn to trade equities, you will probably need to learn to read the DOM ("depth of market" display). It has become difficult to navigate and you will need to find a person willing to spend time showing you the ins and outs of that system.

 

If you are interested in trading futures, in my opinion the best method is to "read the tape" which requires that you learn to monitor a "time & sales strip" as well as the NTSE tick and volume. The tick and volume are used to to support your trade decisions as you "read" the time & sales strip.

 

Finally, if you have MarketDelta you can (eventually) learn to read either their "footprint" charts or their multi-line "break" charts...and again it takes time to learn and you will need to find someone knowledgeable to show you how it works.

 

Here's what I can tell you about this...first, it is difficult but certainly not impossible, and you will need to spend considerable time getting accustomed to seeing the data displayed, learning a system that works, and then practicing until you acquire some proficiency...Second, even when you have "learned" to use these tools you still have to have a framework on which to base your trading decisions. In other words, tape reading is a tool that you use to try to obtain favorable entry, but by itself it isn't a viable system (just my opinion).

 

I know these methods and after long years of trial and error I would suggest your best odds of success lie with learning to read the time & sales strip (also called "reading the tape")

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  daVinciLite said:
I learnt how to read the footprint from http://www.ioamt.com. Some other helpful sites are Discovery Trading Group & L2ST - www.inthetradingzone.com - L2ST - www.inthetradingzone.com.

They all use a footprint chart.

Market profile sites:

http://www.cmegroup.com/education/interactive/marketprofile/handbook.pdf

Market Profile

Articles by James Dalton | Free resource to understand Market Profile and James Dalton’s approach | James Dalton Trading

 

The footprint is most productive at key price levels. I use bar charts and point & figure charts, but the footprint is my final entry tool. Keep in mind that reading order flow is an art form that takes time to master. I do know someone who used a small time frame chart to learn the patters, but why bother with that when you have good teachers out there.

 

Also, take everything you read on the trading forums with a grain of salt, including this post.

 

dVL

 

Thanks. Whats a point & figure chart?(I think I heard a lot of people use it with order flow..)

Yes, I assume it would take a lot of practice/time to be really good. Like learning a musical instrument(which is an art also).

 

Any opinions about Constant Volume Bars?

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Steve,

 

  Quote
If you are interested in trading futures, in my opinion the best method is to "read the tape" which requires that you learn to monitor a "time & sales strip" as well as the NTSE tick and volume. The tick and volume are used to to support your trade decisions as you "read" the time & sales strip.

Yea, Im interested in futures. What is "NTSE tick and volume"? Why is the Level 2/Dom not important(just asking)?

 

  Quote
Finally, if you have MarketDelta you can (eventually) learn to read either their "footprint" charts or their multi-line "break" charts...and again it takes time to learn and you will need to find someone knowledgeable to show you how it works.

I will be using MarketDelta. What are "break charts"? Would you consider the 'footprints' better than "Time and Sales"?

 

  Quote
Here's what I can tell you about this...first, it is difficult but certainly not impossible, and you will need to spend considerable time getting accustomed to seeing the data displayed, learning a system that works, and then practicing until you acquire some proficiency...Second, even when you have "learned" to use these tools you still have to have a framework on which to base your trading decisions. In other words, tape reading is a tool that you use to try to obtain favorable entry, but by itself it isn't a viable system (just my opinion).

Ok, around key levels of Volume Profile, Pivots, etc.

 

  Quote
I know these methods and after long years of trial and error I would suggest your best odds of success lie with learning to read the time & sales strip (also called "reading the tape")

Ok I will try.:)

Heres a cool interview of a guy who uses Order Flow:

[ame=http://www.youtube.com/watch?v=lK58oT5GTGE&p=25937227F42F996A&wl_token=NQVnBvxVxO7jGpynnOje7czkE_p8MTMwMzkyOTU4MUAxMzAzODQzMTgx&wl_id=lK58oT5GTGE]YouTube - Boris Schlossberg Millionaire Traders[/ame]

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A little knowledge can get you in trouble, but here is an example from the ES today. The point and figure chart took out all the noise in the market so I could see when buyers really stepped in and drove price higher. Then on the pull back (an entry point) buyers came in at the same level and pushed prices back up. We could retest the high again.

 

The market profile told us to go with any breakout today, either a breakdown or breakout. The P&F chart would of told you to stay in a long position as price never down ticked more than six ticks until 1346.

 

No opinion on volume bars. I try to keep it simple.

 

If an am going to compete with institutional people like Steve, I need a real edge. LOL. Sorry Steve.;)

5aa7106f7b320_footprintsupport.thumb.png.5f7aeb26e7abe75300209779072728b8.png

Edited by daVinciLite

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Im trying to set up the T&S in NT. There are options for setting the background color based on: traded at ask, above ask, at bid and below bid.

 

My question is, are the trades that traded above the ask or below the bid considered more aggressive?(newbie question.)

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  pbylina said:
Steve,

 

 

Yea, Im interested in futures. What is "NTSE tick and volume"? Why is the Level 2/Dom not important(just asking)?

 

 

I will be using MarketDelta. What are "break charts"? Would you consider the 'footprints' better than "Time and Sales"?

 

 

Ok, around key levels of Volume Profile, Pivots, etc.

 

 

Ok I will try.:)

Heres a cool interview of a guy who uses Order Flow:

 

Okay well I don't have a l ot of time because I am trading the Globex this evening, First it is the "NYSE" TICK and it represents the number of stocks ticking up minus the number of stocks ticking down on the New York Stock Exchange. based on the readings, a trader can quickly see the intraday direction of the broad market as represented by stocks on the New York Stock Exchange. In addition, skilled traders use the tick as a way to get favorable entry on trades (and for so many other things)...

Volume is what I use to confirm my entries off of the NYSE Tick....once I am in a trade I use the $VOLD and $ADD (Esignal volume data) to show me whether institutional traders are "with me" or "against me"...I also use these data points to show me when to exit.

I was trained to read the tape using these data elements years ago, and now I train other traders to do the same thing....and that technique is still as effective now as it was then...I know several ways to trade but if I had to choose...clearly this method gives me the best odds of consistent success.

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  daVinciLite said:
...I could see when buyers really stepped in and drove price higher. Then on the pull back (an entry point) buyers came in at the same level and pushed prices back up....

 

I really like this statement.

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  steve46 said:
Okay well I don't have a l ot of time because I am trading the Globex this evening, First it is the "NYSE" TICK and it represents the number of stocks ticking up minus the number of stocks ticking down on the New York Stock Exchange. based on the readings, a trader can quickly see the intraday direction of the broad market as represented by stocks on the New York Stock Exchange. In addition, skilled traders use the tick as a way to get favorable entry on trades (and for so many other things)...

Volume is what I use to confirm my entries off of the NYSE Tick....once I am in a trade I use the $VOLD and $ADD (Esignal volume data) to show me whether institutional traders are "with me" or "against me"...I also use these data points to show me when to exit.

I was trained to read the tape using these data elements years ago, and now I train other traders to do the same thing....and that technique is still as effective now as it was then...I know several ways to trade but if I had to choose...clearly this method gives me the best odds of consistent success.

 

Ok Since Im currently interested in Currencies, then tell me if I got the right idea:

 

The 6E(Euro) goes up if it is stronger then Dollar. So I would actually be looking for the $NYSE Tick to be moving opposite to the 6E? My reasoning behind this is more stocks are trading down which is bad for US, therefore good for Euro.

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  pbylina said:
How do I get the NYSE "$TICK" ? I have a subscription with CME. Do I need a subscription with NYSE?

 

The "$TICK" is a data element that comes with Esignal charting...I would imagine that just about every professional level charting program has some version of the NYSE tick...Check with your data provider...this has nothing to do with the CME (NYSE stands for New York Stock Exchange)

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Thanks so much Steve for telling me about Time and Sales trading. Im having great results so far (even though I dont have $TICK yet). Heres my setup. On the left is T&S from 1 lot up. In the middle is the Bids | Asks at price(footprint). On the right is 10 lot and higher. Anyone care to share there setup?

5aa710718a4a9_TapeSetup.jpg.74c31b7662354c0fe03ef228898c88b8.jpg

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  steve46 said:
The "$TICK" is a data element that comes with Esignal charting...I would imagine that just about every professional level charting program has some version of the NYSE tick...Check with your data provider...this has nothing to do with the CME (NYSE stands for New York Stock Exchange)

 

This is what MD said,

 

"There is no symbol for the NYSE Cumulative Tick because ZenFire does not provide data for Indices and Statistics. ZenFire is Futures Data Only."

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All very well looking at these high volume markets and looking at the aggregate of order flow with some indicator....

 

If you really want to learn to trade order flow though, then look at contracts that trade a few thousand contracts a day with the ideas above. It may not be as heroic as making a killing is 6e/es/nq etc, but youl learn more quickly and make more money IMO.

 

Its easier to keep track of who is doing what and what they are doing when trading a market with fewer participants and more simplistic participants (understanding their objectives) if you look and the chart and follow T&S knowing who is doing what & where (MP theory) than trading ES/6e etc and seeing a load of 1 lots go off on the bid, then another load go off at offer etc, due to HFT & his brother & the big participants who can cover their tracks with such algos.

 

Trade Ags, softs, meats. Back to basics! Proper trading when you can understand who is doing what and who has what and where they did it. These markets are dominated by commercials with proper business objectives rather than overloaded with other speculators trading each others noise.

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  TheDude said:
All very well looking at these high volume markets and looking at the aggregate of order flow with some indicator....

 

If you really want to learn to trade order flow though, then look at contracts that trade a few thousand contracts a day with the ideas above. It may not be as heroic as making a killing is 6e/es/nq etc, but youl learn more quickly and make more money IMO.

 

Its easier to keep track of who is doing what and what they are doing when trading a market with fewer participants and more simplistic participants (understanding their objectives) if you look and the chart and follow T&S knowing who is doing what & where (MP theory) than trading ES/6e etc and seeing a load of 1 lots go off on the bid, then another load go off at offer etc, due to HFT & his brother & the big participants who can cover their tracks with such algos.

 

Trade Ags, softs, meats. Back to basics! Proper trading when you can understand who is doing what and who has what and where they did it. These markets are dominated by commercials with proper business objectives rather than overloaded with other speculators trading each others noise.

 

It makes sense.:) I was following T&S Wednesday after 5:00pm. Not much usually goes on then, compared to morning trading. But I liked it because like you said, "you can keep track easier of who is doing what". I managed to "predict" some nice moves seconds before they happened.(not to brag or anything...):missy:

 

I will definetly now check out Ags, softs and meats. Thanks for the advice!

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  pbylina said:
This is what MD said,

 

"There is no symbol for the NYSE Cumulative Tick because ZenFire does not provide data for Indices and Statistics. ZenFire is Futures Data Only."

 

That is typical of a retail broker....I would dump them..but thats just my opinion...

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  steve46 said:
That is typical of a retail broker....I would dump them..but thats just my opinion...

 

I was planning anyway to get Iqfeed... And I qualify for CME exchange fee waiver(-$67).

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  pbylina said:
Thanks so much Steve for telling me about Time and Sales trading. Im having great results so far (even though I dont have $TICK yet). Heres my setup. On the left is T&S from 1 lot up. In the middle is the Bids | Asks at price(footprint). On the right is 10 lot and higher. Anyone care to share there setup?

 

First one should be aware that in this venue, it is impossible (in my opinion) to describe how you use the Time & Sales Strip in trading....to do that one needs a way to communicate in real time and by necessity you need to have an active liquid market during RTH...

 

For the poster pbylina, all I can say now is that your display is incorrect...you don't need time in the display. After all you are looking at current price...you know what the time is...what is important however is price and size...only those two data elements...

 

To make use of the "time & sales strip" a trader monitors the way the display changes AND they also look at the NYSE tick, and other data (preferrably volume)....there are several ways to do this and one has to have patience because it requires that you direct your attention to to one data item, then scan another, then another....all as you watch price moving up and down...personally I don't a way to offer a written instruction that works. so I will simply say that you need to start by watching the data and observing how it changes in relation to price...even within my class environment I would expect it to take anywhere from a few months to more than a year for a student to become proficient enough to identify favorable trade entry this way...Once they do "get it" however...it really changes the game...

 

And finally for those who see the importance of learning to use this tool set...professionals have a way of adapting this to any liquid exchange traded market...the way they do that is to put a display similar to the NYSE tick above or to the side of any DOM (depth of market) display...typically they choose a 2 minute chart of the cash market...for example in the DAX, we would use the XETRA dax on a 2 minute time frame...this display shows you the movement of the broader market. The trader learns to compare that display (showing the ups and downs of the broad market) to the DOM showing the ups and downs of a single market or issue and one can (eventually) learn to find favorable entry based on that comparison...Again (unfortunately) my ability to do more in this environment is limited...you really have to see it in real time to get an idea of how it can work for you.. I wish I could do more, but it would be unfair to the students who I am working with at this point...I won't post again in this thread as my class has started, but I wish you all the best of luck.

 

Best of luck

Steve

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  steve46 said:
I know these methods and after long years of trial and error I would suggest your best odds of success lie with learning to read the time & sales strip (also called "reading the tape")

 

The algorithms have made this more difficult. Big players now shred orders. This isn't to say it's impossible or not useful, but especially on the ES the tape flies now, usually in a flood of 1s, 2s, and 3s. Also, the CME has recently changed how they report data. Before, if somebody threw a hundred lot on the market, you'd see it, regardless of how many people took the other side. Now, if a hundred lot trades to fifty people who each buy 2, that's what you'll see. This is, at least, how I have been led to understand it.

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  steve46 said:
For the poster pbylina, all I can say now is that your display is incorrect...you don't need time in the display. After all you are looking at current price...you know what the time is...what is important however is price and size...only those two data elements...

 

I agree the you dont need the time. But I wasnt able to turn it off because MarketDelta doesnt have that option. NinjaTrader allows the turning off of time if anyones interested. Its funny how MD doesnt have this simple option but they have everything else. I might keep the Time on for the 10+ lots because they dont happen every second like the all trades screen...

 

  Quote
Again (unfortunately) my ability to do more in this environment is limited...you really have to see it in real time to get an idea of how it can work for you.. I wish I could do more, but it would be unfair to the students who I am working with at this point...I won't post again in this thread as my class has started, but I wish you all the best of luck.

 

I completely understand. The reason I named this thread "Order Flow Advice" is because I knew order flow trading is something that you need to learn yourself but I wanted to get steered in the right direction. Thanks for all the useful information you have provided.

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  sdoma said:
The algorithms have made this more difficult. Big players now shred orders. This isn't to say it's impossible or not useful, but especially on the ES the tape flies now, usually in a flood of 1s, 2s, and 3s...

 

Read post #17. "TheDude" talks about trading lower volume instruments as a solution to this problem.:)

Edited by pbylina

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  sdoma said:
Before, if somebody threw a hundred lot on the market, you'd see it, regardless of how many people took the other side. Now, if a hundred lot trades to fifty people who each buy 2, that's what you'll see. This is, at least, how I have been led to understand it.

 

The CME also bundles orders. So if 100 one lots get stopped out at once, that process can show up as one 100-lot order. That's not to say the T&S is no longer valid. I wouldn’t mind learning to scalp ticks with the DOM, but someone is going to have to teach me one on one. The transaction costs would also have to make sense.

 

dVL

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    • Date: 31st March 2025.   Trump Confirms Tariffs on All Countries, Sending Stocks Lower.   The NASDAQ continues to trade lower due to the US confirming the latest tariffs will be on all countries. In addition to this, bearish volatility also is largely due to the higher inflation data from Friday. The NASDAQ declines to its lowest price since September 11th 2024. Core PCE Price Index - Inflation Increases Again! The PCE Price Index read 2.5% aligning with expert forecasts not triggering any alarm bells. However, the Core PCE Price Index rose from 0.3% to 0.4% MoM and from 2.7% to 2.8% YoY, signalling growing inflationary pressure. This increases the likelihood that the Federal Reserve will maintain elevated interest rates for an extended period. The NASDAQ fell 2.60% due to the higher inflation reading which is known to pressure the stock market due to pressure on consumer demand and a more hawkish Federal Reserve. Boston Fed President Susan Collins recently commented that tariffs could drive up inflation, though the long-term impact remains uncertain. She told journalists that a short-term spike is the most probable outcome but believes the current pause in monetary policy adjustments is appropriate given the prevailing uncertainties. Although, certain investment banks such as JP Morgan actually believe the Federal Reserve will be forced into cutting rates. This is due to expectations that the economy will struggle under the new trade policy. For example, JP Morgan expects the Federal Reserve to delay rate cuts but will quickly cut towards the end of 2025. Market Risk Appetite Takes a Hit! A big factor for the day is the drop in the risk appetite of investors. This can be seen from the VIX which is up almost 6%, Gold which is trading 1.30% higher and the Japanese Yen which is the day’s best performing currency. Most safe haven assets, bar the US Dollar, increase in value. It is also worth noting that all indices are decreasing in value during this morning's Asian session with the Nikkei225 and NASDAQ witnessing the strongest decline. Previously the stock market rose in value as investors heard rumours that tariffs would only be on certain countries. This bullish swing occurred between March 14th and 25th. Over the weekend, President Donald Trump indicated that the upcoming tariffs would apply to all countries, not just those with the largest trade imbalances with the US. NASDAQ - Technical Analysis In terms of technical analysis, the NASDAQ continues to obtain indications that sellers control the price action. The price opens on a bearish price gap measuring 0.30% and trades below all Moving Averages on all timeframes. The NASDAQ also trades below the VWAP and almost 100% of the most influential components (stocks) are declining in value.     The next significant support level is at $18,313, and the resistance level stands at $20,367.95. Key Takeaway Points: NASDAQ falls to its lowest since September 2024 as the US confirms tariffs on all countries, adding to inflation concerns. Core PCE inflation rises to 0.4% MoM and 2.8% YoY, increasing the likelihood of prolonged high interest rates. Investor risk appetite drops as VIX jumps 6%, gold gains 1.3%, and safe-haven assets outperform. NASDAQ shows strong bearish momentum, trading below key technical levels with support at $18,313 and resistance at $20,367.95. Always trade with strict risk management. Your capital is the single most important aspect of your trading business.   Please note that times displayed based on local time zone and are from time of writing this report.   Click HERE to access the full HFM Economic calendar.   Want to learn to trade and analyse the markets? Join our webinars and get analysis and trading ideas combined with better understanding of how markets work. Click HERE to register for FREE!   Click HERE to READ more Market news.   Michalis Efthymiou HFMarkets   Disclaimer: This material is provided as a general marketing communication for information purposes only and does not constitute an independent investment research. Nothing in this communication contains, or should be considered as containing, an investment advice or an investment recommendation or a solicitation for the purpose of buying or selling of any financial instrument. All information provided is gathered from reputable sources and any information containing an indication of past performance is not a guarantee or reliable indicator of future performance. Users acknowledge that any investment in Leveraged Products is characterized by a certain degree of uncertainty and that any investment of this nature involves a high level of risk for which the users are solely responsible and liable. We assume no liability for any loss arising from any investment made based on the information provided in this communication. This communication must not be reproduced or further distributed without our prior written permission.
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