Day Trading the E-mini Futures

[joshdance 10]

Let me know if you get an answer.

 

Reply from DTN forums:

Hello Josh,

 

There are two data fields for volume in IQFeed - Incremental volume and Total volume -

and they do not necessarily match.

 

Incremental volume shows the volume of the current trades and is likely the field that you are looking at when you refer to the sum of intraday volume.

 

The total volume field (shown commonly as daily volume) includes additional data that is not included in incremental volume. One of the main differences in the two fields comes from Implied trades. Implied trades are legitimate trades that come from the exchange and they do not qualify to set a last/open/high/low, but they are counted in total volume. Because of issues like that, the sum of incremental volume does not match the total volume.

[roztom 10]

I think N referred to this, but the double top two weeks ago was the location of the buying this morning. I took a +1.5 on a short this morning and was hoping for a near fill to 69, but should have had my eye out for a long due to location.

 

I had a short this morning also pulled 1.25 out also - must have been you & me moving the mkt..

 

Also was looking for the 69.50 ish..have mlvn there but the single 70.25 was where I scaled 2 tics before...

[steve46 12]

Last trade of the night for the Globex market

 

A perfect reversal pattern, occuring right at an underlying demand node, and we had confirmation from the DAX....no time based pivot however, so we simply reduce size and take the entry anyway....fortunately it worked out

 

For folks interested in learning how to trade, this (Globex) market is very easy, particularly after a regular session trend day...often the market will move within a range, and we simply play ping pong selling the highs, buying the lows depending on the first half hour distribution. This is a pattern that used to be called "MATD" (morning after a trend day).

 

time to get some sleep before RTH opens

Edited March 14, 2012 by steve46

[TheNegotiator 13]

A bit late with this into open. Expecting possible rest. Boundaries would likely be singles/overnight low to 1385 up to gap close at 1401.25.

 

Here's a chart.

 

[roztom 10]

Last trade of the night for the Globex market

 

A perfect reversal pattern, occuring right at an underlying demand node, and we had confirmation from the DAX....no time based pivot however, so we simply reduce size and take the entry anyway....fortunately it worked out

 

For folks interested in learning how to trade, this (Globex) market is very easy, particularly after a regular session trend day...often the market will move within a range, and we simply play ping pong selling the highs, buying the lows depending on the first half hour distribution. This is a pattern that used to be called "MATD" (morning after a trend day).

 

time to get some sleep before RTH opens

 

Steve: I often scalp the Globex with a few contracts while I'm doing my homework.. It seems very easy the only thing is sometimes it just stops for a while but it is very tradeable especially for a point or 2..

[bojangle 10]

i'll join in on this thread. i usually have a pretty good analysis and plan, but i'm now stuck on how to trade.

 

i've been finding that the only way to actually make money in the ES is to be able to have a majority of breakeven trades or max losses of a few ticks tops with a 90%+ win rate. if you don't have a 90% win rate, then you can't scale-out because when you lose, you're taking 2 pts + (stops less than 2 pts in the ES are non-sense) losses on full positions and your avg max win will be a few pts (market doesn't move much more than this) on 50% of your full positions..... so the math doesn't work for that strategy without a 90%+ win rate. in the ES, a all in-all out method doesn't work because there is no such thing as 1:7 risk to reward trades... hasn't been since summer of 2011 and then since 2008-2009 before that. a 90%+ win rate is practically impossible.

 

so, i'll post my plan and the results i have after trading that plan (my pnl). i trade 2 contracts, max risk of 2 pts per trade. the plan is adjusted during the day according to what i am seeing.

 

this is pretty much my last try before i quit for good and work on my other businesses. maybe you guys will be able to spot something that is wrong with my trading and i, yours.

[steve46 12]

Tom

 

I understand your comment...what traders need in this environment is an understanding of the factors that move markets in the Globex time frame....most of it is related to news, and then to economic reports....if you know how to interpret the news (and you understand what has impact and what doesn't) then instead of playing for a couple of points you can let it run (while you do your homework) and discover that you have 5 points instead of a point or two)

 

The second issue is related to the average length of a trending move....when you understand that what you see in the Globex is simply a mirror of what the Asian and European markets are doing, then you have the possibility of using those markets to help you make decisions. Ultimately "our" Globex market consists of several "opens" starting with Asia right after the close of US RTH, then going on China (the Hang Seng) and Singapore, right on to Germany's DAX and London....As a trader learns to use the available data, he or she can (if they wish) go from simply scalping to learning how to really play the overnight game.

 

I spent the majority of a my professional career doing just that.

 

For those interested you can start by becoming acquainted with sites that provide data for the Asian and European markets...including Forexpros and ForexFactory....and you should probably get acquainted with Briefing.com and/or ForexFactory's economic calendar features...they are free and allow you to plan your overnight activities.

 

Good luck folks

Steve

Edited March 15, 2012 by steve46

[bojangle 10]

going to reduce the levels i watch to strong s/r and inflection points.

 

big picture:

uptrend is still strong. buyers continuously showing aggressiveness.

 

trade plan:

line in sand at 89s. short below. long above. resistance above is 1400s. support below is 1380s.

[steve46 12]

Referring back to a previous post....here is my full session chart

 

Scanning left you can see the green and red arrows that outline the distribution that price stayed within during the Globex session...this is characteristic of the action right after a trend day...this time it carried over to the next RTH session, testing below briefly before returning to the approximate midpoint.

 

trading tests of the extremes of the data distribution tends to work well IF you have a viable approach and enough discipline to stay with the plan. Dealers choice to scale out or hit your targets...personally I scale, because I don't take 2 point losses. The previous poster was right, you can't do this unless you know your wrong quickly. That alone is why so many folks are taking a whipping right about now (repeated stop outs bleeding the account).

 

Good luck

Steve

[steve46 12]

Tonight's last Globex trade is a short entry at 1392.25 (filled at even)

 

What we were waiting for was Fitch's announcement, either to downgrade or warn the Brits

 

London wants to be insulated as much as possible from the Greece problem, however thats just not going to happen...so here we are and you can bet that people are going to react to any news that impacts the UK as this might.

 

The pattern is what we call an algorithmic reversal, with price testing value at 92 breaking down slightly as bots intercept the flow, then retesting to see if there are sellers in the crowd

 

As you can see it takes place over an extended period of time, and to the left you see the DAX moving in concert with the S&P

 

Arrows show the intial move, followed by the breakdown and then the entry signal (red arrow)

 

Scale out at 2 and then let it go....either they run with it or not...I am guessing they do not...because most participants are waiting for tomorrow's PPI, unemployment and TIC numbers....but if I am lucky I will see 3 maybe 5 points from this one. As with all these entries I leave a piece in there just in case.

[MightyMouse 12]

going to reduce the levels i watch to strong s/r and inflection points.

 

big picture:

uptrend is still strong. buyers continuously showing aggressiveness.

 

trade plan:

line in sand at 89s. short below. long above. resistance above is 1400s. support below is 1380s.

 

I would suggest that 1400 is a magnet this time instead of a resistance level. A change in perspective makes a world of difference.

 

It appears to me that the market accurately perceived there to be a lot of supply in the high 1390's. Only a fool would try to buy when there is too much supply available. When there is too much supply, the market prefers to deal with the supply at lower levels. Supply can be weak longs or persons wanting to go short. Weak longs will panic and sell right away so it is easy to steal their lunch and best to do it at cheap prices. Shorts who wanted to short at the 1400 level and instead chased the market down, getting short because they do not want to miss out, now have stops somewhere above their short entry and likely at a logical level like 1400.

 

The market now seems to have thinned out a lot of the supply and may have created demand above in the form of buy stops of those who are short or getting short trying to call a top. The market will press into areas that it perceives to have a lot of demand. If such is the case at 1400, then it will act as a magnet instead of an area of resistance this time.

 

I am not trading ES at the moment and I do best when I am entrenched in the market so I might be off a bit since I am not closely tracking the data. But, I do suspect that US Econ data today or tomorrow will likely provide the impetus to press this thing through the 1400 level.

[TheNegotiator 13]

I agree MM. I'd also add that simply, the market is vertical. Yesterday did indeed pause for thought, but unless we get a sell-off today I would think that higher prices need to be tested. 1400 is too close to act as proper resistance if momentum builds and yes they will probably push for stops above in the safe knowledge that the market is strong.

[TheNegotiator 13]

i'll join in on this thread. i usually have a pretty good analysis and plan, but i'm now stuck on how to trade.

 

i've been finding that the only way to actually make money in the ES is to be able to have a majority of breakeven trades or max losses of a few ticks tops with a 90%+ win rate. if you don't have a 90% win rate, then you can't scale-out because when you lose, you're taking 2 pts + (stops less than 2 pts in the ES are non-sense) losses on full positions and your avg max win will be a few pts (market doesn't move much more than this) on 50% of your full positions..... so the math doesn't work for that strategy without a 90%+ win rate. in the ES, a all in-all out method doesn't work because there is no such thing as 1:7 risk to reward trades... hasn't been since summer of 2011 and then since 2008-2009 before that. a 90%+ win rate is practically impossible.

 

so, i'll post my plan and the results i have after trading that plan (my pnl). i trade 2 contracts, max risk of 2 pts per trade. the plan is adjusted during the day according to what i am seeing.

 

this is pretty much my last try before i quit for good and work on my other businesses. maybe you guys will be able to spot something that is wrong with my trading and i, yours.

 

bojangle, for someone here to help you at all, they'd need to know much more than you'd possibly wish to reveal on a public forum. However, I will make a few remarks which may or may not be of use and comment on anything you have to share in future.

 

First off, planning is easy. That's something that's so enticing about trading. But when we look at what the market has done historically, we tend to ignore the things which would have been negative.

 

Then comes the question of whether you are able to stick to your plan and take your losses. The next step is clearly whether you happily ride your winners without getting too nervous. This is a balance as if you are careless then ES will reverse on you and hand you a loss. Not good.

 

My next comment is that of trading activity. When the market gets to your entry, do you have any specific method for judging its realtime validity? When you are in a trade, is there any specific activity which might cause you to exit?

 

Then comes your point about break even trades. My suggestion is that you know when a trade is good or bad way before it hits your stoploss or even your mental stop in many cases. If your losses are more often due to these stops being hit, there's something wrong. Not saying this is what is happening, just making the point.

 

Next comes the accuracy of your levels. If you are trading with a 2pt stop, you need some accuracy or you will often get stopped before the market turns.

 

Lastly is context. Context of what has recently happened, macro data, other markets, what is developing during the day etc.

 

Anyway, like I said, it's difficult to comment in anything other than broad terms and difficult to work out what is understood and what isn't. Either way, I hope this helps a little.

 

[TheNegotiator 13]

going to reduce the levels i watch to strong s/r and inflection points.

 

big picture:

uptrend is still strong. buyers continuously showing aggressiveness.

 

trade plan:

line in sand at 89s. short below. long above. resistance above is 1400s. support below is 1380s.

 

I hope this is a very simple overview of your trade plan, because otherwise it's way too broad.

 

What exactly do you mean by "line in the sand"? Do you mean that you will sell below an buy above? Do you mean that you feel the market will shift trend abovec or below? Do you believe it'll sell-off from here? I don't think you are necessarily wrong in saying it, just that you have to define what that means to you and how you are willing to trade due to it.

 

1400's I'm kinda with MM on this one. I think we are strong and if we test it then there's every chance it'll penetrate it. If it holds, that could well say something about this break higher and its overall strength and likely continuation. However, you don't mention whether or not this is just a waypoint for you or if you will be happy to sell it if it gets there. You already said you feel it's strong, so does that mean you'll only be looking to buy it or not?

[TheNegotiator 13]

I think I have this right(or at least close to right!) but I remembered that Tom said he learned MP in the 80's, so if you want to comment on the question that might be useful!!

 

Why is MP Graphic Based on Time?

[bojangle 10]

given the context, i would only short the 1400s if the day-timeframe was weak and then only would i short it on first test. the big picture is up and strong, but if the timeframe in which i trade (day) is weak, i'll take that short.

 

reading the order-flow in the ES is kind of useless except for reducing heat... changes too rapidly.

 

thinking about it, pretty much the only areas i think are really tradable are "inflection" points where if my stop is hit, i am wrong. if my stop is hit and my idea is not wrong, then what was the point? i would be relying on the entry to be right which is pointless as the ES changes rapidly in the micro.

 

so, the only tradable pre-defined area as of right now is the 89s-90s. the day timeframe can present some more opportunities, but i'll only be looking to take ones where there is potential for real reward and not 1 pt or 2 and where, if i am stopped out, i am wrong.

 

the idea of S/R is romantic, but if i am not wrong when stopped out.... what is the point in the trade?

[TheNegotiator 13]

given the context, i would only short the 1400s if the day-timeframe was weak and then only would i short it on first test. the big picture is up and strong, but if the timeframe in which i trade (day) is weak, i'll take that short.

 

What would you think it would look like if it were "weak" at 1400? Right now, we'd had to auction higher to even get there, although that could change by rth open.

 

reading the order-flow in the ES is kind of useless except for reducing heat... changes too rapidly.

 

I can think of a good number of people who would disagree with this. Are you thinking in general or at the specific areas you define for possible entry?

 

so, the only tradable pre-defined area as of right now is the 89s-90s. the day timeframe can present some more opportunities, but i'll only be looking to take ones where there is potential for real reward and not 1 pt or 2 and where, if i am stopped out, i am wrong.

 

That's your only area to trade in is it?

 

the idea of S/R is romantic, but if i am not wrong when stopped out.... what is the point in the trade?

 

There's a chance that you are just wrong in your s/r levels and how you apply/trade them. But remember, even the very best methods and traders lose, so don't expect that you can't be stopped out without being "wrong" using a method that is actually viable.

[roztom 10]

I think I have this right(or at least close to right!) but I remembered that Tom said he learned MP in the 80's, so if you want to comment on the question that might be useful!!

 

Why is MP Graphic Based on Time?

 

Back then we didn't have volume so time was a proxy for volume the theory being thast the more time spent at price the more business (volume) was done there. The POC was the proxy for high volume (VPOC). Very logical at the time... but not accurate based on today's data...

 

Still a heck of a concept... especially back then.. and it still is today.

 

In addition the concept of auction theory was formalized, I believe it was never put into a specific structure like that previously - I could be wrong. I had formed my own opinion about rotations - mostly around the concepts of the market needing to go where the business was to be transacted (stops) and that was how I saw the market before MP.. Auction theory helped me put those concepts into better context.

[roztom 10]

given the context, i would only short the 1400s if the day-timeframe was weak and then only would i short it on first test. the big picture is up and strong, but if the timeframe in which i trade (day) is weak, i'll take that short.

 

reading the order-flow in the ES is kind of useless except for reducing heat... changes too rapidly.

 

thinking about it, pretty much the only areas i think are really tradable are "inflection" points where if my stop is hit, i am wrong. if my stop is hit and my idea is not wrong, then what was the point? i would be relying on the entry to be right which is pointless as the ES changes rapidly in the micro.

 

so, the only tradable pre-defined area as of right now is the 89s-90s. the day timeframe can present some more opportunities, but i'll only be looking to take ones where there is potential for real reward and not 1 pt or 2 and where, if i am stopped out, i am wrong.

 

the idea of S/R is romantic, but if i am not wrong when stopped out.... what is the point in the trade?

 

I read that you look for a 90% win rate.. IMHO that is completely unrealistic... Win means not to lose $.. chances are if you chase that high a win rate you will wipe out any small gains with stops. The probabilities drop as you expand your targets but the offset is you get more yield for your risk... You need the yield otherwise you will be upside down...

[bojangle 10]

Originally Posted by bojangle »

given the context, i would only short the 1400s if the day-timeframe was weak and then only would i short it on first test. the big picture is up and strong, but if the timeframe in which i trade (day) is weak, i'll take that short.

What would you think it would look like if it were "weak" at 1400? Right now, we'd had to auction higher to even get there, although that could change by rth open.

 

Quote:

Originally Posted by bojangle »

reading the order-flow in the ES is kind of useless except for reducing heat... changes too rapidly.

I can think of a good number of people who would disagree with this. Are you thinking in general or at the specific areas you define for possible entry?

 

Quote:

Originally Posted by bojangle »

so, the only tradable pre-defined area as of right now is the 89s-90s. the day timeframe can present some more opportunities, but i'll only be looking to take ones where there is potential for real reward and not 1 pt or 2 and where, if i am stopped out, i am wrong.

That's your only area to trade in is it?

 

Quote:

Originally Posted by bojangle »

the idea of S/R is romantic, but if i am not wrong when stopped out.... what is the point in the trade?

There's a chance that you are just wrong in your s/r levels and how you apply/trade them. But remember, even the very best methods and traders lose, so don't expect that you can't be stopped out without being "wrong" using a method that is actually viable.

 

-----------------------------------------------------

 

I'm trading the day timeframe, so weakness would be price moving without momentum upwards, away from value/acceptance. doesn't mean it won't break up eventually, it just means that right now, in my timeframe that i trade, there is no conviction to the upside.

 

regarding order-flow, i am talking about everywhere. the majority of the time it changes in a second from what it was... so it is very unreliable.

 

the 89s-90s are basically my only good pre-defined trading spot besides strong res at 1400s and strong support at the 67s (moved prior support area down). the day timeframe can set up in w/e way it will and inflection points can arise in the short-term and that inflection point at the 89s-90s can be eliminated based on what the market does in the day-timeframe.

 

i use volume profiling to determine my s/r and i mostly place the extremes of the s/r zones at the extremes. it's just the way they're traded.... if i am not wrong there and the s/r isn't strong, then there is no point to put on a trade as i have already concluded, at least for now, that the micro/order-flow is pretty much useless except for attempting to reduce heat and watching for absorption (even that isn't very reliable) so why would i use that to define when i am wrong?

 

anyways, you know my levels now.

[TheNegotiator 13]

Yesterday we did get the pause as suspected. Overnight has been mainly skewed up but within yesterday's range. Still unable to take 1393.75/94.25 area though. Philly Fed at 10am could well provide some fuel and there are some decent releases tomorrow too.

 

Here's a chart:-

 

[TheNegotiator 13]

bojangle, may I suggest to just take a look at order flow at and around those points you have decided as possible entries. I think watching order flow all the time it is difficult to say the least and possibly not useful anyway. See how it goes.

[bojangle 10]

I read that you look for a 90% win rate.. IMHO that is completely unrealistic... Win means not to lose $.. chances are if you chase that high a win rate you will wipe out any small gains with stops. The probabilities drop as you expand your targets but the offset is you get more yield for your risk... You need the yield otherwise you will be upside down...

 

not having a high win rate entails being able to read the useless micro... a skill hardly anyone has, IMO. i need to trade at meaningful levels that produce meaningful movements to make up for a 2 pt minimum stop that is absolutely required in the ES. if i can't make up what i gain from losing, then i have to move on to another market and conclude that the ES is a game for the people with edges within the micro.... very skilled and highly experienced traders.

 

the truth is, less than 5% are successful at trading. until someone posts their real trades that they really took, it's all just text.

[TheNegotiator 13]

not having a high win rate entails being able to read the useless micro... a skill hardly anyone has, IMO. i need to trade at meaningful levels that produce meaningful movements to make up for a 2 pt minimum stop that is absolutely required in the ES. if i can't make up what i gain from losing, then i have to move on to another market and conclude that the ES is a game for the people with edges within the micro.... very skilled and highly experienced traders.

 

the truth is, less than 5% are successful at trading. until someone posts their real trades that they really took, it's all just text.

 

First things first, that is not what the thread is about. It's about discussing the e-minis and how they trade and are trading.

 

I think that you need to see that if you have a stop, it does mean you get stopped at that level of loss for every loser. Understanding how the market is behaving is therefore important. ES may well not be for everybody, that much is true. Many people don't enjoy it at all and would rather trade a freer flowing trendy market. Each to their ow though. You have to find what works for you.

[TheNegotiator 13]

I forgot to remind everyone of opex coming up