Day Trading the E-mini Futures

[TheNegotiator 13]

It is important to note that currently the overnight high is just 1 tick above yesterday's RTH high (although it's also 3 ticks below yesterday's ETH high). So there's not much of a push higher yet.

[TheNegotiator 13]

So today is the last day of the week pre-thanksgiving holiday. To all of those in the US, I wish you all a great holiday. To all of those who aren't in the US, I wish you all a productive couple of days not trading.

 

Yesterday was still controlled by that 78.00 overall I'd say and it put in a good low at 1374.00 after Bernanke remarks about not having the tools to prevent US falling into the fiscal cliff had seen a move lower. I've outlined three nearby balances which could affect the market with the top two more likely imo to be in play today. Remember, when a balance area breaks, it can extend and fall back into the balance or it can break and look for fair prices - with previous balances as useful gauges to watch for.

 

Here's the chart:-

 

[TheNegotiator 13]

michigan nov f 82.7 vs exp 84.5

[TheNegotiator 13]

leading indicators 0.2% exp 0.1%

[TheNegotiator 13]

The market so far today has clearly lacked a spark to get it moving. It is the day before Thanksgiving though. Volume is way down and current range is 5.25 pts. Delta hasn't breached -6000 or +4000. That being said, we are at the top of the balance pretty much and therefore I feel there is probably still the potential for a move at some point today.

 

[TheNegotiator 13]

Interestingly, in spite of a positive development from the Greece debt talks overnight, the high so far only managed to take out Friday's high by 1 tick. This suggests we're not ready to move higher just yet. This could mean we test lower today then move higher. It could also mean we could struggle for a few days, weeks or until the fiscal cliff is resolved. Who knows. The immediate trend is still up. In other news, the BOE successor to Merv King has been announced as the current incumbent of the Governor of the Bank of Canada, Mark Carney. It seems like we're going foreign with not just the football team coaches these days! I'm sure he'll do well though.

 

We've already had durable goods in at 0.0% exp -0.7% prev 9.9% rev 9.2%. 10am sees consumer confidence, house price index and richmond fed. (case-shiller is at 9am too).

 

Here's an updated chart:-

 

[obradovicmilica 10]

I've read every MP book available, here's a list of them.

1. Steidlmayer on Markets

2. Steidlmayer on Markets 2nd Edition

3. Markets and Market Logic

4. 141 West Jackson

5. Markets 101

6. Mind Over Markets

7. Value Based Power Trading

8. CBOT Market Profile Study Guide

9. Markets in Profile

10. Practical Trading Applications of Market Profile

 

Kepplers book is excellent so far. More concise than Mind Over Markets. This one stands out in its clarity of presentation. It will stay with me, not because I define market structure by the statistical bell curve, but because I have gleaned ideas and concepts from Market Profile that I now call my own. I am one third through the book and am totally impressed with its layout and format.

Hello,I read some of them and my favourite is Mind Over Markets and Markets in Profile.

[TheNegotiator 13]

Today we have New Home Sales, Crude Inventories and Beige Book due out. EU's Rehn and Fed's Tarullo are due to speak but the focus is likely to be on the ongoing talks on the US fiscal cliff. The comment last night that the talks weren't progressing and the subsequent reaction was a clear indication that this is a big focal point for the market right now. The 3-day balance could well provide enough propulsion on a break to extend to test targets further below (or even above if we were to get some strong responsive buying on open) with the gap fill first on the hit list.

 

Some thoughts on a chart:-

 

[TheNegotiator 13]

One thing about that comment yesterday I am thinking is what does that really change? We know that negotiations are ongoing and currently tough to conclude so it will likely go to the 11th hour. Also, it's a purely qualitative remark. Someone thinking it they aren't going well and stating what the level of disagreement is on specific points are two different things. My feeling is there could be a move back at some point but giving the technical context I'd like to see a rejection of lower prices before jumping in front of the train. This is just one possibility. It could of course tip over an test at the very least the 'balance' area vpoc at 77.75 again and it could sell off even harder.

 

We have to plan and watch and see whether what the market is doing is aligning with our ideas. :missy:

[joshdance 10]

One thing about that comment yesterday I am thinking is what does that really change? We know that negotiations are ongoing and currently tough to conclude so it will likely go to the 11th hour. Also, it's a purely qualitative remark. Someone thinking it they aren't going well and stating what the level of disagreement is on specific points are two different things.

 

I agree -- but even the remarks that sparked the initial move off the 40s was pretty much "non news" -- "we are making progress" means jack in politics (as evidenced by where things are now). The market is really paying attention to this fiscal cliff bologna, and is quite volatile about it. But the important thing is that the 42 area was a very key technical area that the market needed to hold. And, the 06s were also technically good for a short. So, whether it's nonsense news or whatever, the technicals provide the road map.

 

It could of course tip over an test at the very least the 'balance' area vpoc at 77.75 again and it could sell off even harder.

 

This is my initial downside target.

[TheNegotiator 13]

I agree -- but even the remarks that sparked the initial move off the 40s was pretty much "non news" -- "we are making progress" means jack in politics (as evidenced by where things are now). The market is really paying attention to this fiscal cliff bologna, and is quite volatile about it. But the important thing is that the 42 area was a very key technical area that the market needed to hold. And, the 06s were also technically good for a short. So, whether it's nonsense news or whatever, the technicals provide the road map.

 

 

 

This is my initial downside target.

 

Absolutely .

[Predictor 11]

There is buying at the current lows.. as long as 87.50 holds my bias is long here (tentative). Sellers in book have pulled back to 92. Trying to get a feel here...

 

For long side, taking out 90.25 would be productive. Sellers have pulled in to this level.

 

Sellers being exhausted at 87.50 is a good example of what I was referring too. We had huge sell orders going off there but the order book imbalance and limit order demand exhausted sell orders. We subsequently developed an order flow reversal from this book imbalance.

Edited November 28, 2012 by Predictor

[Predictor 11]

It looks like a test of 90.25 is in play... sellers were unable to drive the market to new low. Often the market seems attracted to the largest quantity of resting limit orders. Housing report due here, as well.

[TheNegotiator 13]

NHS -0.3% vs exp +0.3%

[Predictor 11]

Neg, where are you getting that info? MarketWatch is reporting it as negative but bloomberg reports the number as inline with expectations. I think the prior revised is the reason the market reacted negatively.. prior was revised lower

 

NHS -0.3% vs exp +0.3%

[joshdance 10]

NHS -0.3% vs exp +0.3%

 

And prior revised down about 20K, and months supply also higher and prior revised higher, and ... just a crappy report.

[joshdance 10]

Neg, where are you getting that info? MarketWatch is reporting it as negative but bloomberg reports the number as inline with expectations. I think the prior revised is the reason the market reacted negatively.. prior was revised lower

 

Bloomberg reports correctly here:

Economic Calendar - Bloomberg

 

Released On 11/28/2012 10:00:00 AM For Oct, 2012

Prior Prior Revised Consensus Consensus Range Actual

New Home Sales - Level - SAAR 389 K 369 K 0.387 K 0.360 K to 0.401 K 368 K

[Predictor 11]

My own feeling is that these home sales aren't that important one way or another.. its a small difference. We also have the 2 PM report today too.

[TheNegotiator 13]

Sellers being exhausted at 87.50 is a good example of what I was referring too. We had huge sell orders going off there but the order book imbalance and limit order demand exhausted sell orders. We subsequently developed an order flow reversal from this book imbalance.

 

Always about context and what happens next though. If sellers are exhausted at a level it's gotta be about what happens next. If a big seller is there but doesn't know if a big responsive buyer is going to step in at an important level, selling is bound to ease off. If then there's no responsive buying (at least by otf), you know that level is in danger of being run. But then it could build a base too like it did yesterday.

 

Just wanted to point out that it's important to view the trading action in technical and auction context and then see what the next data point is after that...

[Predictor 11]

Neg, what I was referring to was extreme selling that wasn't able to drive the price.. not an easing up. The volume really built there as limit order buyer stepped in.. of course in this case the report became the driving influence. Many TA claim that high volume is what drives price.. in most cases high volume is a sign of a limit order trader exhausting demand -- but not always.. that's what makes it difficult, of course.

 

We're in another such place right now.. sellers have staked the 86 out... responding here but buyers look like they could push through. It could make sense for us to trade back to the 90 level today as larger participants wait for the 2 PM report to stake large positions.

 

What do others think about this 2PM report?

[TheNegotiator 13]

Rehn and Boehner double teaming the market there.

[Predictor 11]

Feel 90.25 being taken out was constructive... will attempt new long above at 88.50. Sellers did response at the 90.25 level.

[joshdance 10]

What do others think about this 2PM report?

 

Completely irrelevant. Much more important is Obama's speech at 11:35 am ET (IF it has anything to do with fiscal cliff). All eyes on politics now, including eurozone to some extent but particularly US. Fed issues not on the radar at the moment, and beige book is almost always a non-event.

[Predictor 11]

Was unable to get filled at 89.75... decided to go to market at 90.25 with 92 target. Nice..

 

So what happened there was I put my order above the high volume of limit orders in the book at 89.50 but a robot stepped in at 89.75 and took all the orders with a replenishing bid. Each time market came down, I wasn't able to get filled. There was responsive selling from the 90.25 and an order book imbalance, as soon as the buying pushed through that orderbook imbalance I shot in a market order.

[TheNegotiator 13]

What do others think about this 2PM report?

 

I think we're news driven