Bid_Ask Volume efs

[theplumber]

I pride myself as a pretty good tape reader and this is just my opinion and nothing else. I stated the flaw in representing the bid/ask volume as a function of price but MarketDelta has a better way, which if you could duplicate in efs would be much better at market "tells" than just watching the bid/ask volume. I could make a point as to why this is better, it represents what players are doing and how cancellations effect bid/ask volume studies, but it would take too long and this may help better.

2 edits, my charts are CST and MarketDelta's are EST, so 1 hour difference. Also, on my chart below it says seeling and should say selling instead.

[bfry5282]

Hi Plumber,
Interesting charts, but I don't understand them...
What is the "white volume" that you're looking for, and how is that indicator determined? Looks like it nails pivots?
What is this measure of 'capitulation'?
Could you step through the logic of your argument?
Thanks.

[theplumber]

Originally posted by bfry5282
Hi Plumber,
Interesting charts, but I don't understand them...
What is the "white volume" that you're looking for, and how is that indicator determined? Looks like it nails pivots?
What is this measure of 'capitulation'?
Could you step through the logic of your argument?
Thanks.

The white volume is just the bid/ask efs floating around here. The white is inside volume, but I've shrunk the size of the bid and ask size of the stick and oversized the white inside volume, nothing fancy. What I've noticed is how bids or ask prices "walk away" from price when they sense they are being overwhelmed. This is from my experience of trading overlooking the pits and seeing dealers support price S/R the first time and then walk away the next time, but putting up a price as if to support but cancel, price moves through and shows up as inside volume and then they step up to pick price on the cheap. Also, when price has no bizness being where it is, it's slammed like the top today at 13:15, just like shaking a tree and seeing what falls. Well price fell. So the white inside volume can mark price capitulation or direct reversals. The MarketDelta I use to confirm the CIT, pretty much nothing else, but that's where the money is. Catching the CIT as early as possible right?

[bfry5282]

The only thing I've done in this regard is to "test" bid/ask firmness, by recording the bidders "retreating" or "remaining" at the bid when there's actually a trade to the bid.

On a fair exchange such as Globex, bidders are at risk of being filled. They can't back away once a bid hits them. But they can back away *after* a trade occurs to the bid, if they're only spoofing the bid, and don't really want to buy...

So I "believe" the bidders if they are persistent at the bid when there are actually retail sales occurring to the bid. Otherwise, I don't believe the numbers show real buying pressure.

Not sure whether this relates at all to your analysis... ?

[theplumber]

Originally posted by bfry5282
The only thing I've done in this regard is to "test" bid/ask firmness, by recording the bidders "retreating" or "remaining" at the bid when there's actually a trade to the bid.

On a fair exchange such as Globex, bidders are at risk of being filled. They can't back away once a bid hits them. But they can back away *after* a trade occurs to the bid, if they're only spoofing the bid, and don't really want to buy...

So I "believe" the bidders if they are persistent at the bid when there are actually retail sales occurring to the bid. Otherwise, I don't believe the numbers show real buying pressure.

Not sure whether this relates at all to your analysis... ?

This is some of the games I saw while overlooking the pits at the CME. Most of the size is done by these locals, like throwing out multiple 200 bids, then when they see volume not backing off on the ask side and nibbling like 50 at a time they cancel, which they have a huge advantage b/c they are plugged in directly to the CME. This happens so fast that thier order shows BUT when looking through the time and sales their order wasn't filled. It isn't really spoofing but just good trade management and we as being the public and not plugged into the CME directly don't have that ability to duplicate so we look at it with contempt. What sppoks them? Most of the time it's the action in the pits, but sometimes it's sniffing out program trades hitting, which is why I collect all 500 S&P stocks and run an algorithm to try and detect programs, but that's another story. Lets say there are 1000 on the bid and 1000 on the ask. 200 of the bid price gets slammed and then all of the sudden there isn't 800 left but only 50 and price moves down to challenge the next price below which has only 200, which gets taken out with stops by the 200 that got hit just a fraction of a second ago (yes these guys work with that tight of stops). So after a move of .50 all of the sudden size comes in and supports the bid and drives up price back to where is was at the 1000X1000 level just a second ago. This happens maybe a thousand times a day and is the nature of ES. Hell, I've done it with just 200, only trying to get .25-.50. Watching them and learning what scares them and what doesn't has made my tape reading so much better. In fact I watched a group of 5 guys there with a controlling interest of 5000 contracts, and they act together, cancelling, letting price fall and then squeezing just for .50. Of course this is called price revisitation, but if you use size it can be nerve wrecking if you don't know what's going on. I guess what I'm trying to say is there really isn't any one software or efs that gives the magic hidden truth, at least not in my opinion, but some of you efs experts could maybe make something based on what I've said, would be better than just the bid/ask volume efs alone.

[bfry5282]

I don't trade ES because it's over-crowded in the price tiers, and prefer ER2 (AB). In any of these issues, I track cumulative bid/ask bias over defined periods of time as one indicator for pivot.

But I've been frustrated at not having access to the outer bid/ask tiers from efs, so I don't know at this time how to do an analysis of the book from the esignal feed.

ES traders may not realize that it's nearly impossible to get a wholesale fill due to crowding. So in order to profit short term you need to choose trade setups for movements where retail-in and retail-out can give you a few ticks. I find that's very difficult in ES so I avoid it.

[michaelm]

Originally posted by theplumber
I pride myself as a pretty good tape reader and this is just my opinion and nothing else. I stated the flaw in representing the bid/ask volume as a function of price but MarketDelta has a better way, which if you could duplicate in efs would be much better at market "tells" than just watching the bid/ask volume. I could make a point as to why this is better, it represents what players are doing and how cancellations effect bid/ask volume studies, but it would take too long and this may help better.

2 edits, my charts are CST and MarketDelta's are EST, so 1 hour difference. Also, on my chart below it says seeling and should say selling instead.

theplumber,

is there an EFS to show "slamming" on volume chart?

[theplumber]

Originally posted by michaelm
theplumber,

is there an EFS to show "slamming" on volume chart?

That would be trades at the bid/ask price itself, but without seeing it on a ladder entry screen like Jtrader or xtrader I don't think it can be represented other than just volume @ the bid or ask. Aggressive traders do a mix of 75% market (which would be just hitting the bid or ask trading ES) or outside limit orders based on some kind of technical study/studies. I like to keep my technicals to a minimum, like stochastics and cyclical models, that's it. Other than that my trades are based on the price action, which includes AD line, tick reading, watching for outside trades with the bid/ask efs and the use of MarketDelta (it has grown on me considerably in the last 2 months). Look at the tick reading and the overlay of a $DECL and $ADV chart. This is what EVERY trend day looks like. I posted the chart below here http://traders-talk.com/mb2/index.php?showforum=2 showing that sellers were being absorbed today. I can show over and over where some technical indicator fails , hell even cyclical models fail and I revert to larger time frames, but price action and what other trader actually do with their money is what consistently works without failure. Always remember, the floor traders don't have charts, they work totally off price action and the "heavyness" of the trades (volume).

[theplumber]

I'll post this one too, it shows something else that caught my eye this morning, today is the 18th trading day of August and look at Ensigns stats for wednesday.

[theplumber]

How about someone making this efs. Subtract the bid volume from ask volume , turn it into a line in the price pane to be overlayed on the chart. Look for divergences.

hint, there are very good ones

[Seshadri]

Full circle

The whole thing has come full circle now. I am reposting my original request:

Jason,

Is it possible to get this efs modified so that it draws one line representing a ratio between Ask volume and Bid volume? The line color to be blue if the ratio is greater than 1 and to be colored red if the ratio is less than 1. This line is to be drawn for each price bar. Alternatively the Ask volume and Bid volume can be shown as two lines also. Looking forward to your comment. Thanks in advance.

Sesh

[its1111]

Hi Sesh and Plumber

I think that you are both right, but you both ask for differnt things
Plumber wants the bid minus the ask and Sesh wants the ratio.
If someone could do both, then we could see if either one or both work great. I really think this could be a great EFS.
Mark

[theplumber]

Originally posted by theplumber
How about someone making this efs. Subtract the bid volume from ask volume , turn it into a line in the price pane to be overlayed on the chart. Look for divergences.

hint, there are very good ones

MarketDelta's version. Kind of like mean reversion with price and market delta.Both are finally converging, but will monitor the rest of the day.

[theplumber]

Convergence. MarketDelta pays for itself.

[eSignal_JasonK]

Hello Sesh and theplumber,

I've put together an initial formula to handle both your requests. You can select through Edit Studies the option for the ratio or difference you want to plot. It may still need some adjustments and I'm planing on spending some more time with this tomorrow or Monday. You can download what I have so far if you want. It's a non-price study by default. So if you want to overlay on the price pane you can merge the study by holding down the Shift key and drag it over the price pane. Then go into Edit Studies and set the formula to Scale Left and Display Left. Sesh, we can't display the cumulative bid and ask numbers at the same time as the ratio because of the difference in scale. If you want to see the original BidAskVolume.efs as lines instead of the histogram all you need to do is change the default plot types and bar thickness set in preMain (see lines 13-18).

BidAskVolumeRatio.efs