Reply
 
Thread Tools
  #571  
Old Sep 21, 2009 7:10pm
LuboLabo's Avatar
Order Flow Trader
 
Member Since Sep 2008
8 Vouchers  851 Posts
Default Market Depth

Hi,

There's no way to have a true market depth, order book level 2, traded contract, time and sales etc... in forex spot, due to the OTC market structure, I think even with EBS or Reuters data feed.
A way can be using forex Futures data, since reflects spot price and is 5-10% of all forex market, and has market depth.

Lubo.
__________________
If I know how, I tell You!! Few but Good!!
Reply With Quote
  #587  
Old Sep 23, 2009 2:23pm
LuboLabo's Avatar
Order Flow Trader
 
Member Since Sep 2008
8 Vouchers  851 Posts
Default Some specification

Ok, some specification of Market Depth tools,
level 2 is a tool (order book) where one can see the last 5 bid and ask price, depth of book, and sometime more... this is or can be useful for order placing.
With time and sales one can see when and at what price and order is filled.
With order flow and better with tape reading is indetend to try to coaught were when and how much orders are place, if there are more aggresive buy or sell.
Tape reading is not simple.
There are more than one way, or many startegy to do this, is not simple reading the time and sale.
There are advanced strategy that required a lot of practice.
But in the end this is useful for trading.

Lubo.
__________________
If I know how, I tell You!! Few but Good!!

Last edited Sep 23, 2009 3:49pm
Reply With Quote
  #588  
Old Sep 23, 2009 3:44pm
LuboLabo's Avatar
Order Flow Trader
 
Member Since Sep 2008
8 Vouchers  851 Posts
Default market depht example

this is an market depht from euro future with ninjatrader.
Attached Thumbnails
Click image for larger version

Name:orderflow.png
Views:189
Size:34.9 KB
ID:321907    
__________________
If I know how, I tell You!! Few but Good!!
Reply With Quote
  #589  
Old Sep 23, 2009 3:55pm
LuboLabo's Avatar
Order Flow Trader
 
Member Since Sep 2008
8 Vouchers  851 Posts
Default trade with order flow and tape reading

trading with order flow or tape reding is not to look at the number u can see on order book or time and sale, but when an instrument have a market deep there is the possibility to build indicators that take advantage from that data and cab be read from chart to help to visualize where waht kinda of order take place at certain price level etc.
__________________
If I know how, I tell You!! Few but Good!!
Reply With Quote
  #590  
Old Sep 23, 2009 4:48pm
LuboLabo's Avatar
Order Flow Trader
 
Member Since Sep 2008
8 Vouchers  851 Posts
Default an example of this tools

an example of what you ca see with market deep data.
Attached Thumbnails
Click image for larger version

Name:orderflow002.png
Views:216
Size:46.4 KB
ID:321964    
__________________
If I know how, I tell You!! Few but Good!!
Reply With Quote
  #592  
Old Sep 23, 2009 5:46pm
LuboLabo's Avatar
Order Flow Trader
 
Member Since Sep 2008
8 Vouchers  851 Posts
Default about volume

Volume is real important...
There a thread about order flow especially for volume trading, and is treated professionally by Alex_s here http://www.forexfactory.com/showthread.php?t=136907. and is very instructive.

Lubo.
__________________
If I know how, I tell You!! Few but Good!!
Reply With Quote
  #624  
Old Sep 25, 2009 4:19pm
LuboLabo's Avatar
Order Flow Trader
 
Member Since Sep 2008
8 Vouchers  851 Posts
Default CME ... esignal etc.

Quote:
Originally Posted by thesnacker View Post

Its not like the level 2 on a centralized exchange (i.e. NYSE, NASDAQ) where all the limit orders are in one place, and can be seen by all. Contrast that with the forex market, for example the CME book may show limit sells on EU at 1.40 of the value of $20 billion, but on some other continent some other bank who is not showing their cards on any exchange is ready to buy $80 billion at 1.40. That MIGHT blow right threw your 1.40 limit sell, depending in other quantity factors.

-snacker
Yes but since also future moves with supplie and demand, you can consider it like a good statistical sample of what happen globally on forex, and certainly who trade some high size uses some strategy like iceberging, black box trading etc...

Quote:
Originally Posted by supremeChaos View Post
eSignal? 200-300(?) sources/contributors.

eSignal is useless since don't have market depth, it's only aggregated feed from oder source like your broker, don't waste your money...

Lubo.
__________________
If I know how, I tell You!! Few but Good!!
Reply With Quote
  #625  
Old Sep 25, 2009 4:24pm
LuboLabo's Avatar
Order Flow Trader
 
Member Since Sep 2008
8 Vouchers  851 Posts
Default this is order flow

this is order flow, and if you look fine you can see where the sell pressure begin.
Attached Thumbnails
Click image for larger version

Name:orderflow003.png
Views:284
Size:62.7 KB
ID:323442    
__________________
If I know how, I tell You!! Few but Good!!
Reply With Quote
  #626  
Old Sep 25, 2009 4:28pm
LuboLabo's Avatar
Order Flow Trader
 
Member Since Sep 2008
8 Vouchers  851 Posts
Default about orderflow before charting

If you talk about to have informatione about who why and when before those information apper on you feed, you talk maybe about trading the news in depth, or worst insider trading?

Lubo.
__________________
If I know how, I tell You!! Few but Good!!
Reply With Quote
  #629  
Old Sep 25, 2009 5:15pm
LuboLabo's Avatar
Order Flow Trader
 
Member Since Sep 2008
8 Vouchers  851 Posts
Default

Quote:
Originally Posted by FOREXflash View Post
Here.....I coded this for a last 2 weeks....a real orderflow indicator!
Like thread starter said, the answer is behind the chart and
in white space.

Real good can you share it please......
__________________
If I know how, I tell You!! Few but Good!!
Reply With Quote
  #637  
Old Sep 26, 2009 6:05am
LuboLabo's Avatar
Order Flow Trader
 
Member Since Sep 2008
8 Vouchers  851 Posts
Default about datafeed

I found this image for data feed route's.
EBS is used mainly for EUR/USD, USD/JPY, EUR/JPY, USD/CHF and EUR/CHF, and Reuters D2 is used for all other interbank currency pairs, mostly commonwealth pairs such as Australian dollar and British pound.
Attached Thumbnails
Click image for larger version

Name:DataFeed.png
Views:100
Size:28.4 KB
ID:323563    
__________________
If I know how, I tell You!! Few but Good!!
Reply With Quote
  #657  
Old Sep 27, 2009 5:47am
LuboLabo's Avatar
Order Flow Trader
 
Member Since Sep 2008
8 Vouchers  851 Posts
Default catching orderflow

I use this
__________________
If I know how, I tell You!! Few but Good!!
Reply With Quote
  #688  
Old Sep 30, 2009 4:27am
LuboLabo's Avatar
Order Flow Trader
 
Member Since Sep 2008
8 Vouchers  851 Posts
Default another picture of order flow

another picture of order flow
Attached Thumbnails
Click image for larger version

Name:volumeatprice002.png
Views:311
Size:78.1 KB
ID:325869    
__________________
If I know how, I tell You!! Few but Good!!
Reply With Quote
  #690  
Old Sep 30, 2009 7:07am
LuboLabo's Avatar
Order Flow Trader
 
Member Since Sep 2008
8 Vouchers  851 Posts
Default futures data to trade fx spot

Quote:
Originally Posted by daytrading View Post
That is a Futures price ladder - not cash FX.

As I mentioned in one of the posts, in the futures market matters are somewhat different. A lot of our prop-traders use TT ladders (X-Trader and MD-Trader platforms) for scalping on news, open interest etc.

All this, even with the most sophisticated software (or should I say in spite of it) is not the same in the cash market.

regards
daytrading
I use futures data to trade fx spot

Look yesterday max sel buy tick trade volume and how react price to this level. This is one of many way to use market depth from currencies futures for trade spot fx.

Lubo.
Attached Thumbnails
Click image for larger version

Name:maxvol.png
Views:126
Size:23.6 KB
ID:325954     Click image for larger version

Name:maxvol002.png
Views:87
Size:15.6 KB
ID:325955    
__________________
If I know how, I tell You!! Few but Good!!
Reply With Quote
  #692  
Old Sep 30, 2009 11:55am
LuboLabo's Avatar
Order Flow Trader
 
Member Since Sep 2008
8 Vouchers  851 Posts
Default

Quote:
Originally Posted by Porky View Post
I see how the two charts follow the same pattern but what does "max sel buy tick trade volume" mean?
I have toyed a little with futures but haven't got a good handle on it yet.
Is a max single order lots.

This is today.
Attached Thumbnails
Click image for larger version

Name:maxvol005.png
Views:168
Size:89.4 KB
ID:326159    
__________________
If I know how, I tell You!! Few but Good!!
Reply With Quote
  #694  
Old Sep 30, 2009 12:20pm
LuboLabo's Avatar
Order Flow Trader
 
Member Since Sep 2008
8 Vouchers  851 Posts
Default IMHO

This is my view of order flow, as I said in a my precedent post FX Futures is about 7% of all Forex market, and so statistical rilevant of how forex market moves.

Lubo.
__________________
If I know how, I tell You!! Few but Good!!

Last edited Sep 30, 2009 12:31pm
Reply With Quote
  #698  
Old Oct 1, 2009 4:16am
LuboLabo's Avatar
Order Flow Trader
 
Member Since Sep 2008
8 Vouchers  851 Posts
Default Market Delta

Quote:
Originally Posted by Scotty B View Post
If thats market delta, then you don't have a good data feed. You should not have all those zeros. I remember back when I got market delta I was baffled by all the zeros and could not figure it out. So I called them and they said, oh you don't have any data..Anyways, the demo data feeds are spotty anyways. So don't base anything on your current charts..try hitting your space bar with the chart pulled up, it should populate the chart with at least the last days data.

I tried MD last year and I gave up because there were a lot of problems also with data, but now I'm trying it again coz it has a real good out of the box tools that are worth for my trading stile, and seems the data with infinity future is now good.
The zero you saw on my picture are due to that I set a filter for the volume, so it displays only the box with that volume, and if u see the price react to it.

Lubo.
__________________
If I know how, I tell You!! Few but Good!!
Reply With Quote
  #700  
Old Oct 1, 2009 6:12am
LuboLabo's Avatar
Order Flow Trader
 
Member Since Sep 2008
8 Vouchers  851 Posts
Default Today worthing level

The asterics is today's max sell trade lots.
Attached Thumbnails
Click image for larger version

Name:maxvol006.png
Views:103
Size:25.0 KB
ID:326793    
__________________
If I know how, I tell You!! Few but Good!!
Reply With Quote
  #701  
Old Oct 1, 2009 9:45am
LuboLabo's Avatar
Order Flow Trader
 
Member Since Sep 2008
8 Vouchers  851 Posts
Default new big buy volume

new big buy volume on asterics
Attached Thumbnails
Click image for larger version

Name:maxvol007.png
Views:86
Size:49.2 KB
ID:326917    
__________________
If I know how, I tell You!! Few but Good!!
Reply With Quote
  #702  
Old Oct 1, 2009 11:08am
LuboLabo's Avatar
Order Flow Trader
 
Member Since Sep 2008
8 Vouchers  851 Posts
Default great battle

Great battle on orderflow, who will win?
The highlighted box are trade > 100 lots.
Attached Thumbnails
Click image for larger version

Name:maxvol009.png
Views:98
Size:51.5 KB
ID:326962    
__________________
If I know how, I tell You!! Few but Good!!
Reply With Quote
  #703  
Old Oct 2, 2009 6:50am
LuboLabo's Avatar
Order Flow Trader
 
Member Since Sep 2008
8 Vouchers  851 Posts
Default market delta problem

Quote:
Originally Posted by LuboLabo View Post
I tried MD last year and I gave up because there were a lot of problems also with data, but now I'm trying it again coz it has a real good out of the box tools that are worth for my trading stile, and seems the data with infinity future is now good.
The zero you saw on my picture are due to that I set a filter for the volume, so it displays only the box with that volume, and if u see the price react to it.

Lubo.

I have to correct myself, today Market Delta doesn't work good with data.



__________________
If I know how, I tell You!! Few but Good!!
Reply With Quote
  #705  
Old Oct 2, 2009 5:04pm
LuboLabo's Avatar
Order Flow Trader
 
Member Since Sep 2008
8 Vouchers  851 Posts
Default mistake

Quote:
Originally Posted by Scotty B View Post
Hey bud,

It doesn't matter too much.. You were not trading orderflow anyways, just market profile which is a whole other ballgame in itself.

You have fully wrong, market profile is another thing.

This is volume and traded contracts....

Cheers.

Lubo.
__________________
If I know how, I tell You!! Few but Good!!
Reply With Quote
  #709  
Old Oct 3, 2009 4:00am
LuboLabo's Avatar
Order Flow Trader
 
Member Since Sep 2008
8 Vouchers  851 Posts
Default ninjatrader indicators

Hi Giraia,
Hi FXEZ,

In NinjaTrader u can use GomCD indicator, that is delta bars indicator u can find it here the lastet version, and dValueArea indicator as volume at price indicator here.

Lubo.

edit: The limitation is that GomCD works only in real time and doesn't plot historical values
__________________
If I know how, I tell You!! Few but Good!!
Reply With Quote
  #710  
Old Oct 3, 2009 4:02am
LuboLabo's Avatar
Order Flow Trader
 
Member Since Sep 2008
8 Vouchers  851 Posts
Default market profile.

Quote:
Originally Posted by Scotty B View Post
i.e. Market Profile..It's what Market Delta is all about.

As u like.

Cheers.

Lubo.
__________________
If I know how, I tell You!! Few but Good!!
Reply With Quote
  #712  
Old Oct 3, 2009 8:09am
LuboLabo's Avatar
Order Flow Trader
 
Member Since Sep 2008
8 Vouchers  851 Posts
Default CQG

Great Post, and Great Platform CQG, unfortunately is very expensive.
__________________
If I know how, I tell You!! Few but Good!!
Reply With Quote
  #723  
Old Oct 3, 2009 3:15pm
LuboLabo's Avatar
Order Flow Trader
 
Member Since Sep 2008
8 Vouchers  851 Posts
Default

Quote:
Originally Posted by Fudomyo View Post
hi Forexflash,

Thanks for sharing this information. Do you know what software they're running in the video you posted?

TradersLab has a very good VSA section. (I'm sure you already know about this but other people may be interested in checking it out) http://www.traderslaboratory.com/forums/f151/

They don't really have much on price order flow, but this post is worth reading, very informative.

http://www.traderslaboratory.com/for...flow-2222.html
Ya, I have postet it, is CQG, great platform, great service, very expensive.

VSA is great tool, i use it with order flow, volume at price etc....

Lubo.
__________________
If I know how, I tell You!! Few but Good!!
Reply With Quote
  #728  
Old Oct 4, 2009 4:52am
LuboLabo's Avatar
Order Flow Trader
 
Member Since Sep 2008
8 Vouchers  851 Posts
Default spot depth

Quote:
Originally Posted by Fudomyo View Post
Forexflash, LuboLabo,

Thanks for this.

CQG's platform is quite impressive.

I looked into them a while back, but initially was put off by the price of their service, which is why I'm investigating esignal's GTIS/Forex Depth as an alternative. I know esignal volume tick is considered to be reliable for VSA, but would like to compare their market depth and price order flow tick data. CQG may be a better investment if their feed is more accurate.

Do they provide bid ask size tick data?


.

I don't know if they have spot data, but surely futures depth.
Don't waste your money with esignal GTIS, i have tryied it and is not more realible than a broker feed.....
The only spot data with traded size i have seen is dukascopy.
Personally I use futures data to trade spot.

If u like CQG take a look also to Market Delta.....

Lubo.
__________________
If I know how, I tell You!! Few but Good!!
Reply With Quote
  #730  
Old Oct 5, 2009 5:17am
LuboLabo's Avatar
Order Flow Trader
 
Member Since Sep 2008
8 Vouchers  851 Posts
Default futures data

I prefer use futures data coz I can read time and sale, set a volume limit etc.

Lubo.
__________________
If I know how, I tell You!! Few but Good!!
Reply With Quote
  #731  
Old Oct 5, 2009 5:29am
LuboLabo's Avatar
Order Flow Trader
 
Member Since Sep 2008
8 Vouchers  851 Posts
Default sample volume filter

this is today example with delta profile with volume filter > 50 and time an sale with volume filter > 25 single traded contracts, as u can see big lots traded hit almost the ask size (blue color on time and sale and green on chart). The blue line on chart is the higher limit of the value area of the last week.
Attached Thumbnails
Click image for larger version

Name:maxvol010.png
Views:150
Size:81.1 KB
ID:328959    
__________________
If I know how, I tell You!! Few but Good!!
Reply With Quote
  #733  
Old Oct 5, 2009 5:34am
LuboLabo's Avatar
Order Flow Trader
 
Member Since Sep 2008
8 Vouchers  851 Posts
Default ok

Quote:
Originally Posted by Fudomyo View Post
I'd like to talk more with you about using futures data to trade spot forex, perhaps other traders would be interested in joining in as well.

Maybe we could start a different thread that relates only to futures. It might be better since this thread is focused on price order flow which is a different topic.
I'm agree.... I'm in.

Lubo.
__________________
If I know how, I tell You!! Few but Good!!
Reply With Quote
  #735  
Old Oct 5, 2009 5:42am
LuboLabo's Avatar
Order Flow Trader
 
Member Since Sep 2008
8 Vouchers  851 Posts
Default Market delta

Now i'm on market delta trial with infinity futures as data feed, but i'm considering to buy their service with a data feeder.

Who start the new thread?

Lubo.
__________________
If I know how, I tell You!! Few but Good!!
Reply With Quote
  #737  
Old Oct 5, 2009 9:58am
LuboLabo's Avatar
Order Flow Trader
 
Member Since Sep 2008
8 Vouchers  851 Posts
Default ok

Ok let start a new thread: Trading Spot using Future data (Volume Trading)

Lubo.
__________________
If I know how, I tell You!! Few but Good!!
Reply With Quote
Reply

3 Traders Viewing This Thread (2 are members)
withnail, InvisibleMore than 10 Vouchers
Thread Tools


Similar Threads
Thread Thread Starter Forum Replies Last Post
Using future orderflow, to predict spot prices woo Trading Discussion 16 Jul 2, 2012 3:14pm
Vidas - Orderflow Nritv Trading Journals 1 Feb 10, 2011 1:07pm
Help.. Pending stop order when market price and Open price between broker requirement dewaforex Platform Tech 5 Apr 5, 2010 5:32am