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Behind Price-Orderflow
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Sep 21, 2009 7:10pm
|  | Order Flow Trader | | | | 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.
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Sep 23, 2009 2:23pm
|  | Order Flow Trader | | | | 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.
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Last edited Sep 23, 2009 3:49pm
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Sep 23, 2009 3:44pm
|  | Order Flow Trader | | | | market depht example this is an market depht from euro future with ninjatrader.
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Sep 23, 2009 3:55pm
|  | Order Flow Trader | | | | 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.
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Sep 23, 2009 4:48pm
|  | Order Flow Trader | | | | an example of this tools an example of what you ca see with market deep data.
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Sep 23, 2009 5:46pm
|  | Order Flow Trader | | | | 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.
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Sep 25, 2009 4:19pm
|  | Order Flow Trader | | | | CME ... esignal etc. Quote:
Originally Posted by thesnacker
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 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.
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Sep 25, 2009 4:24pm
|  | Order Flow Trader | | | | this is order flow this is order flow, and if you look fine you can see where the sell pressure begin.
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Sep 25, 2009 4:28pm
|  | Order Flow Trader | | | | 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.
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Sep 25, 2009 5:15pm
|  | Order Flow Trader | | | | Quote:
Originally Posted by FOREXflash 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...... 
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Sep 26, 2009 6:05am
|  | Order Flow Trader | | | | 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.
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Sep 27, 2009 5:47am
|  | Order Flow Trader | | | | catching orderflow I use this 
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Sep 30, 2009 4:27am
|  | Order Flow Trader | | | | another picture of order flow another picture of order flow
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Sep 30, 2009 7:07am
|  | Order Flow Trader | | | | futures data to trade fx spot Quote:
Originally Posted by daytrading 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.
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Sep 30, 2009 11:55am
|  | Order Flow Trader | | | | Quote:
Originally Posted by Porky 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.
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Sep 30, 2009 12:20pm
|  | Order Flow Trader | | | | 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.
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Last edited Sep 30, 2009 12:31pm
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Oct 1, 2009 4:16am
|  | Order Flow Trader | | | | Market Delta Quote:
Originally Posted by Scotty B 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.
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Oct 1, 2009 6:12am
|  | Order Flow Trader | | | | Today worthing level The asterics is today's max sell trade lots.
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Oct 1, 2009 9:45am
|  | Order Flow Trader | | | | new big buy volume new big buy volume on asterics
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Oct 1, 2009 11:08am
|  | Order Flow Trader | | | | great battle Great battle on orderflow, who will win?
The highlighted box are trade > 100 lots.
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Oct 2, 2009 6:50am
|  | Order Flow Trader | | | | market delta problem Quote:
Originally Posted by LuboLabo 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. 
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Oct 2, 2009 5:04pm
|  | Order Flow Trader | | | | mistake Quote:
Originally Posted by Scotty B 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.
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Oct 3, 2009 4:00am
|  | Order Flow Trader | | | | 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
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Oct 3, 2009 4:02am
|  | Order Flow Trader | | | | market profile. Quote:
Originally Posted by Scotty B i.e. Market Profile..It's what Market Delta is all about. |
As u like.
Cheers.
Lubo.
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Oct 3, 2009 8:09am
|  | Order Flow Trader | | | | CQG Great Post, and Great Platform CQG, unfortunately is very expensive.
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Oct 3, 2009 3:15pm
|  | Order Flow Trader | | | | Quote:
Originally Posted by Fudomyo | 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.
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Oct 4, 2009 4:52am
|  | Order Flow Trader | | | | spot depth Quote:
Originally Posted by Fudomyo 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?
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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.
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Oct 5, 2009 5:17am
|  | Order Flow Trader | | | | futures data I prefer use futures data coz I can read time and sale, set a volume limit etc.
Lubo.
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Oct 5, 2009 5:29am
|  | Order Flow Trader | | | | 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.
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Oct 5, 2009 5:34am
|  | Order Flow Trader | | | | ok Quote:
Originally Posted by Fudomyo 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.
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Oct 5, 2009 5:42am
|  | Order Flow Trader | | | | 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.
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Oct 5, 2009 9:58am
|  | Order Flow Trader | | | | ok
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