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  #238  
Old Aug 31, 2009 2:04pm
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Originally Posted by skfx View Post
This thread will be a discussion about ORDERS.
Who places them?
Why they place them?
Where they place them?


At the end of the day this IS what makes any market go up and down.
Steve,

First, thank you! But you really did say too much already! I can understand why people who are on to this took you to task.

What's funny is that a multi-billion dollar industry has to rely on this at the core of it's business model, with no easy option to change it. I read through the entire thread, and it's remarkable the energy people have put in searching for the answer. I learned a few things about microstructures and liquidity dynamics I wasn't aware of along the way. It's an interesting read.

This is the best thread on FF. ...besides picture tennis

Last edited Aug 31, 2009 7:34pm
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  #241  
Old Aug 31, 2009 9:51pm
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Originally Posted by StoragePro View Post
What is most important regarding this lengthening thread?

Where price stops and reverses.

That is the foot print of order flow. That is about all you have to know.
Yes, price reversal is why it's important, but that's not all you need to know.
A foot print is something left behind after a step has been taken.

The trigger for taking the trade is what's important.

That's what people are searching for and why this thread is so long.

All signals operate on 2 variables lining up. MACD on a moving average cross, VSA on volume spread comparison.

One without the other is not a strong enough signal to enter a trade. So, once you understand what the variables are that you're looking for, it becomes a highly effective tool.
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  #252  
Old Sep 1, 2009 7:32am
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Originally Posted by Limstylz View Post
This looks to be a standard SR trade to me, not a trade based on order-flow. How did you determine the orders at that level? Were you using market depth analysis?

I can't see any evidence of stop hunting on any of the time frames. True, I don't have access to see orders at particular levels but I don't understand your reasons for your statement of orderflow here.


yes, you do have access. you just need to know what you're looking for.
sorry. I don't mean to sound cryptic, or just show up and say, wow, look how great I'm doing. I was responding to a rather condescending post about my inability to grasp what this discussion is about. Initially, someone said, the orderflow footprint was all you needed to know, and I was clarifying a point.

Stop hunting can operate on a spike or a fast move up. Granted the hair doesn't support a classic spike on the trade I took, but the price move was very rapid and the underlying principle held. This can wipe out stuck money, so operates on a similar premise of freeing liquidity. ( correction: the GY was correlating with the USD/CHF, which did spike like a classic stop hunt. I was watching multiple priceflows, I was trading the GY but was paying attention to the USD/CHF priceflow because it was leading the market at the time. I noticed my pair stack order when I went back, that I had the USD/CHF on top, not the GY.)

The readings supported my hypothesis about how this works, so I took the trade. Not every situation is going to perform exactly the same or be text book perfect. And I made a point of trading off of what I was seeing based on the trade orderflow information. It wasn't just seeing that the PA was reaching resistance and taking a trade. I saw the setup was right in advance, and then the priceflow confirmed it. Its actually quite brilliant to see it in action. I am still testing and am not going to throw away my core system yet, but this has changed the way I trade and what I'm looking at for the better.

Anyway, I didn't post here to get pulled into a debate. Just to thank skfx, which I've done, so I've leave you in peace.

I honestly think puzzles are fun, and skfx intentionally set up the thread this way so people could enjoy themselves and learn things trying to figure it out. I doubt he'd even confirm it if you did figure it out!

You guys have been involved with this a while, so it would be like someone just showing up out of nowhere and telling you the end of a movie you're watching. It would be a shitty thing to do.

If think it would be great if everyone who gets it, doesn't reveal it, then many other people would take the time and concentration to figure it out too.

just a thought.

Last edited Sep 1, 2009 8:53am | Reason: correction
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  #713  
Old Oct 3, 2009 8:56am
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Default part 1 - reading price order flow

Price Order Flow shouldn't be a mystery.

developing the pattern recognition skills to utilize POF with PA and VSA takes long hours of study to properly master, so it isn't a magic bullet either.

The information below provides a good foundation.

I originally tried pasting this guide to reading price order flow in this post but it was too small to read so I removed it. Here's the link instead. http://www.lind-waldock.com/educatio...eature02.shtml



.

Last edited Oct 4, 2009 2:47am
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  #715  
Old Oct 3, 2009 9:28am
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Default part 2 - price order flow / bid ask size

Bid/Ask Size is also important.

You don't need to sign up for an expensive service to get this information, but you do need a feed that is linked to the larger market orders, such as an ECN or esignal, which are both within reason.

(on MBT bid ask size information is not contained in the Market Depth panel, it is contained in the Watch List panel and can help to identify more precise entries.)

For some more background on the basics of how this works I recommend reading these 2 posts by Dark Star.

http://www.forexfactory.com/showpost...24&postcount=4
http://www.forexfactory.com/showpost...18&postcount=3

I also recommend reading Harris' Market Microstructures for Practitioners
(the snippet pasted into this post is from the book)

http://books.google.com/books?id=Rd9...age&q=&f=false

I know this book has been mentioned on this thread previously. It is very thorough, and will give you all the information you need to understand the mechanics of price order flow, so I thought was worth a bump.

I would also recommend reading Wykoff's Day Trader's Bible, which has some excellent practical techniques for tape reading.
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Last edited Oct 4, 2009 2:49am
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  #716  
Old Oct 3, 2009 9:33am
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Quote:
Originally Posted by Limstylz View Post
... appears to be here: http://www.lind-waldock.com/educatio...eature02.shtml

However, this doesn't really relate to forex does it? The only problem is getting access to FOREX orderflow, not necessarily how to read it.

You need to have it in your hand before you can use it.
I was posting in 2 parts, so answered your question in my second post. You can get the orderflow information from an ECN broker.

skfx uses MBT. It is listed in his profile as his preferred broker along with Onanda.
You need a live account, not demo.

Yes, this relates to Forex.

Last edited Oct 3, 2009 9:58am
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  #718  
Old Oct 3, 2009 10:13am
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Quote:
Originally Posted by Limstylz View Post
Fudomyo,

My post was a link to the source of your information as the jpg you posted is too pixilated (is that even a word?) to read.

Having missed the part about your posts being in 2 posts, I presumed you were only posting that article with no sources of where to get orderflow information, as many others have done so before you in this thread.

My apologies for jumping to conclusions.

Having purchased an esignal feed some time back for testing purposes, I can't see anything in it that relates to orderflow....

no need to apologize.

With esignal, the basic charting package doesn't include GTIS Forex or Forex Depth. these are add-ons.

I'm currently using MBT (which is quite good), but have been talking with esignal about which add ons I need. I will share my information with you when I have more, but I have heard their data feed is quite good from a couple of traders I trust, so plan on signing up for these this month.

The GTIS volume tick data is also supposed to be very reliable as well.


.

Last edited Oct 4, 2009 1:49am
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  #721  
Old Oct 3, 2009 2:19pm
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Quote:
Originally Posted by MartinFx View Post
Darkstar about MBT. The Esignal tape does not contain traded size.
I'm not going to comment on DS' statements or his motivation for making them. Whether it be about needing to have friends who work in banks, Onanda's data, or his personal opinion about MBT.

I trade NFP on MBT and have never seen the spread at 10P. It has always been on par with other market quotes and much lower than the market makers. I know they shade larger orders, but every broker does.

We don't have access to the order books banks are looking at and never will, so, I'm not concerned with that. A market sampling is meaningful if it's properly scaled. ECNs including MBT are connected to enough larger institutions that their data, if not perfect, is representative to a degree.

My only suggestion is, rather than believe something or dismiss it based purely on another person's words, the best approach would be to test it yourself and form your own judgement. There seems to be as much disinformation as reliable information being floated about order flow data, so this seems the most sensible approach.

COT data, PA and VSA can be used to corroborate whether a brokers price orderflow data is reliable when the market hits an area where large order blocks are sitting.


(you can access live COT charts here http://www.timingcharts.com/)

I apologize, I can't comment intelligently on esignal bid ask size data until I get more information.
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  #722  
Old Oct 3, 2009 2:54pm
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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



Quote:
Originally Posted by FOREXflash View Post
To much deception and mystics here......
Ill rest my case with these links;

http://www.hartleandflow.com/5/techn...ker-in-75.html

http://www.videos.traderslaboratory....ading-Tutorial

And short text;

[Soultrader] 10:33 am: okay lets talk about the tape.. and feel free to ask any questions
[MrPaul] 10:33 am:...
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  #725  
Old Oct 3, 2009 11:42pm
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Originally Posted by FOREXflash View Post
Fudomyo, you can check the platform here; http://www.cqg.com/Products/CQG-Integrated-Client.aspx

Regards
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?


.

Last edited Oct 3, 2009 11:56pm
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  #727  
Old Oct 4, 2009 2:15am
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Originally Posted by MartinFx View Post
We know that it takes months to get the feel of a new system, especially in the case of tape reading. You will run into a cul de sac if you were looking at an unreliable feed from the beginning, so I would compare it to a reliable source first.
Hi Martin,

I agree. Developing a sound technical method for trading takes time, and if you are doing well with what you are already using, then adding any new element should be done in a cautious holistic way. So, personally, I'm in no rush to unravel Price Order Flow and am not dependent on it for my trading.

We have time on our side to get there properly. I need to upgrade my feed anyway for volume tick data, so can test price order flow data with the service I sign up with.

With the current market conditions, I don't think we're looking at months to test POF against other verification of major order blocks.

We already hit 2 major order blocks on the GY on the 24th and 25th. The cascade of Industrial limit order fills on open of the Tokyo session (25th and 28th) following the major drops of the previous NY sessions was clear verification of this. The next month we may see a lot more, so it's an opportune time for testing this method.


.

Last edited Oct 4, 2009 2:43am | Reason: typo
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  #729  
Old Oct 5, 2009 4:40am
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Default size matters

Quote:
Originally Posted by LuboLabo View Post
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.
hi Lubo,

Thanks for the info. I trade off futures data as well but only for carry trades to this point. The idea of incorporating it for intraday interests me.

MBT's spot data has bid/ask size as well.

Since this data shows the number of lots available at the bid/ask price it's significant for reading price order flow.

For example, if the bid size drops to 0 and the ask increases dramatically and is sustained across a wide enough price spread, buying becomes prohibitive in the current direction of the move and will reverse. If this has been proceeded by low spread and the opposite bid/ ask price/size setup, the dealer is driving the herd (who perceive they're getting a good deal because of high volume and liquidity in the market when in fact they're being drawn in near the peak), then the dealer sets the reversal in motion. The ability to see this information (along with other corroborating data) can give a very accurate reversal point if you know what you're looking for.

The dealer doesn't need to do this on all currencies, only the lead currency that others are correlating with, such as the USD/CHF, so you need to know which currency to be watching even if it's not the one you're trading, the move will most likely follow through on the correlating currencies in unison. During normal trading, there is parity between the bid/ask lot sizes, usually around 200/200. At a reversal it will move to 0/1000 or higher.

I'm still studying the patterns, but this is what I've observed to this point.

Last edited Oct 5, 2009 5:18am
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  #732  
Old Oct 5, 2009 5:32am
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Quote:
Originally Posted by LuboLabo View Post
I prefer use futures data coz I can read time and sale, set a volume limit etc.

Lubo.
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.
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  #734  
Old Oct 5, 2009 5:40am
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Originally Posted by LuboLabo View Post
I'm agree.... I'm in.

Lubo.
me too.

Quote:
Originally Posted by LuboLabo View Post
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.
I was looking at Delta today, but need to sign up with my data provider first. I thought it was a stand alone app but is much better that it's integrated. good stuff.

off to dinner now, will pm you later.
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