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  • #141
  • Dec 5, 2019 7:51am Dec 5, 2019 7:51am
Quoting DonPato
Hello again KennerU. Forgive me (still on my cell). However I would like to point out to you why I think your 2nd posted screenshot shot is a more accurate view of the order flow. On a bearish candle that breaks below the opening range (marked below with the number 022). You can see some buying that was overcome by selling when the range broke. This is not present on the same candle in your first screenshot. As well in the large bullish candle that breaks higher you can clearly see the buying tapering off. This is typical of sudden large moves as...
No problem DonPato, take your time. I will not argue with you about the accuracy, as I consider your eyes to be trained better than mine.

Quoting DonPato
As for the difference between the same price level on different time frames, this would simply be the result of more order flow over the same area that is seen on a larger time frame. Again I see this same thing in futures. A small time frame divides the order flow into numerous bars, each with a slightly different order flow/volume profile and would look markedly different when all combined together in a single (larger) time candle.
That sounds like a reasonable explanation. If I keep on observing this variation, I guess it might be something inherent to the density of available volume data.

Quoting DonPato
Adjusting the calculation to fit your idea of what it "should" look like may have other unintended consequences.
I agree but this is not what I'm after. I just find the ratios (C-L)/(H-L) and (H-C)/(H-L), which I suspect is used for buy and sell volume, too blunt.
  • #142
  • Dec 5, 2019 8:31am Dec 5, 2019 8:31am
Quoting kennerU
...I agree but this is not what I'm after. I just find the ratios (C-L)/(H-L) and (H-C)/(H-L), which I suspect is used for buy and sell volume, too blunt.
I couldn't agree more. Unfortunately we are left with extrapolating the other flow from the other available data. It is not perfect and I completely understand if you are frustrated and doubtful about this formula.

I will definitely say you are on the right path. I think even more it behooves you to try and take your tool and use it to become intimately familiar with "normal". I say WELL DONE!! You are going down the right path.
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  • #143
  • Dec 6, 2019 1:57pm Dec 6, 2019 1:57pm
Hello to everybody, I was reading in the dark cause I'm still too newbie to say something about orderflow or market structure.
But in these days, maybe reading other threads about OF, I started to see things on charts.

It could be a total waste of time but I want to try to give my contribution to this thread. I started a thread about this "thing".

In case you guys/girls(? ) want to read that...they are just 2 or 3 posts. And if it could be relevant with the OF I will continue here with you .

Cheers

https://www.forexfactory.com/showthr...8#post12651578
"In ancient times they had no statistics so they had to fall back on lies."
  • #144
  • Dec 9, 2019 5:56am Dec 9, 2019 5:56am
Quoting DonPato
{quote} I couldn't agree more. Unfortunately we are left with extrapolating the other flow from the other available data. It is not perfect and I completely understand if you are frustrated and doubtful about this formula. I will definitely say you are on the right path. I think even more it behooves you to try and take your tool and use it to become intimately familiar with "normal". I say WELL DONE!! You are going down the right path.
Thank you for your words. I diminished the timeframe variation by a more refined sampling method, using a superposition of histograms. So, now I'm either 'right' or systematically wrong.
If I have something to tell or show that could be of added value, you'll hear from me.
  • #145
  • Dec 9, 2019 7:16am Dec 9, 2019 7:16am
Quoting DonPato
Hello Friends I am starting a new thread to (hopefully) generate some productive discussions on the above subject Order flow/Volume. I have long wanted to have a thread dedicated to this subject but whenever I start it I am sidetracked by other issues or just rude insulting people that want to come in an "nay say" everything brought up. I hope if you are one such person you will kindly move along. I have addressed this issue (Order flow/Volume) in several different threads each relating to either how to recognize and anticipate price movements or...
Crystal clear, couldn't be better, the only components I look for are order flow, times and sales and volume (profile) and as you very correctly explain, price is only a result of these components interacting with each other.
  • #146
  • Dec 10, 2019 12:10am Dec 10, 2019 12:10am
Thanks DonPato for this information.
I think the orderflow thing has been told by many member here ini this forum, but your explanation is the best. very comprehensive and easy to understand.
After reading this thread, i try to find additional info in youtube, and found a very interesting video which explain the basic of orderflow and market delta.
Maybe somebody will find it useful, so i post the link here.
Inserted Video
  • #147
  • Dec 10, 2019 10:08am Dec 10, 2019 10:08am
Quoting phoenix777
Thanks DonPato for this information. I think the orderflow thing has been told by many member here ini this forum, but your explanation is the best. very comprehensive and easy to understand. After reading this thread, i try to find additional info in youtube, and found a very interesting video which explain the basic of orderflow and market delta. Maybe somebody will find it useful, so i post the link here. https://www.youtube.com/watch?v=LG1DlUAHPJk
very nice video and it explains what I've been trying to impress on readers with this thread. Thank you for this contribution. I may even look into the market delta software...it looks very intriguing and simple to use....(I need simple)
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  • #148
  • Dec 10, 2019 11:22pm Dec 10, 2019 11:22pm
First, I want to say thank you to DonPato for starting this thread. I've been getting a lot of "take your ball and go home" posts lately. Which I am sure DonPato can relate to. Normally, I would simply say, "if my answers frighten you, you should cease asking such scary questions." Instead, this time I may simply go and call this my new home (if you'll have me).

Second, I wanted to add a couple of old screenshots of mine. Along with being germane to what this thread is about, these screenshots can give you an idea of what can be done in Sierra Charts. I believe Market Delta charts are still available, but the company Market Delta is out of business. How is that for irony?

Attached Image


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Third, I wanted to post this video. THIS IS GOLD.

Inserted Video
Without VSA, you're playing checkers while the Smart Money plays chess.
  • #149
  • Dec 11, 2019 11:56am Dec 11, 2019 11:56am
Quoting DonPato
{quote} very nice video and it explains what I've been trying to impress on readers with this thread. Thank you for this contribution. I may even look into the market delta software...it looks very intriguing and simple to use....(I need simple)
IMHO If I can suggest, I just downloaded the trial of ATAS platform and until now it's the best to see the footprint/orderflow.
"In ancient times they had no statistics so they had to fall back on lies."
  • #150
  • Dec 11, 2019 3:35pm Dec 11, 2019 3:35pm
Quoting HiddenGap
s...Instead, this time I may simply go and call this my new home (if you'll have me). ..
Welcome!! Yours is an opinion I've come to value and from the beginning I hoped you might give me the benefit of your point of view. As I have stated earlier, I am going through some family health issues and cannot post more than a few words using my cell phone. I believe your input will keep momentum on this thread until I can get at least a mobile office together and post more thoroughly.

Again thanks for your time
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  • #151
  • Dec 11, 2019 6:43pm Dec 11, 2019 6:43pm
Hello All...I am fortunate enough to be in a facility with internet access and a computer to check this thread. First of all I want to thank you all for your continued support and kindness during my family emergency. It means a great deal that you took time to consider my situation and that of my family - people you've never met. I am truly thankful

Second, Thank you and welcome again to Hidden Gap. I know you will add much to this thread. In that mode I would like to call attention to some of the practical application posts I made earlier and show you real examples, provided by Hidden Gap here...again thank you!!

As you may recall I posted about exhaustion and how that looks on a chart. While most technical analysts view this by using price action WE can "see" what actually causes, what many refer to as "support" and see the exact level it occurred at:
Attached Image (click to enlarge)
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Note above the initial candle where the largest selling and almost pure selling delta occurred (marked selling exhaustion). This level was where sellers ran into a wall of liquidity that absorbed their selling and out of ALL that selling price only advanced downward 4 ticks, then bounced back to close above that level. The next two candles saw order flow dominated with buying until it too exhausted, by virtually the same mechanism, this time on the buy side. The clear and HUGE buying level but price only advanced upward another 3 ticks...and closed on that same level? BIG TIME absorption!!

Now price returns to the initial area of selling exhaustion and is now met with pure buying and the "support" level is now "confirmed". I have marked on the very next candle where my entry would've been placed, along with my take profit. In addition, I most likely would've place another order at the lows seen here, just in case a second probe (FU stop) occurred.

This is a great example of using the order flow in action and while these are 30 min candles, I can assure you it happens the same way on larger and smaller candles as well.

thank you again everyone for your time...I must now return to my primary duties.
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  • #152
  • Dec 15, 2019 3:47pm Dec 15, 2019 3:47pm
The notion of Delta (the net difference between Aggressive Buyers-Aggressive Sellers) is powerful and should be understood by all traders.

In general, a Negative Delta purports to falling prices and a Positive Delta purports to rising prices. Naturally, there are exceptions to this general rule. One such instance often occurs is when we see ABSORPTION.

Take a look at the chart below.

Attached Image (click to enlarge)
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Here we have a beautiful example of ABSORPTION at the low of the day in the ES.

There is a lot going on here, but let's start with Delta. Notice that the Delta on this rotation is Negative. But the market starts to trade higher. Why? Delta measures the net difference between Aggressive Buyers and Aggressive Sellers. During this rotation, Aggressive Sellers are trading "at the market". We know, by definition, that for every seller there is a buyer. And in this case, the buyers are being Passive. In other words, the orders of the Aggressive Sellers are being matched by the resting orders of Passive Buyers. Therefore it is absolutely true that this rotation had more Aggressive Selling than Aggressive Buying, but the Aggressive Selling is being gobbled up by a large amount of existing buy limit orders at these levels.
Without VSA, you're playing checkers while the Smart Money plays chess.
  • #153
  • Edited 12:02pm Dec 17, 2019 10:26am | Edited 12:02pm
Hello Friends...just established my "mobile" office today and am looking at some charts...its been a couple of weeks so I am trying to ease back into this.

I am currently looking at USD/JPY...well more precisely I have entered a short on this market with a pending short left to be triggered.
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I am seeing that a range has formed and price is currently near the highs. I have noted a clear exhaustion signal with some absorption currently occurring. While this open candle is still forming, I have entered a short position with a pending (liquidity) order just above the current market. We have also entered a period of low volume due to the holiday season, and as is so common, the low volume environment often becomes deceptive because the major liquidity is not present. However, low volume environments often keep ranges, ranging...so let see how this occurs.

This (as are all trades I post) are on the right hand edge...none of us knows how this will end...so you can watch how I evaluate the order flow in almost "real time".

Hello again...by way of an update...just wanted you to know how much the order flow changes just through out the course of a few hours (only 2 hours later). This is why it is important to evaluate closed candles only...this time I caught it at just the right moment...I was lucky, nothing more. However it does appear that an order flow "inversion" is forming.
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  • #154
  • Dec 17, 2019 4:00pm Dec 17, 2019 4:00pm
Hi Don,

I Hope your love one is feeling better.

I am with you on this one. This is my first attempt using orderflow, volume etc....
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Stay green!!!
  • #155
  • Dec 17, 2019 4:40pm Dec 17, 2019 4:40pm
Quoting Froggy
Hi Don, I Hope your love one is feeling better. I am with you on this one. This is my first attempt using orderflow, volume etc.... {image}
Good luck to us both!!
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  • #156
  • Dec 17, 2019 5:49pm Dec 17, 2019 5:49pm
Quoting DonPato
{quote} Good luck to us both!!
Found out in a minute JPY news!!

Edit: nothing..... so, we may have a range....?
Stay green!!!
  • #157
  • Dec 18, 2019 9:12am Dec 18, 2019 9:12am
Update on yesterday's entry:
Attached Image (click to enlarge)
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As I suspected, an "order flow inversion" did occur yesterday once all the trader was finished. And now that I have seen this I am more confident in this short entry. Of note my pending order above the market, was NOT triggered (I suspect due to the spread). Perhaps later today price will spike higher and take that position as well. Just a few days left before the holiday season, and as usual, most of the volume in the FX market is off line. So I suspect price will "wander" and not do anything of note until after the first of the year. I think that if I do not see anything of any significance occur before we break for the holidays I will close this position (win or lose) and wait until after the new year.

The point of this screen shot was to show you the order flow inversion and let you know that usually means change in the order flow...which we already expected.
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  • #158
  • Dec 18, 2019 10:51am Dec 18, 2019 10:51am
Hello Friends...I just wanted to let you know that I am reviewing this (and all my threads) on a daily basis. While I may not be available for an immediate answer, I will try to comment or answer questions within 48 hrs. I am still with my family in California and it appears my stay will be long. So, as I mentioned earlier, I have set up a mobile office and am working in the AM's during the NY open. I will try to review and comment on any question you may have and ask you to please post them as you can.

I want to keep the momentum going and to that end, I am very happy that Hidden Gap has helped out and is commenting when he/she (sorry don't really know for sure) is available. Please post any questions and lets try to resume the momentum on this thread. I know that order flow is not the easiest thing to understand or conceptualize but as I've tried to show here on this thread it is not only simple, it IS the truth of the market.

Any questions that I might be able to answer?
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  • #159
  • Dec 18, 2019 11:42am Dec 18, 2019 11:42am
Quoting DonPato
Hello Friends...I just wanted to let you know that I am reviewing this (and all my threads) on a daily basis. While I may not be available for an immediate answer, I will try to comment or answer questions within 48 hrs. I am still with my family in California and it appears my stay will be long. So, as I mentioned earlier, I have set up a mobile office and am working in the AM's during the NY open. I will try to review and comment on any question you may have and ask you to please post them as you can. I want to keep the momentum going and to that...
DP, I guess in my initial evaluation of these concepts, the idea that makes the most sense to me is the idea of absorption, i.e. large buy delta at tops of candles where price then falls afterward or large sell delta at bottom of candles where price then rises afterward.I guess my question would be, upon identifying certain conditions, i.e. P shaped profile at resistance with large buy delta volume at the top, how do you go about triggering the actual trade?

Could you share some "setups" that you use? I understand this is not a mechanical system, but typical conditions you would look for? Is what I describe in paragraph 1 a condition you would see fit for a trade?

As another example, HG seems to use "sequential declines" with perhaps a sell or buy/imbalance and/or absorption in prior supply/demand delta zones. What is a supply/demand delta zone?

Do you have a preference between the volume profile bars and the bid/ask bars (with all the numbers)? Do you find that one is easier, one provides better clarity of information, better triggers, etc., or are they interchangeable?

I probably have a million more questions as I continue to dig in, but really appreciate this thread and the comments so far.
Small disciplines repeated with consistency lead to great achievements.
  • #160
  • Dec 18, 2019 12:23pm Dec 18, 2019 12:23pm
Quoting jmflukeiii
...how do you go about triggering the actual trade?...
This is a very good question and speaks to the very heart of the study of order flow/volume. How does one use this information to interact with the market? To begin with I want to categorically repeat, I make discretionary decisions in my trading. While I have an organized ("methodized" if you like) way of looking and and evaluating the historical prices, on the right hand edge I look at how the order flow is developing and ask the following questions:

  1. What is the current state of the order flow/volume? It can only be one of two states, (1) Balanced or (2) Dominant
  2. What ever state is currently occurring, the next question is: Are there any signs of change?

    1. If the state is relatively balanced, is there any strong evidence to show a pending imbalance? And at which price level is this occurring.
    2. If the state is in a Dominant order flow be it buying or selling dominance, is there any evidence to show exhaustion in the current dominance that might suggest a new swing point?


  3. Finally, I'm sure you have all seen this occur, and I have spoken little about it, but price does move from dominant wave to balance to dominant wave, to balance. Often (not always) the 2nd dominant wave ends by forming a swing point that can be used to trigger a contrarian trade. Thus if I see dominance, then exhaustion, AND this is the second dominant wave, I will usually look hard and finding a place to take a contrarian position.

BTW this above decision making process is ongoing with every new candle that forms...it is not a "one and done" analysis. I am constantly asking these questions and evaluating the answers as conditions change whenever I am watching the markets. Sometimes these are decisions to exit as well as enter, (or add in).

Quoting jmflukeiii
...Could you share some "setups" that you use? I understand this is not a mechanical system, but typical conditions you would look for?...
There are no "setups" in my trading...it is strictly discretionary, and yes this does require some practice to become accustomed to understanding "HOW" to execute. However I think of it this way. If I can get in as close as possible to the last swing point, why wouldn't I? Sometimes that happens, most times it does not. However, if you read my thread: Hey...what about volume? you will see more specifically the criteria I use to identify the conditions I use to make those decisions.

Quoting jmflukeiii
... Do you have a preference between the volume profile bars and the bid/ask bars (with all the numbers)? Do you find that one is easier, one provides better clarity of information,...
In my futures trading I use the profiles, simply because I am more visual in my trading and I easily become overwhelmed trying to process all the numbers in the bidxask bars. Not that I cannot do it...but I cannot do it rapidly. On markets where this information is available, I tend to trade on small tick charts and just can't process it fast enough. The visual (especially with color intensity chages) is extremely helpful and I can visually identify the conditions I'm looking for.

Here is an example from this mornings trading activity right at the NY open:
Attached Image (click to enlarge)
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This is how I trade every day. I make my goal and I'm done...I do not believe in trying again and again, or make more or be greedy. I just make the goal and move on with life...especially now when my family needs me to be available for other things. Done correctly I can be (as I was today) done in about 30-60 min.
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