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Tape is my shape (tape reading, time and sales)
Started:May 20th, 2011 (07:34 AM) by bloom Views / Replies:119,397 / 901
Last Reply:December 19th, 2013 (05:06 AM) Attachments:230

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Tape is my shape (tape reading, time and sales)

Old May 27th, 2011, 03:31 PM   #41 (permalink)
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pbylina View Post
Bloom,
The orders highlighted in Green are "above ask". Why? Does that make them aggresive buyers? Are these market orders?

Yes, here you see an aggressive buyer. Just remember that well, there is a seller who plump, too))) Prints weak. I do not see here a good situation. What happened after the prints?

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Old May 27th, 2011, 03:37 PM   #42 (permalink)
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josh View Post
All trades executed are either at the current ask or bid price--basically, this is a data synchronization issue. By the time it is reported, either by the exchange or to your computer (I'm not sure which), the ask and bid have changed. So if I buy market and the best offer is 150, and after the trade is executed the best offer becomes 149, then the trade may be reported as "above the ask". Likewise, if I buy market and the best offer is 150 I am filled there, and then if the order book shows a best offer of 151, then my trade may be reported as "between the bid and ask." There is no particular extra level of "aggressiveness" that this would indicate.

The only way transactions take place is if a market order is placed. Limit orders must be matched with market orders. If 5 people will buy at no lower than 149, and 5 people are offering to sell at no less than 150, then no transaction happens. It takes one person to be willing to "pay up" to buy at 150, or one seller who's willing to sell for less than the offer, at 149, in order to do business. This is essentially how a market functions. Those willing to buy the offer or sell the bid are the only ones who can actually move price.

The exception here is if a buy limit is placed at or above the current best offer (say, a buyer places a limit buy at 151 when the best offer is 150), or a sell limit is placed at or below the current best bid (a seller places a limit sell at 148 when the best bid is 149). This limit order becomes a marketable limit order, which is essentially a market order in this context.

Thank you. Guys, I think you will be sure to check out where you the basics of how a display mechanism of interaction limit and market orders. We will not delve here into the cornerstone.

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Old May 27th, 2011, 03:47 PM   #43 (permalink)
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DionysusToast View Post
OK - let's say you see the following occuring:

High of the day.

3000 x 1 lot buy orders streaming through on the tape
3 x 1000 lot sell orders streaming through on the tape

Small retail traders buying, large institutional traders selling.

Whose side would you want to be on?

If there were 3 prints of 1000 lots each, then there are large traders selling to large traders who are buying ("large" meaning they have the dough to put up 1000 lots). That's the only objective information that can be derived here IMO.

In fact, the 3000x1 lot buy orders could very well be a 3000 lot market order from a large institutional buyer, matched with 3000 small retail traders with limit orders. Or, it could be three 1000 lot buys from large buyers, matched with iceberg-type limits from another large seller. Or any combination of these and many more scenarios.

What conclusion would you draw differently from this DT?

"Markets ... must, over time, reward risk assumption. ... Although [safe, certain paths] may produce acceptable returns on particular occasions, overall, they must be punished if risk is to be rewarded by the markets. ... The panic response of the market--whether to the upside or the downside--is rarely rewarded."
--Dr. Brett Steenbarger, Ph.D.
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Old May 27th, 2011, 04:05 PM   #44 (permalink)
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josh View Post
If there were 3 prints of 1000 lots each, then there are large traders selling to large traders who are buying ("large" meaning they have the dough to put up 1000 lots). That's the only objective information that can be derived here IMO.

In fact, the 3000x1 lot buy orders could very well be a 3000 lot market order from a large institutional buyer, matched with 3000 small retail traders with limit orders. Or, it could be three 1000 lot buys from large buyers, matched with iceberg-type limits from another large seller. Or any combination of these and many more scenarios.

What conclusion would you draw differently from this DT?

As they say in Russia, "balm for the ears. " You make my heart glad that there is someone who understands the deeper the situation. I will be glad to see you and your notes and share experiences. YOUR Trades I will look with great pleasure. Thanks man

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Old May 27th, 2011, 04:27 PM   #45 (permalink)
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Current BMT User Poll

For you, trading is a...

 
Okay. Pbylina and Josh and others who have shown interest. For you to continue to post topic.
Rolled on

I can see how pouring money and still they come, I'm in position, the money start to come out I'm going to change direction and make another trade
For this we need to look the same color ribbon to understand))) Look at it for a week or two. Think about it. You will see how the movement started on the price and the movement is growing amount of money that go into the market, and then the mass starts to melt and are stopped. You do not know the purchase or sale it was. Remember the 2 sides of the transaction limit and the market. Someone buys a marketer, but he who is selling limit. The more limits and more than a market order and the more money comes. The smaller the order, the lower part of the money.
If the price moves lower, and more and limit and market order, and their sizes grow, the movement develops. With the fading of motion is the opposite situation.

let me show you the example of Long 34 50 farther afield prints
35 00 * 100
35 00 * 200
35 00 * 150
35 25 * 100
then the above
36 00 * 250
36 00 * 400
36 00 * 500
then even higher
37 25 * 500
37 25 * 600
37 50 * 1000

You do not know of the bid or the ask, they are monochrome but you know that weight increases above that higher and higher transaction is an increasing amount of money

further example of another situation 34 50 Long
Starts moving up and you see the following
35 00 * 100
35 00 * 200
35 00 * 800
then passes all the time and price is higher
36 25 * 100
36 25 * 100
36 25 * 100
then the price goes even higher
37 25 * 100
37 25 * 50

What do you see? matter of the bid or the ask is not important, it is seen that the money is not so much.

then returned to 35 50 and
35 50 * 100
35 50 * 500
35 50 * 250
then lower
34 75 * 800
34 75 * 400
34 50 * 300
Went up and moving up the money running out. Amounts of money blown away. You see the prints of the weak and aggressive traders less. Market orders are less on the move upward, and their sizes run out. And the downward movement of order size increases. Where does the money go?

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Old May 27th, 2011, 04:40 PM   #46 (permalink)
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bloom View Post
Yes, here you see an aggressive buyer. Just remember that well, there is a seller who plump, too))) Prints weak. I do not see here a good situation. What happened after the prints?

I just wanted to take a picture of this "above ask" to show you. After this it fell 15 ticks. There was little volume trading.
But thats what I usually see during low volume times.(a lot of buying but it cant go higher, mostly small guys with 1 lots. Then it falls.) Maybe I'll make video...

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Old May 27th, 2011, 04:45 PM   #47 (permalink)
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pbylina View Post
I just wanted to take a picture of this "above ask" to show you. After this it fell 15 ticks. There was little volume trading.
But thats what I usually see during low volume times.(a lot of buying but it cant go higher, mostly small guys with 1 lots. Then it falls.) Maybe I'll make video...

Wow. It will be cool. Video ))))

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Old May 27th, 2011, 05:17 PM   #48 (permalink)
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bloom View Post
further example of another situation 34 50 Long
Starts moving up and you see the following
35 00 * 100
35 00 * 200
35 00 * 800
then passes all the time and price is higher
36 25 * 100
36 25 * 100
36 25 * 100
then the price goes even higher
37 25 * 100
37 25 * 50

What do you see? matter of the bid or the ask is not important, it is seen that the money is not so much.

then returned to 35 50 and
35 50 * 100
35 50 * 500
35 50 * 250
then lower
34 75 * 800
34 75 * 400
34 50 * 300
Went up and moving up the money running out. Amounts of money blown away. You see the prints of the weak and aggressive traders less. Market orders are less on the move upward, and their sizes run out. And the downward movement of order size increases. Where does the money go?

Are you asking where the price is going next? I would guess down? On the way up you see a 800 lot(35 00. But it doesnt go much higher from there. Then comes back and you see a 800 lot print 1 tick lowert(34 75) then the previous 800 lot. Maybe this guy changed his mind and got scared? But I would need to see the flow to make sure its flowing smooth. I hope im close.

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Old May 28th, 2011, 02:47 AM   #49 (permalink)
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pbylina View Post
Are you asking where the price is going next? I would guess down? On the way up you see a 800 lot(35 00. But it doesnt go much higher from there. Then comes back and you see a 800 lot print 1 tick lowert(34 75) then the previous 800 lot. Maybe this guy changed his mind and got scared? But I would need to see the flow to make sure its flowing smooth. I hope im close.

yes you are close.
And it's not even that price is not far away. Just compare the first example of the increasing size of orders, and second, where the size decreased. Immediately clear that Long is not supported by the big boys and the time to blame.
If you see that price breaks which is an important level, and immediately increased the size limit orders at ASK and BID, it says the input of money began. If large orders on limits begin to fill a good large size of market orders, it means aggressive side takes that liquidity, which provide at current levels. Hence the price will go further with a high probability.

it's not so easy in practice.
simple example of the day.
In the matrix are limit orders at the bid in the amount of 10000, at the ask, too, 10000, and prints on the tape 300 contracts, they are the largest. High Day 37 50.
Break high day. Immediately in the matrix is ​​put on bid limits 20000 and 30000 on ask limits. It's all in the sum))
Amateur concludes-shorts, but the mass of money increased, and it is above the high of the day.
Prints on the tape began 500 for ASK , 500 for bid , weight of money increase. And then at weak bid limits begin to aggressively take large asks.
market goes higher, the dynamics confirms

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Old May 28th, 2011, 09:53 AM   #50 (permalink)
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Tape reading and interpreting volume is not as simple as "follow the big orders." If it were, then it would be too easy to make money. And it can't be "easy" to make money in the market, for obvious reasons.

Price can move up or down, and for a much longer time than one might expect, on low volume. And a breakout of a level can occur on increased volume, and then fail and go in the other direction on low volume, perhaps increasing volume much later. See the attached chart for an example of this on ES. The two circled areas are heavier volume on the test of the low of the day. After the second test on higher volume, price moves the opposite direction, and initially, for at least 15 minutes, on quite low volume as it drifts up.

I'm not using the tape here but essentially this is what you're talking about--that simply the amount of volume as price is moving in a direction determines strength, not the actual bid or ask.

In the example I posted of ES, looking in hindsight, what can be determined is that after the second attempt down, the number of sellers willing to sell the lows had been exhausted enough that price was able to move higher. In this case, the increase of volume meant that the last batch of sellers had tried their best, and now there were relatively few left. You never know how many sellers may still be available and willing to sell, and this (supply) is what determines what will happen NEXT. Demand may not have been super high, but there was enough demand (willing buyers) relative to supply (willing sellers) to push the price up a few points.

Something I learned from a trader at another forum that will always stick in my mind is this: more volume simply means more participation. If price went up, demand was higher than supply. If price went down, supply was higher than demand. Plain and simple. Every transaction has TWO parties that participate. When the volume is high relatively, then more parties are participating (or contracts traded), and when it's low, there is less participation.

Sorry for the long post and I know this is not exactly what you're talking about, but I think it's relevant.

"Markets ... must, over time, reward risk assumption. ... Although [safe, certain paths] may produce acceptable returns on particular occasions, overall, they must be punished if risk is to be rewarded by the markets. ... The panic response of the market--whether to the upside or the downside--is rarely rewarded."
--Dr. Brett Steenbarger, Ph.D.
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