The Order Book - Why Bother?

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Old Feb 16, 2012, 10:12pm   #16
 
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Re: The Order Book - Why Bother?

Hey Toastie,
Best thread on t2w for a long time !
You must have put a helluva lot of time and effort into these posts.
A good read - thank you.
Richard
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Old Feb 17, 2012, 12:40am   #17
 
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Re: The Order Book -Why Bother?

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Quote:
Originally Posted by wackypete2 View Post
Excellent thread.

I'd like to throw in a good word for us chart guys so don't take this personally I'm not knocking your method. If you can get away with no losses in 4 "bad" trades then obviously you have it down pretty well. You certainly know more about order flow and Depth of Market than I do.

My trading is based on charts, lines, maybe an indicator or 2 thrown in for perspective, and an eye on fundies and news. Getting refined entries and small stops/minimal risk is dependent on 3 things:
- experience
- money management
- knowing your specific market like the back of your hand.

No 2 markets behave exactly the same due to different participants wanting or needing to get in and out for different reasons. Even stocks don't behave the same in the same sectors. That information comes from screen time and trial and error.

Peter
Fair enough....

Note that I'm also using charts too, just that I don't look anything above intra-day because I'm really looking for immediate momentum.

Whilst I might bang on a but about TA (although you might not have noticed ), I'm probably guilty of using a few of the concepts...

Quote:
Originally Posted by Dommo View Post
Thanks, DT - are you relying on IB's T&S data or another feed?

Do you use T&S to deduce the direction of market orders (ie whether the trade was driven by a market BUY or SELL order)?
Good Lord, no!!! I use Kinetick Data - IBs would be no good for what I do.

Usually, I want to get my bias from the chart and the entry is a combination of the Time & Sales and the DOM.
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Old Feb 17, 2012, 1:00am   #18
 
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Re: The Order Book - Why Bother?

I notice that in all the trades you scratched you could have probably got out for +2 ticks before you eventually scratched. This raises the question should you be taking profits off the table sooner perhaps having say a 10 tick target at the start of the session to give yourself a cushion to try and let trades run more. It really is a difficult balancing act.
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Old Feb 17, 2012, 2:27am   #19
 
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Re: The Order Book - Why Bother?

Quote:
Originally Posted by ChocolateDigestive View Post
I notice that in all the trades you scratched you could have probably got out for +2 ticks before you eventually scratched. This raises the question should you be taking profits off the table sooner perhaps having say a 10 tick target at the start of the session to give yourself a cushion to try and let trades run more. It really is a difficult balancing act.
It's not really as simple as saying "taking profits off the table sooner".

As a tape reader, you simply act on the evidence in front of your eyes. There really are no targets, besides simply keeping a watchful eye on areas of support/resistance and seeing how price behaves around those areas.

Some trades do go into profit, but can reverse very quickly and before you know it, you've closed your trade for break even.

Momentum gets you in; momentum gets you out. The nature of the overall U.S. futures these days is very choppy, meaning there is a greater likelihood of breakeven trades or small losses.
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Old Feb 17, 2012, 3:38am   #20
 
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Re: The Order Book - Why Bother?

5 star thread
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Old Feb 17, 2012, 6:48am   #21
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Re: The Order Book - Why Bother?

All you need is the Jigsaw software and level 2 data feed or do you also need Ninja?
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Old Feb 17, 2012, 7:44am   #22
 
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Re: The Order Book - Why Bother?

DionysusToast started this thread
Quote:
Originally Posted by MoonRocket View Post
All you need is the Jigsaw software and level 2 data feed or do you also need Ninja?


Actually, any GOOD DOM will do.

Xtrader + TTFeed is fine for most of the people that trade this way.
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Old Feb 17, 2012, 8:08am   #23
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Re: The Order Book - Why Bother?

Would the Order Book from a futures exchange translate accurately for those trading CFDs in the forex market?
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Old Feb 17, 2012, 8:15am   #24
 
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Re: The Order Book - Why Bother?

Quote:
Originally Posted by MoonRocket View Post
Would the Order Book from a futures exchange translate accurately for those trading CFDs in the forex market?
dude you havn't been doing your homework.
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Old Feb 17, 2012, 8:29am   #25
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Re: The Order Book - Why Bother?

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Originally Posted by ChocolateDigestive View Post
dude you havn't been doing your homework.
I don't have a mentor, I've only got teh net. Teh net don't teach me nuffin'. teh net only lies to me. Guess I'll just have do wot a modern Tom Baldwin would do just put it up and watch it.

Sorry to bother you.......Dude.
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Old Feb 17, 2012, 8:59am   #26
 
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Re: The Order Book - Why Bother?

Quote:
Originally Posted by MoonRocket View Post
Would the Order Book from a futures exchange translate accurately for those trading CFDs in the forex market?
ok I will try and help you out. From your posts by forex I believe you are talking about spot FX or a spread bet equivalent. This is an over the counter (OTC) market therefore not traded on an exchange, therefore no volume, no DOM (orderbook), no time and sales unless you are privy to an interbank FX dealing platform (I am guessing you are not). about 2% of the FX market is retail traders so if you want to go ahead and trade FX without data on the 98% of the market participants then go ahead, expect a train wreck. Some people can make forex work though but if you want orderbook, time and sales, volume it's a no go unless you want to trade the FX futures but contracts like the Emini are far more liquid.

If you trade an exchange instrument future, stock or bond then you have access to the volume, orderbook, time and sales. Here the minimum increment is 1 tick and you pay a commission to buy and sell. For the ESmini S&P contract the OP is trading tick size is $12.50 and he is paying $4 to buy and sell. So if he makes 1 tick he nets $8.50, if he scratches he nets -4$, if he makes 4 ticks he nets $46. capiche.

CFD's and SB are pants for exchange instrument, utter turd. Some leading SBs will let you trade the ESmini contract with a 2 tick spread but this puts newbies on a hiding to nothing.

My advice to newbies is pick a nice fat liquid exchange instrument, S&P, FTSE, EURO, BOND and demo that while you are saving for a decent margin to give yourself a chance. Trading the ESmini with less than $50000 is being unfair to yourself. Of course demo fills are totally different but at least you will be engaging with your market of choice


my $0.02
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Old Feb 17, 2012, 9:16am   #27
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Re: The Order Book - Why Bother?

Thankyou ChocD. for your considered response.
I have never done better since switching to the Euro/USD trading CFDs.
I find my simplistic method excellent and very safe.
As far as spreadbetting goes.....I've never looked at it, quite happy to pay my taxes, anyway I think these days it is not tax free in Aust.
I also aware no volume or order book is available on the spot forex.
But I like the concept of fine tuning the entries as ToastMan has demonstrated,
hence my question.
If I was to get a DOM feed from an exchange, would the turning points on the DOM be near enough to identical to OTC forex?
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but risk-seeking when making a decision that will lead to a certain loss." - Daniel Kahneman

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Old Feb 17, 2012, 12:41pm   #28
 
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Re: The Order Book - Why Bother?

Quote:
Originally Posted by MoonRocket View Post
Thankyou ChocD. for your considered response.
I have never done better since switching to the Euro/USD trading CFDs.
I find my simplistic method excellent and very safe.
As far as spreadbetting goes.....I've never looked at it, quite happy to pay my taxes, anyway I think these days it is not tax free in Aust.
I also aware no volume or order book is available on the spot forex.
But I like the concept of fine tuning the entries as ToastMan has demonstrated,
hence my question.
If I was to get a DOM feed from an exchange, would the turning points on the DOM be near enough to identical to OTC forex?
no as spot FX is not an exchange traded product. You could look at the 6E futures contract, open a demo account with Mirus and take a look. I dont know if it will help your spot FX trading or open up a big can of worms.
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Old Feb 17, 2012, 1:20pm   #29
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Re: The Order Book - Why Bother?

Can someone explain why you often price has to trade 1 tick through your limit order to fill you?

Also, say there's 1000 shares on the bid on a stock, and I bid 10, and someone hits 10 shares on the bid- which bidder gets those 10 shares?
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Old Feb 17, 2012, 2:24pm   #30
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Re: The Order Book - Why Bother?

Quote:
Originally Posted by Chartsy View Post
Can someone explain why you often price has to trade 1 tick through your limit order to fill you?

Also, say there's 1000 shares on the bid on a stock, and I bid 10, and someone hits 10 shares on the bid- which bidder gets those 10 shares?
Are you trading on an exchange or via spreadbet/CFD? There is a difference. Typically with spreadbet/CFD you have to cross the spread (ie your limit BUY is filled only when the SB/CFD ASK reaches your limit price (and the quoted bid is a point below your limit price).

Generally, on exchange, the limit orders should be filled first in first out.
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