The Order Book - Why Bother?

This is a discussion on The Order Book - Why Bother? within the Discretionary Trading forums, part of the Methods category; Originally Posted by VielGeld Wow, good **** DT. I have had plenty of these moments myself so I can relate. ...

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Old Feb 16, 2012, 4:43pm   #9
 
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Re: The Order Book -Why Bother?

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Originally Posted by VielGeld View Post
Wow, good **** DT. I have had plenty of these moments myself so I can relate.

We also seem to trade similarly in that we look for low risk in pullbacks.



However, while very much agreeing with you on all points, I have to disagree on just the use of a chart to feel the flow.

I use the 30s chart on FX myself to "feel the flow", and you can def. "pick tops/bottoms" if you're in tune with the market. The key is to look at trend, momentum, and significant levels at which participants will enter. The rest is experience.
Yup - maybe it's a crutch... like a lot of things, if you believe, they work a lot better. It is hard to know how much method accounts for things and how much experience does.

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Originally Posted by VielGeld View Post
Still, take it easy. Couple bad trades like that and you'll self-destruct after a while.
If every day was like that, I would worry about my hairline more than my account..

Today has been better but it's a change of pace from slow to fast... still, I am all in favour of a return to late 2011 volatility on the ES. It's been painful of late.

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Old Feb 16, 2012, 4:48pm   #10
 
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Re: The Order Book - Why Bother?

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Originally Posted by ChocolateDigestive View Post
you are good, damn good. where is your cum delta? what are you paying per RT.
I didn't put CD on the charts as it's been fairly irrelevant of late on account of the lower volume and volatility.

I can't say this 100% but with the low volume, the liquidity providers can really push things around and you get somewhat different mix of market vs limit orders. That's the way it feels anyway.

For now, I have been treating all days as slow, low volume, churny days and so I rely a lot more on the order book and a lot less on using CD as a guide.

Saying that today looks a bit more volatile but so far it's still only 10 pts from low to high intra-day. I've stopped for the day anyway now.

As for R/T I'm still with IB, so it's $4 all in... Not cheap but I like the broker.

I have friends on cheaper brokers but they are always complaining about data feeds going down, opening up in the AM and having positions open they didn't know abt etc. etc. etc...
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Old Feb 16, 2012, 4:54pm   #11
 
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Re: The Order Book - Why Bother?

Great posts, - nice explanations and very clear - quality stuff, Thanks for the insight.

G/L
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Old Feb 16, 2012, 4:55pm   #12
 
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Re: The Order Book - Why Bother?

toastie

I guess that for your style of trading precision is much more important than it is for me where "there or there abouts" suffices (although the warm glow of the occasional precise is nice ).

It follows that, for you, the right tools, finely honed are important whereas, for me, the blunt chart tool and assumptions born from a bit of TA (was your mouth out, jon) are enough.

jon
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Old Feb 16, 2012, 5:06pm   #13
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Re: The Order Book -Why Bother?

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Originally Posted by DionysusToast View Post
I cannot imagine using only a chart to enter a Day Trade. Based on a chart alone, I can't see how you'd get such refined entries and such low risk. The order flow gives you a signal long before anything is visible on the chart. This is the benefit of Tape Reading/Order Book Analysis.

Therein ends my rant.
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

Last edited by wackypete2; Feb 16, 2012 at 9:05pm. Reason: I made an incorrect mistake. It's now fixed :)
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Old Feb 16, 2012, 6:04pm   #14
 
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Re: The Order Book - Why Bother?

Quote:
Originally Posted by DionysusToast View Post
I didn't put CD on the charts as it's been fairly irrelevant of late on account of the lower volume and volatility.

I can't say this 100% but with the low volume, the liquidity providers can really push things around and you get somewhat different mix of market vs limit orders. That's the way it feels anyway.

For now, I have been treating all days as slow, low volume, churny days and so I rely a lot more on the order book and a lot less on using CD as a guide.

Saying that today looks a bit more volatile but so far it's still only 10 pts from low to high intra-day. I've stopped for the day anyway now.

As for R/T I'm still with IB, so it's $4 all in... Not cheap but I like the broker.

I have friends on cheaper brokers but they are always complaining about data feeds going down, opening up in the AM and having positions open they didn't know abt etc. etc. etc...
I get you. $4 is pricey but if it works it works.
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Old Feb 16, 2012, 9:09pm   #15
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Re: The Order Book - Why Bother?

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)?
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Old Feb 16, 2012, 11:12pm   #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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Thanks! The following members like this post: DionysusToast , rathcoole_exile
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