S&P 500 & other indexes - intraday. Plus chat

re: Intra day S&P 500

wallstreetwarrior87 said:
Great video, and rather relevant to trading I think:

Just as much as that tiger jumps further than the person on the elephant assumes it will, price can travel faster and further than a trader anticipates.

A stop is never safe lol.

Very apt, was that your intention?
Click to expand...

You give me too much credit I'm afraid - I merely put it up for childish amusement and just the sheer magnificence of the tiger and the absolute stupidity of a man trying to fight it with 2 small sticks.

It has a strong resonance for me. Quite some years ago, I was at London Zoo with my ex-wife (she was my wife then, she is an ex now, not I was there with my ex because I am weird).

There is a tiger enclosure and a large portal window, about 1.5m tall, round with glass about 15cm thick. I was right next to it looking at the tiger who was stood staring at me directly, about 3m from the window. I was transfixed at just how big it was and just how crazy it looked.

It then charged the window in full attack mode slamming it's entire weight into the glass as it tried to take me out. I instinctively ran away and knocked over about 4 people who were stood behind me - I basically completely sh1t myself. I know what it feels like to be rushed by a big cat and it just isn't funny.

So poking it with a stick, well, the guys probably deserved becoming the tigers lunch.
 
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re: Intra day S&P 500

robster970 said:
You give me too much credit I'm afraid - I merely put it up for childish amusement and just the shear magnificence of the tiger and the absolute stupidity of a man trying to fight it with 2 small sticks.

It has a strong resonance for me. Quite some years ago, I was at London Zoo with my ex-wife (she was my wife then, she is an ex now, not I was there with my ex because I am weird).

There is a tiger enclosure and a large portal window, about 1.5m tall, round with glass about 15cm thick. I was right next to it looking at the tiger who was stood staring at me directly, about 3m from the window. I was transfixed at just how big it was and just how crazy it looked.

It then charged the window in full attack mode slamming it's entire weight into the glass as it tried to take me out. I instinctively ran away and knocked over about 4 people who were stood behind me - I basically completely sh1t myself. I know what it feels like to be rushed by a big cat and it just isn't funny.

So poking it with a stick, well, the guys probably deserved becoming the tigers lunch.
Click to expand...

I remember seeing a tiger for the 1st time and they certainly make every nerve in your body twitch, they are the essence of power.

you reminded me of a line in floored where the guy says ' you need the heavy calibre for the big animals'

see video from 40 seconds to 60 seconds.

Floored Official Trailer - YouTube

and here he is again from 6 minutes onwards. the guy is my hero.

http://www.youtube.com/watch?v=v2NzaswpGRg&feature=relmfu
 
re: Intra day S&P 500

Today's trade is going to make many people's hair curl:

a. ONL 1396.75, ONH 1406.25
b. Gap close at 1398.25, OAOR, gapped up, 313k CBAVOL at open though, quite low
c. Delta increasingly negative from the outset. The market is out of balance to the upside, people are trying to force it down to a gap close I reckon but it is a nice gap up and there seemed to be some conviction overnight. This conflicts with the low CBAVOL at open though. Hmmmmm
d. Note, overnight it has been driving up and it seems lower bound of value was found around 1386 yesterday - higher than I was expecting (1382), buyers of note coming in at higher prices now.
e. OK, back to today. Selling off, oh seems to be stalling around 1403.00, that was quick, long, market order at 1403.25 @ 14:37 GMT (1)
f. Bugger it has stalled around 1404.50 (2), selling off quite hard now and there was me thinking we were going for the ONH
g. Sh1t, I'm offside quick here. News doesn't look like a game changer.
h. Seems to be stalling around 1401.75, VPOC building here, interesting, delta massively negative too.
j. Jesus it's selling off again, where is this going?
k. Ahh, seems to be a re-test around VPOC, T&S busy for both buyers and sellers.
l. Jesus it's moving off down again, this IB is becoming quite wide.
m. It's around 1401.00 again - should I take a loser?
n. It doesn't feel like a trend day, I just don't know what levels the money is playing here. The OTF forcing it in a direction was not overt like in an OD, OTD or ORR. I have no reason to believe that today will not revert around the mean towards the current VPOC at 1401.75 and that this just has a wider IB than recently experienced.
o. On that basis I am going to hold and add positions at key levels I feel are important today. These are the gap close at 1398.25 and then the ONL at 1396.75 if need be. I will now make my exit target the VPOC at 1401.75. If it goes much lower than 1396.25 then I will take a big loser.
p. OK, arrived at gap, long, market order at 1398.75 at 15:26 GMT, average price now at 1401.00 (3)
q. Off it goes now, that's a good girl
r. Oh ****, that didn't even rotate up to 1401.00, where is this going, got to be the ONL now.
s. At ONL, long, market order, 1397.00 at 15:36 GMT, this better work now (4), average price now 1399.50ish
t. The re-test of the ONL now, seems like nobody else wants to trade down here.
u. ok, this is holding and volume accumulated a little down here, delta moving upwards again now.
v. This is going to grind up.
w. Seems to be struggling a little at 1399.00. Doesn't look too worrying though.
x. More grinding up now, am at BE area so not feeling too worried now. Reckon this will hit VPOC at 1401.75
y. Bang wobbling about VPOC now, timing, exit full position at 1401.75, market order at 16:13 GMT (5)
z. Jesus that was work. Out for 8 and a bit ticks before commissions on 3 x normal position size (25 ticks to be precise)
A. MAE from average price 14 and a bit ticks (1396.00), MFE 23 ticks (1404.75), exit efficiency 41%
B. Best trade opportunity for the day: not this one for certain, probably long at the ONL at 1396.25 area for an exit at the VPOC at 1401.75 netting 22 ticks with practically no risk or better still, hold on to the ONH for a whopper.
C. Well, that is Q1 over with today.
 

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re: Intra day S&P 500

robster970 said:
It then charged the window in full attack mode slamming it's entire weight into the glass as it tried to take me out. I instinctively ran away and knocked over about 4 people who were stood behind me - I basically completely sh1t myself. I know what it feels like to be rushed by a big cat and it just isn't funny.
Click to expand...

Honestly, you are such a pu$$y...

I've held & fed tigers a number of times - babies though - about 30kgs of baby tiger on your lap - still enough to do damage...

The closest I got to a tiger was at a tiger show. The fnckwits who ran the show (Thailand) accidentally let one of the tigers out and it came into the stands where we were all sitting.

It was quite funny - 2 Thai guys with little sticks on the stands 20 metres away and the whole crowd sitting there sort of transfixed. I said to the missus "we should go" - as soon as we started moving, all hell broke loose. I swear if we hadn't moved first someone would have got eaten!!!

Tigers = scary.
 
re: Intra day S&P 500

Thought this glossary of terms might be useful for some:

CBAVOL - Combined Bid Ask Volume - self explanatory
DOM - Depth of Market - the ladder thing with prices and market depth next to it
IB - Initial Balance - market profile term for the first 2 30min periods of RTH session
MAE - Maximum Adverse Excursion - how much a position you got into goes offside before it goes onside
MFE - Maximum Favourable Excursion - I usually measure this as the further a move goes onside for twice the period of time I was in the original move.
NVPOC - Naked Volume Point of Control - price where most contracts have traded in a previous day and price has not returned to that level - think liquidity here
OAIR - Open Auction In Range - RTH open occurred inside yesterday's RTH range
OAOR - Open Auction Outside Range - RTH open outside yesterday's RTH range
OD - Open Drive - Type of opening where price just shoots off in 1 direction from the bell
ONH - Overnight high - highest price for ES between close at 21:15GMT and 14:30GMT open
ONL - Overnight low - lowest price for ES between close at 21:15GMT and 14:30GMT open
ORR - Open Rejection Reverse - Type of opening where it pushes to a certain level, is overtly rejected and then buggers off in the other direction
OTD - Open Test Drive - Type of opening where price tests a level first, a little check if you will, then buggers off hard in the other direction
OTF - Other Timeframe - big money participant that pushes price away from current value
RTH - Regular Trading Hours - 14:30 GMT to 21:15 GMT - in line with NYSE hours + 15mins
T&S - Time & Sales - when and how many market orders traded at a certain price
VPOC - Volume Point of Control - basically price where most contracts have traded

I'll add to these as and when I think of others that I use.
 
re: Intra day S&P 500

So I am going to try and explain to you why I did what I did today which many will just say is 'averaging a loser'.

I have a simple view on this - I will take a loser if I need to and I did not feel that today it was necessary. This is because:

1) The market gapped up under low volumes. It was out of balance compared to where it closed yesterday and essentially the act of selling off gradually and without any sense of gusto was just the act of 'advertising for buyers'. This was not the behaviour associated with a day where there is real directional conviction.

2) As there was no real directional conviction, I felt comfortable that it would mean revert towards the VPOC. What I didn't know was exactly where buyers would come in although I obviously had a view of a number of levels where that might happen.

3) Had there been high volumes prior to the open and evidence of strong directional conviction to the downside with a solid OD, OTD or maybe an ORR opening type, I would not have tried to fade the opening swing down, nor continued to add in at gap and ONL. Part of this is knowing when to play and knowing when to stay out and today I felt comfortable playing.

4) To put this into perspective, in Q1 I have taken 43 trades of which 3 were like today's - an opening swing gone wrong in what became a mean reverting scenario. It is not something that happens a lot. One day I am sure I will get floored and have to pick up the bill on a 10% loss but for me, the rewards far outweigh the risks.
 
re: Intra day S&P 500

robster970 said:
So I am going to try and explain to you why I did what I did today which many will just say is 'averaging a loser'.

I have a simple view on this - I will take a loser if I need to and I did not feel that today it was necessary. This is because:

1) The market gapped up under low volumes. It was out of balance compared to where it closed yesterday and essentially the act of selling off gradually and without any sense of gusto was just the act of 'advertising for buyers'. This was not the behaviour associated with a day where there is real directional conviction.

2) As there was no real directional conviction, I felt comfortable that it would mean revert towards the VPOC. What I didn't know was exactly where buyers would come in although I obviously had a view of a number of levels where that might happen.

3) Had there been high volumes prior to the open and evidence of strong directional conviction to the downside with a solid OD, OTD or maybe an ORR opening type, I would not have tried to fade the opening swing down, nor continued to add in at gap and ONL. Part of this is knowing when to play and knowing when to stay out and today I felt comfortable playing.

4) To put this into perspective, in Q1 I have taken 43 trades of which 3 were like today's - an opening swing gone wrong in what became a mean reverting scenario. It is not something that happens a lot. One day I am sure I will get floored and have to pick up the bill on a 10% loss but for me, the rewards far outweigh the risks.
Click to expand...


:clap:A slendid post, sir:!::clap:

:clover:It's your account, and you can bloody well do as you please:clover:If you personally don't mind the exposure, then why should anyone else:?::clover:

(y)Good luck, and i hope it all goes well:clover:(y)
 
re: Intra day S&P 500

I'm currently reading "Zen and the art of motorcycle maintenance". I am quite a prolific reader but this one managed to escape me until recently and I am quite glad too. Most people who read this book seem to have read it in their late teens to early twenties. When you ask them about the book, they relay the narrative of the story, the man, the journey and the relationships with other characters in the book. Considering it is written in the first person and the character development with the exception of Phaedrus is pretty non-existent, it seems to me that most people will have missed the point of the book. Maybe it's just me, I don't know.

Anyway the book is littered with great one liners that echo much about trading, so I'm going to post a few up here. Draw from them what you want:

“The truth knocks on the door and you say, "Go away, I'm looking for the truth," and so it goes away. Puzzling.”

“The only Zen you find on tops of mountains is the Zen you bring there.”

“Is it hard?'
Not if you have the right attitudes. Its having the right attitudes thats hard.”

“In the high country of the mind one has to become adjusted to the thinner air of uncertainty...”

“Who really can face the future? All you can do is project from the past, even when the past shows that such projections are often wrong. And who really can forget the past? What else is there to know?”
 
re: Intra day S&P 500

Oooh, Zen and the Art of MM! I read that one when I must have been 16-17.

V. good book, though I personally preferred Lila since it felt more logically complete and thought-out. ZAMM is still awesome.

What's interesting is that everyone probably sees something different in it as they read it. Way back when, I saw a guy who tried to make a logical framework for how to see the world (his MoQ philosophy). You see parallels to trading, I saw a system.

I think I should give it another read, see what I'd see this time around...

And much thanks for the definitions as well. I'll admit I'm sometimes a bit lost in the terminology.
 
re: Intra day S&P 500

Today's trade. Opening Swing fade - bread and butter trade.

a. ONL 1400.00, ONH 1410.25
b. OAIR, CBAVOL 174k - exceedingly low!
c. Sell off from the open, looking for test of ONL
d. OK, don't trust that test, no buyers appear to be coming in. T&S quiet
e. Sellers back - pushed through ONL, let's see where this goes.
f. Gone quiet now, is this a pause? Doesn't feel like it.
g. Long, market order 1400.00 @ 14:37 GMT (1)
h. There come the buyers, that's got a bit of oomph behind it, hit 4 ticks.
i. Seems to be getting sticky around 1401.75, the RTH-Open, selling off as it goes through the infant VPOC
j. Looking to get out now, out 1401.50, market order @ 14:40 GMT (2), mistimed the exit by 1 tick.
k. 6 ticks before commissions
l. MAE 4 ticks. MFE 13 ticks, exit efficiency, 47%
m. Best trade, this one but should have run it further instead of getting spooked at the RTH-Open
n. Right, going to make a nice cup of tea now.
 

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re: Intra day S&P 500

Today's trade with a bit of scaling in due to uncertainty

a. ONH 1414.00, ONL 1407.75
b. Trend day yesterday, wouldn't be suprised if today was a consolidation day
c. OAIR, 360k(ish) CBAVOL - normal looking
d. Creeping up towards the ONH, hasn't quite made it and it's sold off already
e. Seems to be stalling around the 1410.50 level here but there isn't much volume coming through
f. Hmmm, this is going sideways a bit, VPOC has shifted down to here too but I can't see sellers being shut off
g. OK, I think this is going to resume towards the ONL
h. Scale in (50%) - Short, market order, 1410.75 at 14:56 GMT (1)
i. Oh bugger, this is going up again, that's not what I was expecting
j. So if it stalls at the ONH after trying to ping it twice already, then this is going south again.
k. OK, it is stalling, scale in rest of position (50%) - short, market order, 1413.00 at 15:08 GMT (2), average price now 1411.75+bit
l. Delta is dropping now and it's falling - good.
m. ok, it's now crossed BE and into +ve territory
n. Seems to be getting a little sticky around 1410.25 area, VPOC has moved down again, are sellers getting shut off?
o. Out, market order, sh1t, mistimed it again, 1411.75 at 15:15 GMT (3)
p. MAE (from average price) - 8 ticks, MFE 11 ticks, exit efficiency 36%
q. Best trade - short from ONH around 1413.25 to 1409.00 area, 17 ticks on offer.
r. Shouldn't really trade with a hangover.
 

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re: Intra day S&P 500

Today's trade which is a good example of getting most things right for a change.

a. ONL 1395.50, ONH 1409.00
b. So it is now moving down with now real NVPOC's below here. Will the ONL hold?
c. OAOR with 491k CBAVOL - moderate volume.
d. It is out of balance to the downside and it is immediately testing the ONL
e. This is holding, Long, market order, 1396.00 @ 14:33 GMT (1)
f. Little test again but T&S is drying up down here. Looks promising for a little shimmy up.
g. There it goes. Seems to be getting a bit sticky above the open here. T&S drying up again.
h. Out, market order at 1397.50 @ 14:42 GMT (2)
i. MAE 3 ticks, MFE 10 ticks, exit efficiency 60%
j. Best trade, this one.
k. Think I'll make a latte today.
 

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