| Intensity
of Short Term Commercial Trade |
TPT
Market Heads-Up Display |
Higher
Frequency Scalping - Trading The Hum |
Session
Net New Trade |
Harmonic
of Buying/Selling Power |
Order
flow Then and Now |
| The Intensity of Commercial Trade at Local Extremes |
||
| Information = Equity | ||
| For
a very few seconds and sometimes for only milliseconds, as local
extremes are being formed, the dynamics of trade change dramatically. Fortunately this trade has a signature that is detectable in real time. Before electronic trading one key advantage astute floor traders held over off the floor traders was that they all knew each other and knew how each trader traded and for whom. Most important was to know who traded for the big commercial trading houses. If you knew who these guys were you knew that when they put their palms out (palms outward for selling and inward for buying) they probably had size to do and more often than not such size would put in either the session extreme or at least a tradeable local extreme. Now there is no pit, the traders with the power/size to put in these local extremes trade from all over the world and the trade that forms these extremes is often executed by computers that issue these orders in a stream separated by milliseconds or even microseconds. While many of these operators go to great lengths to conceal their intentions and their trade, the truth is that they cannot hide the fact of their transactions. The opportunity is that with proper analysis this trade can be detected and the astute practitioner has the opportunity to join a trade at or near a local or even session extreme. Operating in the sub-second time frame it has been discovered that when taken in combination and properly weighted, the acceleration and deceleration of buying and selling volumes, total volume and the velocity/rate of change in the balance of trade will reveal a dynamic of the price/time/volume continuum that some astute operators find present at many, if not most, intra-session extremes. One measure of an indicator or method's true worth is how well its efficacy transfers both to other instruments as well as to different time frames. Below are some screen shots of our version of such an indicator taken from 10yr Treasury Notes, Soybeans, ES and an ETF. When this very intense, speculative, often auto-executed commercial buying or selling is coordinated across several markets of the same ilk then there is a very good chance that this activity is marking a local if not session extreme. The first of the charts below shows such activity. On that particular day, at that exact time, this indicator registered the precisely coordinated, very intense commercial selling across all 3 major US Equity futures that formed that session's high. |
TY - Treasury Notes - Sell
SoyBeans - Buy
Emini S&P Buy
OIH Buy
Emini S&P Sell
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