ACSIL function for getting a market depth level value

simple, yet pretty useful function for getting values from particular levels at the depth of market

this can serve as a building block for creating a study for timing entry based on the quoting limit side. something i plan to do..

the good thing about this study is that you don't need to use historical market depth data on the chart, which makes it faster.

the line under the chart shows the (historical) value of bid and ask at the first level for each timestamp (here set to one second).

numbers that matters

there is a holy grail hidden in these numbers

number of trades bid vs number of trades ask vs bid volume vs ask volume etc..

this is what i am currently algo testing on sp500, dow, nasdaq, rty, crudeoil, heating oil, gold, silver, copper, 6a, 6b, 6c, and all other bunch of future markets

simple, easy, clean and fast

short nq, short ym.. and again..

two trades right after the open.

the first one was here as a speculation for a breakdown. the entry was quite aggressive and the risk of the trade was not properly calculated before triggering.

 i assumed the price would slide down really quickly, but it did not happen. it wen up so here i closed the trade in a loss of cca 250 usd

good point on this trade was that i jump out really quickly, without any hesitation. these are situations that need to reverse immediately and if they dont, i get out.

another trade was one or two minutes after the first one.

here i am short at dow jones - opening 4 contracts as well as in the previous one but the last on was not filled. i assumed the price should not go above high where i would close the whole position

 here is the exit. in fixed trade management. with only three contracts cca +250 so i zeroed out the previous loss.

 these are two examples of a very strict risk/trade management. i play any russian roulette here. i only execute, without any emotion

here i was ready to open aanother short at ym again, but i waited the price to tick little bit higher so that i could place my stoploss into the safe area above high easily..

yet, it did not go any higher, so the drop was without me...

nq long

this was probably the best entry in this week. the boogie-woogie studies under the main chart are my acsil based subgraphs. they are amazingly strange so far, like spoiled kids, not doing what they are supposed to do ..

ex-it

pretty freaking sweet.. 

+ 450 usd/one trade

study of velocity

this is a new, quite simple but very useful study that i wrote a couple of days ago to measure the price velocity or "volatility" if you want.

probably most of you know ATR indicator which is commonly used by all who want to track the volatility or its changes. but the problem with ATR is, that it doesn´t really show much about how the price behaved.

it only calculates the difference of highs and lows of a bar and then divides this number by a preset variable to return an average. if you have a bar which has 10 ticks in size (high-low) than the true range is 10. very simple.

but it doesn´t tell much about HOW the price behaved within the period of the ten ticks. maybe it moved 9 ticks up, then nine 9 down, then again 9 ticked up, down, up, down, up, down.. you got the idea.. within just one bar.

so at the end of the day, the price could make 100 ticks long movement which is hidden within a single bar..

this study - which i called velocity - on the other hand, calculates how many times the price changed within a period time. so u get the precise number of the volatility. or we might say "nervosity" of price.

i did not have time to test it much but it looks promising mostly as an input to automatic trade-management for algorithmic trading..

here is a simple example (subgraph 2) - you can see that even though the candlesticks are of the same size all the time, the velocity studies gradually goes down

hmm.. bad luck

as i said yesterday, today i planned to trade with a bigger possition of 6 contracts but was little bit unlucky, because i did not get the fill of all the 6

here i was clicking to take short, on a nice orderflow exhaustion of buyers. it was quite clear that the price does not have enough power to move so i was not hesitating..

but the price slid down really quickly and filled only 2 contracts out of 6.

first contract was closed on target within a couple of seconds to make risk free trade as usual, the other one let little bit further on a volatile target.

it was quite a nice catch of the local high with absolutely precise timing entry and virtually no drawdown

feelling really unlucky for not being filled with all the 6. it could have been a nice profit

against late sellers

this trade is a model situation where i take long against late sellers.

the pattern is pretty clear - all the markets are running down, nasdaq 100 is little bit higher so the general public sees it as a "good opportunity" for selling.

but the general public is most of the time wrong.

the price retreats against them at least till the area where i can close my first target and make a risk free position..

a small trade with a small position

just one long today on e-mini dow.

this one.

nothing special to say about it. except, that it was that kind of a trade that was 100% repeatable for me.

i took it with only two contracts, +180 usd. virtually zero drawdown which is a sign of a good timing entry

come on man, this is going to rise!

well, these two trades are quite readable i would say, and the price went up really quickly after i clicked into them..

the timing entry at the first one is not really easy but .. what is easy in daytrading after all? we can see a sharp & emotional move downwards from the highest high.

the word "emotional" is really what makes it important because i trade against the emotional people so i really enjoy seeing something like this.

it was validated with the actual non-correlation of the markets. the entry was planed couple of minutes before it actually took place. here is the hit.

the other one was right here, after nq discovered new high and tempted high sellers to jump in. as always, i go against them, because they are too predictable. 

nasdaq 100 futures filled with huge sell market orders

on friday there was a big selling subject on e-mini nasdaq 100 which is clearly visible from the attached chart. 

nasdaq was undervalued compared to other three us indexes, which is always a good constellation for building a bigger position into the short side. the selling subject used active market orders that were really big (up to 200 sell market size) in the frequency of a couple of tens of seconds.

that means it was not really a high-frequency short term algorithm, but rather a fond or a bank that holds a position for a longer period of time.

thus, both their risk and their reward tend to much further from what i use in my intraday trading and it is not always clever to track it

that is why i can without any problems take a long and go against the big selling subject because the rotation i speculate on, is - compared to their risk/reward - really small.

this was one trade with a clear timing entry base on exhaustion of (retail) sellers.

where this will go

today, the market was like extremely volatile and price jumped like a crazy frog, piercing through many levels as big market orders flew into it.

i tried to take short later in the night (was not at the pc earlier). i opened short right here, using compensation in a drawdown to scale up to six contract, which is my normal position.

i hit only the first target, the second ended up on sl. so the result was zero. but it could have been a nice trade

friday late afternoon short

speculation on the reverze into the value area of the last three days..

the chart above shows a tiny intermarket divergence - ym is lower, compared to other 3 markets that broke their highs, thus i am speculating that ym WILL NOT break.

and it didnt..

after rollover

today is the first day after rollover of futures contracts and the market is pretty lazy. i took two trades today, first at nasdaq at 8:41 long (only with one contracts as it was risky) and a second, which was a beautiful situation in orderflow - very clear exhaustion of buyers

this is the entry moment (mid - which i consider a very strong line and perfect orderflow situation)

this is the moment when i hit the first target making the position risk free

and this is the second target

this the intraday price action with my trade - as you can see the range is pretty tight

result

magnificant stoplosses

today

yesterday 

no comment

dumb sellers vs. smart sellers

here are two example of sell market volume cluster.

in the first case, market orders reveal huge sell market orders and the price move against it. in the second case, it doesn't reveal any aggressive sell market orders.

this is the footprint chart 

this is how it happened

this might be one of the way how to discriminate between aggressive and tender approach through wmo and out filter some falls signals and infilter some missed opportunities. not necessarily always huge cluster in my way is a negative signal for entry. but it needs more in-depth study of this phenomena

dow jones hit 20000 points

for the first time ever, dow jones has hit the level of 20000 today. but, who cares? i don't, i traded nasdaq futures today when dow jones, sp500 and emd were undervalued.

nasdaq hit its high and i took a breakout

the reason is quite clear from this view. i opened 2 instead of 3 - the risk area was near and i was ready to compensate.

result

diminishing buy market side

after breakout of the long a tedious consolidation there was observable extinction of buyers at the upper prices

here, after couple of minutes, the entry is validated

exit, f__king slow market 

wem´s last public entry

against late buyers in undervalued nasdaq futures

exit after seller´s eruption

dow jones futures short (after trapped late buyers)

these days after american lunch the volatility drops significantly and the markets are literally dead. trading in such environment takes lot of discipline when t comes to waiting for an opportunity. there are not many opportunities these days, so whenever one appears, one need to catch it quickly, automatically.

this was the only tradeable situation today. ym futures tried to break the swing high but the buyers were absorbed. the entry moment is here:

here is the support at market orders that show diminishing power of buy market side - this would be a better moment for the entry

a nice "second entry" in the area of my "first entry"

wmo shows no interest at buy market side and it is flat - good for "second entry"

although i planned the second target further, i closed it prematurely because i did not have any profit today and the market were terribly slow and tiring today (and about to close in a while)

undervalued nasdaq futures

at the end of the day there was a nice situation to short e-mini futures nasdaq, because it was visibly undervalued (compared to other four markets), thus luring buyers.

i am going against them, it is too predictable to buy here. and these who are predictable will lose

and yes, the market moved against them and they lost