depth of market liquidity disappeared..

last week the indexes went into extreme volatility and i did not trade much and if so, it was kind of a testing mode..

this environment is dangerous for order flow trading because the limit side is really shaky.

when you see dom liquidity like this, you immediately have to know there is something wrong with the market.

this is something people who don´t see the market depth never realize - the change of the quoting limits.

trading in this environment is extremely dangerous, the laws that normally works and that i use for trading, does not work in this environment.

it is basically caused by market makers who are no longer interested in opening trades and thus, the short-term price action is much more unpredictable

unfinished auction

yesterday i took just one short on e-mini nasdaq based on orderflow gradation

and because some people asked me about an unfinished auction in trading orderflow - how to recognize it, how to interpret it, how to use it for timing entry or filtering, here is the answer.

here is a screenshot of an unfinished auction where u can see high volume at the highest levels of the fooptprint chart. it means the buyers are interested in buying at the high prices - that is why u can see them there, they are there, they accept this high price as ok for them, they keep buying. thus, there is no need to think about taking short for reversal because buyers simply want to buy for high prices and if buyers want to buy for high prices, the market will (most probably) rise. it is a very simple logic. 

moreover, what you can see here is that high-sellers (the guys who sell the market for the highest price possible) are caught at the high prices. they try to sell, but the price don't fall. what does it mean? someone bigger is buying their sell market orders with buy limit orders, eating and absorbing all the high sellers. 

this is how a fond or a bank opens their positions. a fond/bank needs to allocate a big size and they don't really care about the price. i mean, they care, but not so much because their primary aim is to allocate the big size into market. 

they use both (1) active market orders at the highest prices and (2) passive limit orders for buying from the high-sellers. they generally open their positions at the breakout of new highs, because there is enough predictable liquidity that can be (ab)used.

whenever you see this market auction, do not short it!

speculation on thin dom liquidity

an example of relative absence of buy limit orders on depth of market. this time i opened a trade speculating of overturn of liquidity and fall of price.

this is the intermarket state - not very clean but visible .. 

the price should move sharply into the liquidity vacuum, penetrating the relatively smaller limits and hitting the first target. 

in this case only the first target of 10 ticks was hit.. the price is extremely slow in these times..

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 

iceberg order at 4936,50

a clever iceberg order appeared today on e-mini nasdaq futures, buying huge sell market orders at the precise price 4936,50.

it was in an intermarket unballanced state so the seller´s side here was definitely the "more stupid" one and the buy market´s side was the "clever one"

this is the detailed orderflow footprint chart

 here is the intermarket situation with seller´s side to be tempted into it

this is how the price continued to run upwards for the stoplosess