dow jones futures trading

today i traded only dow jones futures (ym), and it offered a number of opportunities. unfortunately i was not able to hit the further targets, except in one case.

all the four trades i took hit the first target but only one of them ran further. and that one was with the smallest position possible (2 contracts only), because the risk of that trade was higher. it is quite a shame, and pity taht i was not able to get more from today´s volatility.

here is the intraday chart of e-mini dow jones in the first hour after open with my trades and comments

result

by the way, today i have noticed two iceberg orders (one at dow jones and the other at nasdaq futures 100).

still don´t know how to use it in my trading but it is an interesting thing to observe and follow the big guys through this visualization

here is the situation at dow jones where the iceberg was triggered after the price fell through bigger buy limit order (white line on market depth)

here is similar situation at nasdaq (in different time), but this one is not so strong

it is interesting to notice that the the price level where the iceberg sell order at dow jones started was not broken higher. in fact the market moved consolidated near daily low and after it sucked in enough buyers, it dropped deeper. 

dow jones sell off speculation on friday night

yesterday i took these two trades on dow jones futures. the first short after open was taken with 6 contracts, the second one with two only. the first trade had a runner with was planned to be closed somewhere near the low of the day,

unfortunately, the market filled my trailing stop precisely and dropped significantly afterward.

what was interesting at the second trade was waiting liquidity of the huge buy limit orders at the closing time.

here is the prinscreen, the white line on depth of market shows huge limit orders waiting to be filled. at first the price rebounds couple of time from this level.

at the end it went through filling all the waiting limits (cca 230 on one level). as these limits were filled, i closed the trade, because i expected the price to move higher. anyway, it didn´t. the market closed somewhere around near this level. 

here is how the footprint chart looks at that particular place. you can see higher ammoung of sell market order paired up withthe waiting buy limit side (te low of the bar at 14:58)

here is the slower timeframe (30 min). the trade looks good, pity it was with a small position only

result +720 usd

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..

depth of market - thin vs. thick offered liquidity

here is an interesting situation on depth of market (dom) in intermarket state. it is easily visible that the offered liquidity on the bid side is much thinner that on the ask side.

the presumption is that the price should move into the side of thinner liquidity - it is going to be easier, as there are no "walls" of waiting limit orders. 

it is just a presumption now - no data have been collected to prove this idea.

what we have to take into account in such a situation is the intermarket state and the predictability of retail market orders. here we have ym under the daily low, all other markets are above.

it gives the (stupid) retail traders feeling that ym is cheap and that they should buy it. they start buying.

limit side with quoting market maker´s orders builds thicker layers of sell limit order to retard the movement up and sell in a bigger quantity against the retail public. the movement down is much easier because the quoting buy limit side is weaker.

this is how the situatuion looks at market orders with depth of market. the offered liquidity on dom overtuns and the price sinks into it

what happened next was that the price dropped down against the buying public. in this particular case it would have hit o the first target only but it doesn´t matter - there was a strong buying sentiment on nyse tick at that time and even thought the price went down to hit the stops of public..

here is the footprint chart of this situation

more in depth study of this phenomena needs to be done before taking these situation as a tradable edge

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

yesterday´s nasdaq

couple of short signals