orderflow aos based on acsil

this is the result of a 100% automatic strategy based on order flow that i have built in acsil - a sierra chart programming environment based on c++.

i am NOT a programmer and i have really hard time to write a piece of code. yet, i have a strong desire to learn and move forward.

it is trading live with 2 contracts only. after 2 days it made a profit almost 2 thousand usd. that is not a bad beginning i would say..

sellers liquidity abusion

a video of one of my trades, two contracts only. i was trading somewhere outside in a park with a poor internet connection. not the best setup

liquidity overturn on e-mini nasdaq futures

against late buyers in undervalued nasdaq 100 futures. here i have set up more advanced times and sales setting which i was testing for a couple of days or weeks.

sierra chart provides a good interface for times and sales and hopefully somewhere in the future i will provide a more in-depth description of what i observe on the tape

exit after seller´s eruption

htf smart selling activity

today on dow jones futures - hft algo as a response to offered liquidity. they tested the stability and hit the quoting bid.

i could not trade this situation because it didn't fit into my risk management. i waited for the price to make a little pullback up so that i could jump in, but it didnt.. and it continued downward

here is the chart

i suppose these selling guys are smart, because they first tested if the offered liquidity is real, and when it appeared as true, they hit the waiting limit with a bigger sell market afterward - this "liquidity test" activity is useful for a subject that needs to open a bigger size and - and the same - doesn't want to move with price (zero  slippage).

imagine, if you want to open a big sell position quickly (let's say 200 contracts), the best thing to do is to hit a big waiting limit on one level. but first, you need to be sure that the quoting limit is real, that it is real, not fake liquidity that will disappear when you pull the trigger.

so first, before you send a big market order, you send a "probe", a couple of small market orders to see, what will happen. if the quoting limits still stay there after being matched with your probes, it is REAL - the liquidity is there, waiting. if they disappear, it is NOT real and you should not open the bigger sell into it.

this is a technique of a subject that (1) wants to open a bigger size and (2) has a similar risk like me - because it is very precise when it comes to entry price, i can assume that the position will be liquidated in a very short time (just like mine)

here is how the footprint chart looks like in this area. an interesting thing to notion is that the falling market goes against deep buyers. this is a good orderflow context for short

big subject activity on daily low - scalping algo breakout

this is what i have noticed today on daily low at e-mini nasdaq 100 futures somewhere around 13:10 chicago time

the interpretation of this visualization is this: near daily low a big rough market and a big sell market order of the same quantity appeared. it was immediately identified by an algorithm which started selling using sell markets in a "clever" manner.

at the same time, sell markets were supported with huge sell limit (on the depth of market as the white line). when no one wanted to buy this big amount and fill the huge sell limit, the subject starts selling in a harsh manner - using big sell market orders. the price drops a little bit down and the subject closes the position in a "clever" way using smart activity. taking profit.

the price made a small pullback up and the algorithm started selling again, using a high amount of sell market orders in a matter of (mili)seconds. at the same time, big sell limit appeared at the depth of market, was filled this time with a big buy market order and the price slides lower. the selling subject closed the position in a smart way, taking profit again.

again, it started opening bigger sell markets now to break the daily low. its big sell limits were strong enough to eat all the offered liquidity in the dept of market. 

at the break of the daily low a 100-contracts big buy market order tried to protect the zone, but was neutralized with a 100-contracts sell limit. moreover, the 100 sell limit was supported with an even bigger sell limit (the size cca 230) accompanied with sell market in the size 120! it hit the daily low, closing the position in a clever way, taking its profit (yes again!) and reversing the position for long.

this is how a very powerful and very clever scalping algorithms operate..

this is where it happened in the chart (daily low - sensitive area)

this is how the footprint charts of the area looks like

daily low stoprun

on friday late afternoon sellers broke the daily low and activated stoplosses of all the buyers who have bought within the day. this was the biggest candle in the whole day and - as usual- i was going against the visible movement and took long at the very low

i caught the low quite nicely, timing entry was based on sellers exhaustion. i openend only three contracts instead of six by mistake.

here is how the last contract ended - exactly at the poc area

pretty great trade i would say..

this is how the situation looked like on a slower timeframe (30 min). there was an expanding separator bar from the previous day.

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!