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Old 15-04-2012, 12:33 PM
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Originally Posted by niranjanam View Post
I don't think anybody can answer those questions .But you do not need to know it for trading profitably

Let them express....what they think about this OFA, in Indian feasibility scenario....if not to be possible but for sake of learning...
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Old 15-04-2012, 02:38 PM
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Originally Posted by niranjanam View Post
But you do not need to know it for trading profitably

Totally agree with this. Still, its a humble effort to understand the minute details as much as possible.

Originally Posted by niranjanam View Post
Order Flow trading is all about understanding WHAT will cause order flows If we know what will cause order flows we can anticipate the orders in a particular direction.


WHAT will cause order flows.
.2 scenarios that immediately come to my mind:
1. Suppose the big boys have accumulated/distributed (established long/short positions). In that case, we can expect massive market buy/sell orders respectively to hit the market. This is because, after accumulation/distribution, comes the phase of mark up/ mark down.

2. Once the price starts to go in the opposite direction as expected by a large number of traders who have already established their positions, we will expect to see them getting stopped out, and triggering of these stops in turn will give rise to a flurry market orders.

But for both the above cases, its necessary to know the price level where this large scale accumulation/distribution has taken place. We can expect a sizeable trend to generate from that price level only. As long as price remains above this level, we can have bullish views, below it , bearish.
One way to estimate this level is to look into the time and sales prints for those price levels,where we have large trading volumes. These levels indicate that there were large limit orders that were satisfied with large market orders coming from the opposite side.

For e.g, we see 30,000 shares traded at Rs. 1,020. This essentially means that there was a large limit order at Rs.1,020 that was met by a massive market order.The fact that a massive transaction took place at this level makes this level an important one where, after the execution of the trade,its now as clear as daylight that someone accumulated 30k shares and the other one distributed 30k shares.So, we can stay bullish above 1,020 and bearish below it.

Am I correct till now?

3. Any more scenarios that I am missing? Please mention them

Originally Posted by niranjanam View Post
It is understanding WHERE AND HOW THE OTHER PARTICIPANTS WILL REACT

As long as price stays above "large transaction zones", the bulls are in control and the bears will get squeezed(as price starts to rally). Vice versa for price below it.

Originally Posted by niranjanam View Post
Taking side with those who are 'showing their hands' and join them for the ride.

Niranjanam, please help with this one. How do you know if the bulls(or the bears) are showing their hands or not? Is it all about the aggressiveness(or lack of it) that we see in the behavior of price around this "large transaction zone" level? Or something else?

Last edited by rocky; 15-04-2012 at 05:25 PM.
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Old 15-04-2012, 07:00 PM
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This one should be at the beginning of the thread but since we never planned the thread and it just happened so its here.
Why order flow analysis?( OFA) because it will let you enter fast and exit fast and that's what trading is all about.
How accurate is it? depend on your personal understanding of the market and how market works.
Will someone spoon feed step by step and reveal all the things one learned by burning zillions of hours and millions of money..I highly doubt that. But I am sure we will get the general direction where to look at.
Is this the only way to make money..Nope, every one is free to make money the way you want and there are so many ways.
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Old 15-04-2012, 07:42 PM
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Here what
Why there are limit orders and not market orders? answer is not straight forward, there can be several reasons but two obvious ones are
1) To save the slippage.

2) Accumulation or distribution of big size, and thats where it gets complicate, because every one has their own style of doing it, and its naive to assume that every big house unwind or accumulate positions the same way.
Few will just hit at the market and keep doing it and few will show fake bids or asks of big sizes to falsely believe that market has support/resistance and do exact opposite.
Also you can hide your positions by choosing not to disclose option. S that data is highly skeptical and for start its better to be avoided.

So far what I have seen that when market start moving strongly in one direction from nowhere then there are market orders which will keep hitting at bid or ask, whatever size it may be. We can say it that this is the first sign of aggressiveness.

And there are support an resistance zones from where market change direction, at such juncture you will see big limit orders. And here comes the importance of best5 bid-ask window or as Rocky said non executable orders.
Lets take an example of Nifty trading at important support of 5000 and it moved from 5050 to 5000.
What happen at this point is there is large bid size at 5000 say 25000, 500 shares get traded at 5000, now bid size 24500 ( sometimes if support is very strong bid size increases ) again market hit at bid with 500 shares at 5000 so now size is 24000, but some one think that support is strong so he increase the bid at 5000.50 with 300 shares and bid at 24000 remains the same, sellers get worried and they back off then other increase the bid at 5001 with 200 shares, again bid at 5000 with huge size remain as it is..
Now here comes the importance of non executable orders, for the record we have just 500,200 shares traded at bid of 5000 and market reversed but in reality there was huge demand at 5000 and that can be noticed with bid-ask window. And its quite possible that you can enter at 5001.50, in reality picture will not be exactly as mentioned in example, there will be more than 2 trades required to reverse the market from support but concept will be the same.
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Last edited by alex; 15-04-2012 at 07:44 PM.
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Old 15-04-2012, 07:44 PM
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Why there are limit orders and not market orders? answer is not straight forward, there can be several reasons but two obvious ones are
1) To save the slippage.

2) Accumulation or distribution of big size, and that's where it gets complicate, because every one has their own style of doing it, and its naive to assume that every big house unwind or accumulate positions the same way.
Few will just hit at the market and keep doing it and few will show fake bids or asks of big sizes to falsely believe that market has support/resistance and do exact opposite.
Also you can hide your positions by choosing not to disclose option. S that data is highly skeptical and for start its better to be avoided.

So far what I have seen that when market start moving strongly in one direction from nowhere then there are market orders which will keep hitting at bid or ask, whatever size it may be. We can say it that this is the first sign of aggressiveness.

And there are support an resistance zones from where market change direction, at such juncture you will see big limit orders. And here comes the importance of best5 bid-ask window or as Rocky said non executable orders.
Lets take an example of Nifty trading at important support of 5000 and it moved from 5050 to 5000.
What happen at this point is there is large bid size at 5000 say 25000, 500 shares get traded at 5000, now bid size 24500 ( sometimes if support is very strong bid size increases ) again market hit at bid with 500 shares at 5000 so now size is 24000, but some one think that support is strong so he increase the bid at 5000.50 with 300 shares and bid at 24000 remains the same, sellers get worried and they back off then other increase the bid at 5001 with 200 shares, again bid at 5000 with huge size remain as it is..
Now here comes the importance of non executable orders, for the record we have just 500,200 shares traded at bid of 5000 and market reversed but in reality there was huge demand at 5000 and that can be noticed with bid-ask window. And its quite possible that you can enter at 5001.50, in reality picture will not be exactly as mentioned in example, there will be more than 2 trades required to reverse the market from support but concept will be the same.

Please feel free to discuss and share what you observed so far..
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Old 15-04-2012, 08:21 PM
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Originally Posted by alex View Post
How accurate is it? depend on your personal understanding of the market and how market works.

True. It highly depends on how accurate and how much data is dissected.
As a personal interest , last year in 2011, i constructed an indicator in NT...which emulates NT's Time & Sales Window information with some extra features inputted by my understanding , on candle chart in order to generate a cumulative data picture of T&S window. As it was personal scrap..so i have not saved any picture of those charts...but indicator is alive...and it works on real time price ( obviously with Bid-Ask...no history )...so i will post some chart of NF tomorrow session if possible.

Originally Posted by alex View Post
Is this the only way to make money..Nope, every one is free to make money the way you want and there are so many ways.

And thats what i temporarily hibernate these things...for sake of my money.....atleast till i have not data of that sought quality. Even if data quality is make available then also it might not interest me...cause there are tens of better , efficient method out in market to make money.
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Old 15-04-2012, 08:47 PM
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yaar kyaa farak padtaa hai how big order is in place....? why it is open & not hidden, who placed it....blah...blah....blah.......

Intraday player ki life 30 minutes se 360 minute (maximum) hoti hai....., 6 ghante ki zindgi ke liye itni tension......

positional trader ki life jayda se jayda 3 months with 4-5 options to manage the position......to kaahe ko maththa kharab kiyaa jaaye....


arre bhaiyaa aam khao aam , ped kaahe ko gin rahe ho...
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Old 15-04-2012, 09:43 PM
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Originally Posted by rocky9281 View Post
6. If this bid is real, who is hitting it? public or the pros? (probably the most important question)

In context to the above mentioned point, I would like to say that we should keep an eye on how fast (or how slow) a large limit is getting hit by market orders.

Suppose, we see a bid of 25000 shares and it gets so strongly hit by market sell orders,that it gets totally eaten in 5 seconds. This is one scenario.

On the other hand, there may be times where a bid of only 10000 shares may not be completely eaten in 30 minutes.

This is what we call "quality of filling of bid".

The first case the quality of filling is "good", it is "bad" in the second case.

Good quality filling indicates that the big boys are hitting the limit whereas bad filling indicates the general public is hitting it. Now, you can guess which way price is more likely headed to.

I will give you 1 real example...

A few days ago I was watching SBI as it was approaching Rs. 2000 level. Since 2000 is a round figure and a whole number, it is expected that public will place their limit orders there.
Accordingly, I found something like 20,000 shares were put there at ask. That is a big number (compared to 50-500 shares placed in other levels).
But, to my surprise, in the following 1-2 seconds, the tape printed only 3 prints (6000 @ 2000,7000 @ 2000 &another 7000 @ 2000)...The entire 20,000 were traded in just 3 trades..entire offer was eaten in just 3 prints(like a giant tsunami washing away a ship).
And guess what, price touched 2013 in just a blink of the eye.

Hope you understand the usefulness of studying quality of filling.
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Old 15-04-2012, 10:02 PM
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Originally Posted by devdas View Post
True. It highly depends on how accurate and how much data is dissected.
As a personal interest , last year in 2011, i constructed an indicator in NT...which emulates NT's Time & Sales Window information with some extra features inputted by my understanding , on candle chart in order to generate a cumulative data picture of T&S window. As it was personal scrap..so i have not saved any picture of those charts...but indicator is alive...and it works on real time price ( obviously with Bid-Ask...no history )...so i will post some chart of NF tomorrow session if possible.



And thats what i temporarily hibernate these things...for sake of my money.....atleast till i have not data of that sought quality. Even if data quality is make available then also it might not interest me...cause there are tens of better , efficient method out in market to make money.

Looking forward for the charts..
Guys like me whose only source of money is market has no option but dig further to improve performance. I have at least 3-4 methods/systems for different instruments and/or market condition, and who said picking bottom and top is a myth
I think data feed is not a big issue because I have tick data feed (esig) but hardly its usable for order flow analysis, so totally has to depend on fast reaction time and concentration.
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Old 15-04-2012, 10:29 PM
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Originally Posted by rocky9281 View Post
In context to the above mentioned point, I would like to say that we should keep an eye on how fast (or how slow) a large limit is getting hit by market orders.

Suppose, we see a bid of 25000 shares and it gets so strongly hit by market sell orders,that it gets totally eaten in 5 seconds. This is one scenario.

On the other hand, there may be times where a bid of only 10000 shares may not be completely eaten in 30 minutes.

This is what we call "quality of filling of bid".

The first case the quality of filling is "good", it is "bad" in the second case.

Good quality filling indicates that the big boys are hitting the limit whereas bad filling indicates the general public is hitting it. Now, you can guess which way price is more likely headed to.

I will give you 1 real example...

A few days ago I was watching SBI as it was approaching Rs. 2000 level. Since 2000 is a round figure and a whole number, it is expected that public will place their limit orders there.
Accordingly, I found something like 20,000 shares were put there at ask. That is a big number (compared to 50-500 shares placed in other levels).
But, to my surprise, in the following 1-2 seconds, the tape printed only 3 prints (6000 @ 2000,7000 @ 2000 &another 7000 @ 2000)...The entire 20,000 were traded in just 3 trades..entire offer was eaten in just 3 prints(like a giant tsunami washing away a ship).
And guess what, price touched 2013 in just a blink of the eye.

Hope you understand the usefulness of studying quality of filling.

Nice example, happens time and time again. It will be nice to record live and discuss it afterwords, camtesia recorder is the best software for it.
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