This is EUR/USD real-time data from ECB conference 4/9, 50 pips fall in 20 sec.
Oanda has the biggest spread compared with the other 2 brokers. I think ~ 15 pips.
The good news is that prices of the 3 brokers are not spiking too much, so the execution during the ECB conference was perfect, considering they may not have the same liquidity providers.
Images are provided by a former working colleague.
Preciate the insight on the spreads. I still got stopped out and price at its peak hit maybe 10 pips below my stop. But then again I was in GN so GN normal has like a 6-15 pip spread etc. No worries. I learned a lot from todays data! It’s quite thrilling… I looked at three pairs tonight, don’t really care about the rest at the moment. lol.
Based off the information I collected yesterday by not trading, tonights data is very similar which is very promising. Means today should be a repeat of yesterday…
LONG EU
LONG EN
LONG GN at 1.9555 stop at 1.94
I took GN for no particular reason. Normally I do not trade EN and GN because of the spreads and whatnot, but since I am still trading micro and its GN… I haven’t determined an appropriate stop for the pairs yet. For now I have a 150 pip stop on GN, but this will not be normal for me. Anyhow, I can’t wait to finally post a positive update tomorrow 
Until then, Happy trading and slay some pips!
GN is longing like a mofo! Excellent trade. EU should clear positive as well today…
GN + 122 pips currently.
Update:
GN + 200 pips
EU + 10 pips (entered earlier)
Trades are looking beautiful. Hopefully I can hold GN but i won’t know until tonight.
[QUOTE=“Leg0nd;653897”]Update: GN + 200 pips EU + 10 pips (entered earlier) Trades are looking beautiful. Hopefully I can hold GN but i won’t know until tonight.[/QUOTE]
If I may ask what data are you pulling every night ,? Highs low s, pivots ,? Volume , patterns lol ,
Whats up. Just got that PM from like seriously 6 months ago. So i popped in and skimmed your journal. Glad its been going strong this long.
Interesting concept that your taking the the idea of trying to determine a notional amount per price move to determine the “influence” of a certain side or direction. I would say your on a very good track considering how I model the market myself and think about it.
I did notice in a few of your posts that you are not extracting as much information from the data as you could be. If you are considering this type of thinking you should also consider volume. Volume + movement + price are the 3 keynotes of what information you can receive from an exchange. I know spot fx doesn’t have real volume etc etc. But you can always use futures volumes or tick volume (although I would test the correlation between the two first to see if its viable).
There is a lot of research that can be done given your specific model. I suggest you look up auction market theory. It may play more of a role in what your doing than you realize. At least in how your viewing the market. I could be wrong as always. Anyway great journal and keep up the good work.
Will address what both of you guys said tomorrow lol. Definitely too tired tonight. That being said I closed the GN position… Took 225 pips.
Pulled the data and I expect GN to Short, EN as well but I’m just going to stick with GN tonight.
I’m running a 100 pip stop for now but I entered Short at 1.97848
Be back in the AM
Each night at midnight eastern time, I retrieve the open high low close and volume data from oanda’s servers. It comes in an excel file. I extract only the previous 24 hours of 1 hr data and paste it into my system spreadsheet that has all the equations in it. Then based off the output of four key equations, I am able to determine the next 24 hours open to close direction.
The patterns are the variations in outcome based off learned ranges and relationships between the 4 numbers I get that sum up particular measurements I derived from the data i get from oanda.
Each night is always a different set of numbers. No day is the same. From my research, numbers that are close to each other behave in the same manor as far as outcome goes. This is only effective within a certain range. These ranges are what makes the system. I haven’t determined the exact numbers for the ranges but I am pretty close. Each day the market pushes them and defines them.
Pretty soon I will post some pictures of the flow chart I actually go through each night to determine the signal. I had a friend write it out for me. So eventually when my research for days is near complete anyone could trade my system all they need is the spreadsheet and the flow chart.
Update on todays trade: GN got stopped out lost 100 pips. So, I made 225 yesterday lost 100 today. No big deal, GN just pushed the upper limit of a range. After looking at a few other pairs, AJ did the same thing as GN today. Had a very similar output in AJ on my main eq 4.
So I am done trading for the day, Still in profit for the week which is nice.
Hey man. Long time no talk. Yeah a lot has changed in 6 months. I’m glad I have kept this journal going relatively strong. It challenges me to be honest and record my mistakes and have proof of my successes to look back at as well.
Back in march I developed my current model. In April or May I updated the spreadsheet and fixed a mathematical error I found. Since then I have been collecting data daily and forward testing the strategy on my micro account until I put in some money in a few months. I store each day and have probably hundreds of spreadsheets of different pairs over the past 3-5 months.
All of it is based off my Volume model. Like you said spot fx only gives what most believe to be tick data. My research confirms it may actually be real volume… It’s just the sum of all buy volume and the sum of all sell volume (absoluted) during the time interval quoted. I will get into that a lil later though. I would love for you to look at this spreadsheet and tell me what you think though if you are interested. Just send me a pm or something.
I’m looking at auction theory now. It seems very interesting so far. Will read up on it today before work.
I’m long GN today.
I’m holding the position from earlier today…
GN Long at 1.98328
Currently up: +50 pips
Stop at 1.978
I expect EU and EN to long as well.
Be back in the am with an update.
I think you have a very interesting model. But I do not think that you have “confirmed it may be real volume”. I don’t want to sound critical and i have come in kind of late but here is how i see it. at least how my though process is working inside of the frame work of your model. The generalized assumption I am gleening from your method is you are determining the minimum notional amount to move the market. Example the amount of USD to make EUR/USD Close higher than yesterday using the price difference * contract value * multiplier, for a single trader/trade to have made such a move. Again correct me if I am wrong but I am going to continue to take that as how it works for the rest of the post.
You have not found as much “real volume” as you have found a ratio to the order flow required, in notional currency(USD,EUR etc.). Why because we truly do not know how many participants were required to make such a move. However by using your formula we can figure out the MINIMUM required if we assume the market as a SINGLE PARTICIPANT. So your result and the actualized market participation results should be highly correlated and proportional.
Also given the tick volume and data from the spot FX. I recall from my previous research that the data shown there was highly correlated to the futures volume (which is actually executed and determined by an exchange). The score was >.8 which is considered strong. i don’t remember exactly but in the ballpark of .9ish.
So lets put this together. You have determined the minimum notional value to move the currency pair that distance, and calculating the strength and weakness of a given move using that information. Consider what it is your truly measuring? You are measuring the amount of dollars bet on the market going in a specific direction, through actualized trades and market movement. What is that really? ORDER FLOW.
Hypothetical Example: Imagine a market, there are only 2 traders. Trader 1 who buys all day long and Trader 2 who sells all day long. And they Trade until they run out of money to continue. Thus giving us a very simplistic 2 sided market. Now everyday, Trader 1 and Trader 2 receive a random amount of money. So on Day 1 Trader 1 receives 1000 USD and Trader 2 receives 750 USD. They trade and the day comes to a close. Where do you think that market closed for the day?
It closed Up because there was 250$ extra notional dollars on the long side vs the short side. So the short side ends up getting squeezed out. Why? Because Trader 1 could put $250 worth of contracts or trades into the market that Trader 2 could not. Vice Versa for a down day.
This is exactly what you are measuring, the difference in notional value between the buy side and the sell side. It really doesn’t matter if your measuring for 2 traders, 1 on each side. or 10 million traders on each side. Figuring out who has more money, and more ammo is finding the stronger party to place your own bet on.
I hope that made some kind of sense. I know the example is simplistic and not exactly realistic but I hope it illustrates the point.
I have to go but I wanted to post an update before I left. Will get back at you about your post in a little meihua.
GN Currently up +110 pips. Going to hold til about 4 - 430 then close the position. be back later.
Trade Update: Closed at around 4:45.
GN: + 130 pips. Putting me up 250 pips for the week
Thanks for the post and the breakdown. I think for the most part you got it correct and I found it very enjoyable to read. For the longest time I knew what I calculated but I couldn’t actually put a name on it. Order Flow? So that’s what this really is (or rather the ratio to the orderflow as you put it)? That’s intense. I’m going to have the mentally break all this down for a few days and really ask you some questions about this. It’s really mind boggling to think about when you put the model down in plain easy to understand terms with examples. I will have a few questions to ask in a few days once I fully wrap my head around you post.
On a side note… As far as measuring strengths and weaknesses go, when assuming the market as 1 single participant as you stated earlier, there is no real use for measuring strengths and weakness as far as volume goes. By this I mean how the buys and sells are canceling out and at what rate they are at to produce the candle etc. I only say this because in the past I traded off these values alone to very little success. It is possible I could pair them with the order flow ratios (not sure if thats the proper term), but I have yet to do so. The order flow ratios themselves are complicated enough as is. They can be very difficult to interpret, but from past experience… The harder they are to interpret, the high the reward.
I’m basically creating a collection of these ratios and learning how to correctly interpret them and trade them. That sound right?
I am going to look up Order Flow and really do some research on the term. Anyhow I will reread your post and ask you some more questions later on this week.
Trades are looking great. I passed out last night before I could post what happened Sunday and what trades I took today. Sunday I took an EN long and took 6 pips to start off the week.
Today I entered an EN short @ 1.59141 with a stop at 1.59641
Currently I am up +50.9 pips
Also… I took an EU Short about 20 mins ago that I plan to hold til midnight. Price was right so I entered @1.2949 with a stop at 1.2990
Currently Eu is up +1.9 pips
Am continuing to hold these positions until midnight to check the order flow ratio for tomorrow then will see if I can continue to hold them or if I decide to take something else. Be back later with an update
Hey Leg0nd ,
It is good to see you are still posting. Nice trade you’ve got in EN. Keep it up!
PNR
What is EN and EU, i’ m a newbie
What is EN and EU, I’m a newbie
Hey long time no talk. Yeah I’m glad I kept the journal alive as well. I’m getting much better at interpreting order flow and stuff now.
Anyhow, onto today’s successes.
Trade Summaries:
EN (for the guy who asked, EN is just my short hand of the currency pair EUR/NZD) + 80 pips
EU (EUR/USD) +7.7 pips
Closed out of both positions because I expect a reversal today in the pairs I was trading…
Tomorrows signals:
EU (EUR/USD) Long (not taking, not 100% on EU)
EN (EUR/NZD) Long
GN (GPB/NZD)Long entered at 1.98579 stop at 1.98
NU (NZD/USD)Short
AU (AUD/USD)Long entered at .90251 with a stop at .9085
EJ (EUR/JPY)Long
Will be back with an update in the AM. Happy trading.
I want to start with this order flow box I seemed to have opened up and put a disclaimer on it. There is a lot of “order flow” garbage running around the internet. Just want to make you aware.
Now the question, is what you are calculating is it order flow? Yes and no. IMHO you are calculating the notional value of the orders to create a specific price movement. So yes that ends up being the sum total notional value of the executed trades. The only reason I say no, is because the calculation is non dynamic, and you can not see the value of orders that were not executed. So its just a definition difference rather than an actual practical difference. Tracking total order flow(including non executed orders) would require a real time level 2 and tick by tick time frame recording of at least 5 to 10 levels of depth on each side. Pretty much impossible for the retail trader. Honestly you can name your ratio whatever you want. Thats part of the fun.
Regarding your side note. There is absolutely a reason that measuring strength and weakness would be important. Even though at the end of the day, 1 long contract cancels 1 short contract. Specifically on what i mentioned earlier using volume. Imagine a scenario where you can identify if the trader is an institution or a retailer. Or even simpler someone who trades large size vs someone who trades small size. Would that not be something of interest?
As always an example. Imagine a market where if you buy 1 contract it moves up 1 tick, if you sell 1 contract it goes down 1 tick. Again there are 2 trading groups, 1 is a group of 100 retail traders, and the 2nd group is 1 single institution. This hypothetical market closes +100 ticks in a single day. What if upon studying the volume you found that it was 100 individual 1 contract trades that added the necessary notional to have it close up. Or on the opposite side, if you found that 1 large order for 100 contracts in a single shot forced the day to close up? Which one of these 2 groups would you rather follow with your own money?
I know that there are dark pools, ice bergs, and algos to mask your trading size so that directly identifying specific participants is harder. We can discuss that at length. But the take away is, the institutions are trying to mask it because if you figured out which side they are on you can take advantage of it. Which is why they developed all those tools to hide themselves in the first place.
Taking it a step further. What if you could identify the party that got squeezed out, what if it was someone who was swinging 1000s of contracts at a clip vs someone who swings 10. Both of them got retraced on and are negative. Who do you think will be able to work the market to get back to where they need it to be?
I hope to hear your questions and comments.
I will put this out there if you are interested. I will gladly look at your research and ratios, just to see how it all works. If you are uncomfortable revealing your personal stuff thats fine too. Also, if you dont mind. I may write an article with some tests on an area based on this idea of notional size in my quant thread. But again if its stepping on your toes I wont. Since I already understand the concept.
