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Bookmap™ Masterclass
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Profitable Trading with
LOB and Bookmap™
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© Copyright 2019 by TTW Trading Services Ltd.
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All rights reserved.
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This presentation and video material is protected by International copyright laws.
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TTW Trading Services Ltd.
Doulton Trading Estate
Doulton Road
Unit 10 -11
Rowley Regis
West Midlands
B65 8JG
England
https://ttwtrader.com
education@ttwtrader.com
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No part of this publication and video material may be reproduced, distributed, or transmitted in any form or by
any means, including photocopying, recording, or other electronic or mechanical methods, without the prior
written permission of the publisher, except in the case of brief quotations embodied in critical reviews and
certain other noncommercial uses permitted by copyright law. For permission requests, write to the publisher,
addressed “Attention: Permissions Coordinator,” at the address below.
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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General Trading Risk Disclaimer
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Futures, stocks and options trading involves substantial risk of loss and is not suitable for every investor. The valuation of futures, stocks and
options may fluctuate, and, as a result, clients may lose more than their original investment. The impact of seasonal and geopolitical events is
already factored into market prices. The highly leveraged nature of futures trading means that small market movements will have a great impact
on your trading account and this can work against you, leading to large losses or can work for you, leading to large gains.
If the market moves against you, you may sustain a total loss greater than the amount you deposited into your account. You are responsible for
all the risks and financial resources you use and for the chosen trading system. You should not engage in trading unless you fully understand
the nature of the transactions you are entering into and the extent of your exposure to loss. If you do not fully understand these risks you must
seek independent advice from your financial advisor.
All trading strategies are used at your own risk.
Any content on “TTW Trading Services Ltd.” should not be relied upon as advice or construed as providing recommendations of any kind. It is
your responsibility to confirm and decide which trades to make. Trade only with risk capital; that is, trade with money that, if lost, will not
adversely impact your lifestyle and your ability to meet your financial obligations. Past results are no indication of future performance. In no
event should the content of this correspondence be construed as an express or implied promise or guarantee.
“TTW Trading Services Ltd.” is not responsible for any losses incurred as a result of using any of our trading strategies. Loss-limiting strategies
such as stop loss orders may not be effective because market conditions or technological issues may make it impossible to execute such
orders. Likewise, strategies using combinations of options and/or futures positions such as “spread” or “straddle” trades may be just as risky as
simple long and short positions. Information provided in this correspondence is intended solely for informational purposes and is obtained from
sources believed to be reliable. Information is in no way guaranteed. No guarantee of any kind is implied or possible where projections of future
conditions are attempted.
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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Few Words About me
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Walter Lesičar
Trading Futures since more then 10 years
Order Flow and Order Book
www.ttwtrader.com
wtl@ttwtrader.com
T: @ttwatrader
Y: ttwtrader
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Goal of the Seminar
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We will use the visualization of the limit order
book to show that profitable and sustainable
trading with liquid instruments in liquid
markets is possible in the long term.
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Goal of the Seminar
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• How do modern markets operate?
• Who is playing the game?
• What are their motivations?
• How do they act and interact?
• How does all this affect liquidity and volatility?
• How do I profit from this knowledge?
• What strategies are the best for myself?
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Auction
Practice
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Absorption
Bookmap™
Oganization and Data
Presentation
Exhaustion
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Sweep
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Data Feed
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Syllabus
Strategies
Correlations
Practice
Book Flipping
Spoofing /Layering
Quote Stuffing
Stop Runs
Practice
Practice
Adv. Analysis Tools
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
CVD
Large Lot Tracker
Ice berg Detector
Volume Imbalance
POC
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11.Strategies Pattern
1. Execution Summary
12.Strategies
13.Strategies Indicators Part 3
1. VWAP
14.Strategies Part 4
1. Advanced Analysis Tools
15.Part 8 - Data Feed
16.Part 9 – Option Expiration
17.Part 10 - Trading Advice
18.Test 2
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1. Test 1
2. Part 1 – Auction
3. Limit Order Book (LOB)
4. Part 2 - Market Mechanic
1. Basic Terminology
5. Part 3 – Market Mechanic
1. Liquidity
6. Part 4 - Market Mechanic
1. Market Terminology
7. Part 5 – Order Book
1. Visualization
8. Part 6 – Strategies
1. Strategies Part 1
Liquidity, Sweep Trades, Pullback
9. Strategies Part 2
1. Correlations
10.Part 7: Trading Preparation
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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Documentation
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• All documentation, presentation, replay files and any additional
material can be downloaded from our Dropbox file.
• DropBox
• ttwtrader.echofin.co
• Video recordings via VIMEO
• Live Education Room via Zoom.us
• Announcement in ttwtrader.echofin.co „Signal Room“
• Skype for direct contact
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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This Seminar is designed for
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• Short Term Trader : Retail -, discretionary Trader
• Professional Trader
• Prop. Trader
• Institutional Trader
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Respect
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We all are from different countries. We all have different
background and knowledge in trading.
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For most of us English is not our native language.
Let‘s help each other with respect to grow and to become
profitable trader.
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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Bookmap™
Test 1
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Test
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• Please answer fast and intuitively
• Where will the price move next?
• Price rises (up)
• Price declines (down)
• Price goes sideways
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Bookmap™
Part 1 - Auction
Limit Order Book (LOB)
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Auction
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Absorption
Bookmap™
Oganization and Data
Presentation
Exhaustion
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Sweep
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Data Feed
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LOB
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Syllabus
Strategies
Correlations
Practice
Book Flipping
Spoofing /Layering
Quote Stuffing
Stop Runs
Practice
Practice
Adv. Analysis Tools
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
CVD
Large Lot Tracker
Ice berg Detector
Volume Imbalance
POC
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„Limit Order Book“ or LOB is the standardised „Bookkeeping“ for
every traded transaction
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LOB Characteristics
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• LOB (Limit Order Book) is standardised (!) for all traded instruments worldwide
• LOB Answers Questions:
• How much was traded?
• When was it traded?
• At which price was it traded?
• Was the price accepted by the traders?
• Which side wants to buy?
• Which side wants to sell?
• Are there aggressive buyers or sellers?
• „Thin“ Liquidity (illiquid markets)
• „Thick“ Liquidity (liquid markets)
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Structure of a LOB
Price
Bid, Ask
Best Bid and Offer (BBO)
Traded Volume
• Aka Current Trades against inside bids and offers
• Refresh time to be defined
• Snapshot or Delta Volume
• Pulling and Stacking of limit orders
• Statistics
• Volume Profile shows total number of contracts traded at each level. It shows also
Session VWAP and POC.
• Acts as Volume Profile tool
• Quotes Center shows the number of contracts refreshed for each specific price
level.
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Price
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Compare Bookmap
to a DOM
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Depth of Bid
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Depth of Bid
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Depth of Ask
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Depth of Ask
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Best Bid & Offer
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Best Bid & Offer
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Compare Bookmap
to a DOM
Traded Market
Volume
Traded Market
Volume
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Snapshot /Delta
Column
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Group Excercise: Auction
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Goals
• Understanding the Auction
• Understanding the Organisation of the LOB
• Understanding LOB terminology
• Understanding Your role as Trader
• Understanding what moves the Price
• Why is price going up?
• Why is price going down?
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Open Outcry (Pit Trading)
Auctioneer aka. Matching Machine
Auctioneer is the Market Maker
Bank, Broker sells and buys back Future-Contracts (not in a Webinar)
We will practise a simple auktion
Everyone get $2000 to start ($100, $20, $10)
Participants trade only Market Order
No short selling at the beginning
Duration about 10 – 15 min.
At the end of the auction you have be flat
Bank, Broker, Auctioneer must be paid $10 for each auction
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Auction Rules
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Your Feeling
Did you get what you want?
Why are we allowed to trade?
What are you trading?
Trading is a Zero-Sum-Game!
> 98% Retail Trader are losing
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Discussion
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YOU WILL BE A WINNER!
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LOB Terms – Limit Order
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A limit order sits in the order book until it is:
• either executed against a matching market order or it is canceled
• A limit order may be executed very quickly if it corresponds to the BestBid-Offer (BBO) price
• A limit order may take a long time if the market price moves away from
the requested price
• the requested price is too far from the bid/ask.
• can be canceled at any time
• Typically, a limit order waits for a match
• transaction cost is known
• execution time is uncertain
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LOB Terms – Market Order
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• A market order is an order to buy/sell a certain quantity of the asset at the best
available price in the book.
• Traders can put a market order that, for a buy (resp. sell) order,
• The first share(s) will be traded at the ask (resp. bid) price
• The remaining one(s) will be traded some ticks upper (resp. lower) in order
to fill the order size.
• The ask (resp. bid) price is then modified accordingly.
• When either the bid or ask queue is depleted by market orders or cancelations
the price is updated up or down to the next level of the order book.
• Typically a market order consumes the cheapest limit orders immediate
execution (if the book is filled enough)
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LOB Terms – Cancellation
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• Traders can put a cancellation of x orders in a given
queue reduces the queue size by x
• When either the bid or ask queue is depleted by market
orders and cancelations, the price moves up or down to
the next level of the order book.
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LOB Dynamics
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Actual trades come in two forms
• Trader can put a limit order and wait that this order matches another one
• transaction cost is known
• execution time is uncertain
• Trader can put a market order that consumes the cheapest limit orders in the book
• immediate execution (if the book is filled enough)
• price per instrument instead depends on the order size
• For a buy (resp. sell) order, the first instrument will be traded at the ask (resp. bid) price while
the last one will be traded some ticks upper (resp. lower) in order to fill the order size. The
ask (resp. bid) price is then modified accordingly.
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• When either the bid or ask queue is depleted by market orders and cancelations, the price moves
up or down to the next level of the order book
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Trading Advice
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• You never trade alone!
• If no one wants to trade with you, you won‘t be trading
anything.
• Trading always needs two parties.
• Cui Bono! (To Whom is it a benefit?)
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Price
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Time
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Price is simply the
auction‘s mean of
advertising opportunity
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Time regulates each
opportunity
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
Volume
Volume measures the
degree of success of
each auction.
James Dalton, Markets Profile,
Profiting from the Auction Process
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Bookmap™
Part 2 - Market Mechanic
Basic Terminology
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Market Maker
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• Provides Liquidity
• Without Liquidity no Trading
• Quoting:
• MM provides a bid-price with corresponding bid-volume
• MM provides a ask-price with corresponding ask-volume
• Clearing:
• MM decides on a price (p) to keep unsatisfied orders as small as possible
• Satisfied orders are cleared
• Facilitating Trading at any time and price
• Most instruments trade 24h/day (except. Crypto)
• „Thin“ and „Thick“ Markets
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Market Maker & Other Traders
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• Market Maker are called: Liquidity Providers
• Other traders are called : Liquidity Takers
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Aggressors & Passive Trader
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• Aggressors are active traders who consume liquidity from the
market
• Aggressors buys always at market!
• Algorithmic Trading Programs too (Sweeping!)
• Market Order are „active“ Order
• Passive Traders provide Liquidity
• Limit Order are „passive“ Order
• Transaktions matches always at Best-Bid-Offer!
• Matching aggressor and passive trader
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Informed vs. Uninformed Trader
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• Informed traders posses information about the future price of
an asset
• News, company numbers, better market access, etc
• Uninformed traders has no access to information
• Lack of news, lack of knowledge about traded asset,
random trading, market ignorance
• Information is hard to measure
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Enables electronic trading based on defined, fixed rules
Matches two parties, which want to trade
Matching Engine is always (!) fair
Following matching algorithms are used by the CME Group:
• First In First Out (FIFO)
• FIFO with Lead Market Maker
• Pro Rata
• Configurable
• Threshold pro Rata
• Threshold pro Rata with LMM
• Allocation and Ending
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Matching Engine - Auktioneer
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• Quelle: https://www.cmegroup.com/education/matching-algorithm-overview.html
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Last trade is current price
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Current Price trading on Best Offer
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Price Moves – Transacts on Best Bid
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Aggressor hits the bid with a sell market order
Liquidity on Best Bid is consumed
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BEST
OFFER
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BEST
OFFER
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BEST
BID
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Bookmap™
Part 3 – Market Mechanic
Liquidity
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Absorption
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Oganization and Data
Presentation
Exhaustion
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Sweep
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Data Feed
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LOB
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Syllabus
Strategies
Correlations
Practice
Book Flipping
Spoofing /Layering
Quote Stuffing
Stop Runs
Practice
Practice
Adv. Analysis Tools
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
CVD
Large Lot Tracker
Ice berg Detector
Volume Imbalance
POC
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Liquidity Provides
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• Liquidity is the „blood“ of all markets!
• Without liquidity no trading!
• Markets need sufficient liquidity to attract active and passive buyers
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• Market support buyers on the offer by providing liquidity
• Market seeks buyers or sellers for distribution in price zones
• Market uses liquidity to pressure the price down
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• Liquidity aka Volume attracts the price (magnet)
• Liquidity is easy to manipulate – see Order Book Pulling, Stacking
• Liquidity quickly vanishes from the market
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Conclusions
Tr
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• Market always seeks liquidity – liquidity acts like magnet!
• Liquidity is reliable if it is firm and stays firm
• Long Term Liquidity
• Stacking in LOB
• Liquidity is weak
• Short Term Liquidity – might appear only seconds in the LOB
• Pulling in LOB
TW
• Liquidity need to be taken by an equal amount of volume = absorption
• Liquidity act like a Catapult (Support)
20
,T
• Book flipping, Spoofing, Long- , Short Term Liquidity
• Liquidity is „thin“ and „thick“ – depends on market type
• „Thin“ markets: FDAX, Forex, CL, 6E, NQ, YM etc
• „Thick“ markets: Bonds, Treasuries, Indices
12 December 2019
20
• When Liquidity disappears (lack of liquidity) – Sit on Hands! (SOH)
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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Market Order
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Limit Order
Volume
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Se
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rv
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Liquidity Absorps Market Volume
12 December 2019
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• Whenever market volume and limit volume collide, volume or
“energy” is taken out of the market – “Energy” is absorbed
• Less (!) “Energy” aka Volume remains in the market
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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Volume
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Liquidity Absorps Market Volume
Market Order
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TW
Absorption
Liquidity
Limit Order
12 December 2019
20
• Whenever market volume and limit volume collide, volume or
“energy” is taken out of the market – “Energy” is absorbed
• Less (!) “Energy” aka Volume remains in the market
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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Not enough
energy to trade
Seeking new
buyers!
Se
rv
Long Term Liq.
12 December 2019
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Large Volume
Cluster
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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Keine
No Liquidity!
Liquidität!
12 December 2019
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Oil Inventories
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12 December 2019
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12 December 2019
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Liquidity: Group Discussion
12 December 2019
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• What is liquidity?
• Who provides liquidity?
• How does liquidity manipulate the price?
• How is liquidity manipulating traders?
• When is Liquidity reliable?
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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Long Term High Liquidity
12 December 2019
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• High liquidity remains in the book
• Defines the auction
• Digested by the auction participants
• Channeling between longer term liquidity
• Act as magnet
• Market can trade there – seeking high liquidity!
• Understand context of the area
• More or less liquidity around the area?
• Tendencies to pull the liquidity?
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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12 December 2019
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Long Term High Liquidity
20
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Se
Long Term High Liquidity
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12 December 2019
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20
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Tr
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Long Term High Liquidity
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12 December 2019
Long Term High Liquidity
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12 December 2019
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Short Term High Liquidity
12 December 2019
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• Short Term High liquidity briefly in the book
• Creates large auction imbalances
• New info for auction participants
• Skews the auction – Repels price
• Price reacts to supply and demand imbalance
• Understand context of the area
• Near areas of longer term liquidity
• Relationships to swings in microstructure
• Relationship with volume
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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Short Term
High Liq.
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Short Term
High Liq.
TW
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Long Term High Liquidity
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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Long Term High Liquidity
TW
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Short Term
High Liq.
Short Term
High Liq.
12 December 2019
20
Long Term High Liquidity
20
,T
Short Term
High Liq.
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Liquidity - Path of Least Resistance
Tr
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Se
Clearly visible in Bookmap
BID or ASK side support the price move in one direction
Real time evidence which way the market will go
Valid until resistance or support shows up
12 December 2019
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•
•
•
•
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12 December 2019
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12 December 2019
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Bookmap™
Part 4 - Market Mechanic
Market Terminology
Lt
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Auction
Practice
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Absorption
Bookmap™
Oganization and Data
Presentation
Exhaustion
TW
Sweep
20
20
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Data Feed
12 December 2019
Se
Liquidity
rv
LOB
ic
es
Syllabus
Strategies
Correlations
Practice
Book Flipping
Spoofing /Layering
Quote Stuffing
Stop Runs
Practice
Practice
Adv. Analysis Tools
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
CVD
Large Lot Tracker
Ice berg Detector
Volume Imbalance
POC
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Confirmation Indicators
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• Liquidity
• Absorption
• Exhaustion
• Sweeping
• Stop Runs
TW
Trading Indicators
Se
rv
ic
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Active and Passive Indicators
• Order Book Imbalance
• Pulling / Stacking
• Spoofing
• Channeling
• Book Flipping
• Quote Stuffing
• IceBerg
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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Absorption
12 December 2019
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• Absorption indicates the presence of one or more market makers
who are sufficiently capitalized to consume all orders at a certain
price.
• Absorption meets firm resistance when the limit page of the order
book is "recharged" or "stacked" with new volume until the entire
aggressor volume is consumed.
• Absorption always happens at price levels with equivalent liquidity.
• Volume absorbed = Liquidity allocated
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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Market Order
TW
Limit Order
Volume
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Liquidity
Se
Absorption
rv
ic
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Liquidity Absorps Market Volume
12 December 2019
20
20
,T
• Whenever market volume and limit volume collide, volume or
“energy” is taken out of the market – “Energy” is absorbed
• Less (!) “Energy” aka Volume remains in the market
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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Volume
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Liquidity Absorps Market Volume
Market Order
20
,T
TW
Absorption
Liquidity
Limit Order
12 December 2019
20
• Whenever market volume and limit volume collide, volume or
“energy” is taken out of the market – “Energy” is absorbed
• Less (!) “Energy” aka Volume remains in the market
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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Reasons for Absorption
12 December 2019
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• Market is changing his mind
• Traders has reached their target (Bussines Done)
• Distribution and Accumulation takes place
• Covering or Flatten open positions
• Can happen over more then one price level (!)
• Adding or opening new positions
• Can happen over more then one price level (!)
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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Absorption Example
12 December 2019
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High Liquidity in order book on bid, resting for several hours
It is far away from current best bid
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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Sweep of Book
12 December 2019
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Longer term liquidity resting on bid is now 1 Tick away from best bid
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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Another large 50 lot sell order hits the bid
12 December 2019
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High liquidity is 1 tick away from best bid
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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Sweep of Price Level
12 December 2019
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Now High liquidity is 1 on the best bid
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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Aggressive Trade is absorbed
12 December 2019
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High liquidity absorbs remainder of 50 lot order
Price does NOT sweep the level, and 80 contracts still remain at best bid
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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12 December 2019
20
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Another large 50 lot order hits the bid
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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12 December 2019
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Entire 50 lot order is absorbed by limit orders
30 contracts still remain at best bid
ic
es
Aggressive trade is absorbed, price stops
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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Aggressive buyer enters the market
12 December 2019
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Spread is 3 ticks
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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Aggressive buyer lift the offer with 1 contract
12 December 2019
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Limit buy orders on bid stops the sell momentum to downside
Price shifts to best offer and moves 3 tick higher
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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Absorption: Advanced Concepts
12 December 2019
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Tr
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Strategies: V-Bottom reversal, Pullback Setup
Phenomena: Stop runs, trapped volume, Book Flipping
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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12 December 2019
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„Energy“ absorbed
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12 December 2019
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12 December 2019
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12 December 2019
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12 December 2019
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12 December 2019
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Absorption: Application
12 December 2019
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• Absorption is not ALWAYS a reversal or trading signal!!
• It is important what happens next:
• Short Retracement
• Retracement up to next Liquidity Level
• Break Through
• Liquidity act as Support, Resistance
• Absorption Reversal, Continuation
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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Absorption: Pattern
Absorption – Retracement
Absorption – Break Through
Indicates strenght in the price
movement
Short Covering
Massive Sell Off
Liquidity above or below
Liquidity = Covering
Price drops
12 December 2019
20
NO Liquidity above or below
20
,T
Small short covering
TW
Absorption – „short“ Retracement
Price seeks Liquidity
Liquidity acts as Resitance or
Support
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
Price seeks final Support
(Liquidity) or Resistance
(Liquidity)
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Absorption: Pattern
Absorption – Continuation
Absorption – Reversal
Liquidity was absorbed
Firm Liquidity on Limit Site
Book flipping
LOB – Market Order are absorbed
LOB reading – Market Order
indicates the strenght of current
market
12 December 2019
20
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,T
LOB reading
TW
Stacking in LOB
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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12 December 2019
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12 December 2019
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12 December 2019
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12 December 2019
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109
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Exhaustion
12 December 2019
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• Exhaustion is a depletion of market orders on the last ticks or
price.
• We observe decreasing volumes.
• Exhaustion is a price level of last seller in a downtrend and a
price of last buyer in case of an uptrend.
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
110
12 December 2019
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Exhaustion Example
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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Sweep of Book
12 December 2019
20
20
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Tr
ad
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Se
rv
Down to low liquidity area of 8-10 contracts per price levels on bid
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
112
12 December 2019
20
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5 lots trade hits the bid
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
113
12 December 2019
20
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20
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Another 5 lots hits the bid
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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5 lots trade on the bid
12 December 2019
20
20
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Tr
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Best bid now shows low liquidity of 8 contracts
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
115
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Lack of trading activity
12 December 2019
20
20
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Tr
ad
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rv
Best offer drops and narrows the spread
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
116
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12 December 2019
20
20
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Tr
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Sellers dry up
Buyers lift the offer as 5 lot enters the market
ic
es
Price exhausts on bid – no trading activity
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
117
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12 December 2019
20
20
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Tr
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Market buy orders transact on the best offer
ic
es
Price exhausts on bid – no trading activity
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
118
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20
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12 December 2019
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119
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20
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12 December 2019
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120
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12 December 2019
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12 December 2019
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Sweeping
12 December 2019
20
20
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Tr
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• Trading through 1 or more price levels very fast
• Big aggressive market orders
• Leaving unfinished auctions (Low Volume Nodes – LVN)
• Fast and powerful refusal of prices
• Speed of price action is important
• [Stop running]
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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Sweeping or Big Moves
12 December 2019
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20
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• Fast and powerful moves are initiated (ignited) by algos at
exogeneous events like sudden political or economical issues.
• Prices then sweeps through a range of prices leaving an order
vacuum in it‘s wake as time goes on.
• New orders come into the void
• Large market orders arrive so fast that the queue does not have
time to equilibrate between their arrivals.
• Market making programs see the orders and they seek to execute
them so price retraces.
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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20
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12 December 2019
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12 December 2019
20
20
,T
Quota Center
traded contracts=0
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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No
„Polling“
Se
Matching Engine
starts to poll
12 December 2019
20
20
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Sweep
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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20
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12 December 2019
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128
12 December 2019
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Current Price trading on Best Offer
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
129
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12 December 2019
20
20
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Tr
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Aggressive 50 lot sell order hits the Bid
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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All liquidity taken – 15 lots trade
12 December 2019
20
20
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Tr
ad
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rv
50 lot order is now 35 lots
Aggressive sell order hits bid againat next price level, spread widens
1 Tick
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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All liquidity taken – 18 lots trade
12 December 2019
20
20
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Tr
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50 lot order is now 17 lots
Aggressive sell order hits bid again at next price level, spread widens 2 Tick
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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17 of 22 lots trade – 5 lots remain on Best Bid
12 December 2019
Tr
ad
in
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TW
20
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20
VACUUM
Se
rv
50 lot order is now completely filled – Best Bid remains on current level
2 levels of the order book are quickly swept, vacuum between BBO
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
133
12 December 2019
20
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20
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Tr
ad
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Se
Strategies: Momentum, Pullback setup, Rejection
Phenomena: Book Flipping, Icebergs, Ignition
rv
Sweeping – advanced concepts
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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Trading Advice
Tr
ad
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Never trade in the direction of a Sweep!
Avoid the „Pavlovian Reflex“!
12 December 2019
20
20
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A sweep must be traded AGAINST it‘s direction –
at the near end of the move.
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Stop Runs – Stop Losses
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• Stop runs are bottom or top formations that shoot beyond an
absorption level to trigger stops in the immediate area of the
absorption or breakout.
• Stop Runs triggers stops which are immediately executed at market
• This triggers a fast counter movement, which is intendent.
• It is a Slingshot Move
• Sweeps are the most causes for Stop Runs
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Confirmation Indicators
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• Liquidity
• Absorption
• Exhaustion
• Sweeping
• Stop Runs
TW
Trading Indicators
Se
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Active and Passive Indicators
• Order Book Imbalance
• Pulling / Stacking
• Spoofing
• Channeling
• Book Flipping
• Quote Stuffing
• IceBerg
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Why does the price move?
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• Indicates a change of expectations or mood of market participants
• Why does the price drop?
• Because there is no BID (!)
• High Liquidity on Limit Offer means more resistance
• Less Liquidity on Limit Bid means less resistance
• Why does the price rise?
• Because there are sufficient buyers willing to lift the offer
• High liquidity on Limit Bid means strong support
• Lower Liquidity on Limit Offer indicates low resistance
• ALL these „intentions“ are indicated by the „Order Book Imbalance“!
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Current Price trading on Best Offer
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Order Book is Balanced
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Price Moves – Transacts on Best Bid
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Aggressor hits the bid with a sell market order
Liquidity on Best Bid is consumed
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Order Book Imbalance
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Value Shift in „Intent of Trade“ on the Best Offer
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Auction is „skewed“, seeks balance through price reevaluation
Liquidity pulled, Spread widens as Best Bid drops 2 Ticks
ic
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Supply Imbalance
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Price Moves – Transacts on the Best Bid
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Aggressor hits the Bid with a Sell Market Order, with volume of 1 contract 3 Tick vacuum
created between BBO
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Depth Imbalance: advanced concepts
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Spoofing or Layering, Icebergs
Strategies: Momentum
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Book Flipping
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• Means that market makers are adding to bid / offer to
support one direction of the price
• Mind changing
• Gives mostly a reliable view of the price development
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Book
Flipping
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Book
Flipping
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Quotes Delta: Pulling & Stacking
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Confirms Absorbtion!
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• Bid and Ask side are managed separately according to similar
logic
• Each side resets to zero whenever the best price changes
• The Quotes delta displays cumulative size change of the
price level since the last reset
• It is a simple adding and subtracting
• Because changing of volume happens fast
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Spoofing or Layering
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• Load the book in one direction and remove the orders
before execution.
• Goal is to manipulate the price action swelling the
volume of the order book above and below the current
price.
• Under the 2010 Dodd-Frank Act spoofing is defined as
"the illegal practice of bidding or offering with intent to
cancel before execution.”
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Channeling
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• Intent to keep the price within a price range in order to get filled on
certain price levels
• Goal is to manipulate the price action WITHIN the range
• Text of Rule 575 – Disruptive Practices Prohibited
• All orders must be entered for the purpose of executing bona fide
transactions. Additionally, all nonactionable messages must be
entered in good faith for legitimate purposes.
• A. No person shall enter or cause to be entered an order with
the intent, at the time of order entry, to cancel the order before
execution or to modify the order to avoid execution;
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Channeling
Channeling
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Quote Stuffing
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• Part of HFT trading
• Quote stuffing is the practice of quickly entering and then withdrawing large
orders in an attempt to flood the market with quotes, causing competitors to
lose time in processing them.
• High-frequency trading in and of itself is not illegal. However, stuffing takes
place when traders fraudulently use algorithmic trading tools that allow them
to overwhelm markets by slowing down an exchange’s resources with buy
and sell orders in securities.
• Only market makers and other large players in the market are capable of
executing these tactics, since they require a direct link to the securities
exchange in order to be effective.
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• Excerise Time: 30 min.
• Group discussion
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Excercise: Replay Bookmap™
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Training exercises
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• Identify Basic Market Mechanics examples in Bookmap
replay mode
• Markup several charts
• Variations of how price moved
• Draw conclusions from the examples, noting the
different times, markets and varying liquidity
• Begin anticipating Basic Mechanics in real time
12 December 2019
20
Understanding these market mechanics are critical.
This will lay a solid foundation for future lessons.
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Bookmap™
Part 5 – Order Book
Visualization
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Practice
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Absorption
Bookmap™
Oganization and Data
Presentation
Exhaustion
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Sweep
20
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Data Feed
12 December 2019
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rv
LOB
Strategies
Correlations
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Syllabus
Practice
Book Flipping
Spoofing /Layering
Quote Stuffing
Stop Runs
Practice
Practice
Adv. Analysis Tools
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CVD
Large Lot Tracker
Ice berg Detector
Volume Imbalance
POC
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Goals
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• Order Book visualization with Bookmap™
• Why visualization?
• Advantages of LOB visualization
• Bookmap™ design and set-up
• Dot, Bid, Ask
• Liquidity level
• Time Slices, Macro- , Micro View
• Settings
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Data Visualization
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Data Visualization allows us to
• Structure, evaluate and better comprehend the meaning of
displayed data
• Define terms for a common language
• Develop rules based on the defined language and act
accordingly across all platforms
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Everything is relative!
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Historical Chart Structure
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• Visualisation is relative to the selected time frame!!
• Small Dots – small volume!
• Large Dots – large volume! (Large Volume Cluster)
• Liquidity level are RELATIVE
• Related to the zoom level
• Related to the time frame
• Density of liq. is defined by color
• From light to dark(er) (high liq.)
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Traded
Data
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Historical Data
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Short Term High Liquidity
Depth of Market (DOM)
Limit Order Book (LOB)
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LOB
Volume
Profile
Pullback
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Absorption
12 December 2019
20
Long Term High Liquidity
Sweep
LVN
Pulling
LVN
Book Flipping
Cumulated Volume
Delta
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TTW Trading Services Ltd. based on Bookmap™ 7.1.0
Stacking
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Meaning of Dots = Volume
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• NEVER TRADE WITH BUT
AGAINST BIG VOLUME!
• Pavlovian reflex!
• Trap for most traders at highs
and lows.
• Stops were hit or they must
cover/flatten their positions
• This panic supports the
counter move
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Date & Time
BID 42 at 2593.00
Volume: 122 at 2592
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Date & Time
ASK 44 at 2595.00
Volume: 191 at 2595
Se
Liq. relative to
time frame!!
Ask
Bid
Liq. relative to
time frame!!
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Colormap
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Heatmap and Volume Dots can
be changed with dyn. Slider.
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Info Line has same
infos like Data Tool
Tipp
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Trading Advice
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Use higher time frames and don‘t lose yourself in MicroView!
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You want maximum profit with just a few trades!
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Bookmap™
Part 6 - Strategies
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Auction
Practice
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Absorption
Bookmap™
Oganization and Data
Presentation
Exhaustion
TW
Sweep
20
20
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Data Feed
12 December 2019
Se
Liquidity
rv
LOB
ic
es
Syllabus
Strategies
Correlations
Practice
Book Flipping
Spoofing /Layering
Quote Stuffing
Stop Runs
Practice
Practice
Adv. Analysis Tools
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
CVD
Large Lot Tracker
Ice berg Detector
Volume Imbalance
POC
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Trading Advice
12 December 2019
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• NO BIAS
• BE PATIENT
• LET THE MARKET GUIDE YOU
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Market Order
TW
Limit Order
Volume
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Absorption
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Liquidity Absorps Market Volume
12 December 2019
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• Whenever market volume and limit volume collide, volume or
“energy” is taken out of the market – “Energy” is absorbed
• Less (!) “Energy” aka Volume remains in the market
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Reversals
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Large Volume Cluster
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Strategy Symbols
Pullback
Liquidity (Long – und Short Term)
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Traded Volume
Correlations
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Divergences
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Sweeps
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Meaning of Dots = Volume
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• NEVER TRADE WITH BUT
AGAINST BIG VOLUME!
• Pavlovian reflex!
• Trap for most traders at highs
and lows.
• Stops were hit or they must
cover/flatten their positions
• Supports the counter move
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Bookmap™
Strategies Part 1
Liquidity, Sweep Trades,
Pullback
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Trading Advice
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• NO BIAS
• BE PATIENT
• LET THE MARKET GUIDE YOU
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Goals
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• Applying strategies based on the studied market mechanism
• Active and passive indicators
• Understanding strategies and their execution
• Liquidity
• Sweep trades
• Pullback
• Additional analysis methods in the second part
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Liquidity as Target
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• Liquidity acts as „magnet“ for all markets
• Without Liquidity no trading
• Liquidity is providing or taking „Energy“
• Absorption (taking volume out of the market)
• Book Flipping aka Support or Resistance
• Order Book Imbalances (Support or Resistance)
• Use Liquidity as your guidedance / orientation throughout the
trading day
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„Energy“ absorbed
here
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Follow Liquidity
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„Energy“ absorbed
here
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Liquidity
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Liquidity
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•
Volume
•
At the beginning of a sweep not existent
•
At the Top or Bottom ends in a „Big Volume Cluster“
•
Always followed by a massive reaction to the Big Volume Cluster in the DOM
•
LOB shows no volume because of the speed of the move
•
Chart Range Volume Profile shows no volume either (LVN = Low Volume Nodes)
12 December 2019
20
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•
Sweep
•
Is always a 90° move !
•
Is always extremly fast (max. 2-20 sec.)
•
Leaves always a vacuum
•
Vacuum must be closed within a short period, always (!)
•
is always triggered by algos
•
Is most of the time the end of a swing or capitulation
Liquidity
•
Not existing
•
Sweep to a liquidity level = Absorbtion
20
•
rv
Prerequisites
Se
Trade into the Sweep
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Trade into the Sweep – Scheme
TW
90° +
Vacuum
12 December 2019
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ESH9
ESH9
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ESH9
CLH9
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•
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•
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•
Sweep trading requires experience
Sweep indicates
•
a pause in trading
•
a reversal
•
Stop runs (immediate response)
Execution
•
Wait for the largest volume or „Large Volume Cluster“ of the sweep (1-3 sec.)
•
A fill on the top is in most cases unlikely (Slippage e.g CL)
•
Wait for a retest with lower volume
•
Consider this entry and place your stops above the liquidity level
•
It takes some time to lift off or to drop
A sweep indicates further
•
To clear your position (long or short)
•
To tighten your stops
•
End of the price movement
Disadvantage
•
A sweep can happen 1-2-3 times in a row (dependent on the instrument)
20
•
•
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Trade into the Sweep – Execution
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Trade into the Sweep – Execution 1
Stop Area
Most of „Energy“
absorbed here
Se
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Sweep - Immediate Rejection
Tr
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Liquidity firm
Short Area
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Sweep
90°
Vacuum
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ic
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20
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Se
Short Area
rv
Stop Area
Long Area
Stop Area
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Stop Area
Se
Most of „Energy“
absorbed here
rv
Sweep as Reversal
ic
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Trade into the Sweep – Execution 2
Tr
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Short Area
90° +
Vacuum
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Book flip
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Stop Area
Short Area
Tr
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Se
Most of „Energy“
absorbed here
90° +
Vacuum
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Book flip
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Most of „Energy“
absorbed here
rv
Stop Area
Se
Sweep
90°
Vacuum
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20
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Tr
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Short Area
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20
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Sweep
90°
Vacuum
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Trade into the Sweep – Execution 3
Tr
ad
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Se
Sweep
90°
Vacuum
rv
Sweep – Bottom and Top Formation
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Most of „Energy“
absorbed here
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Long Area
Stop Area
Book flip
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90° +
Vacuum
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Most of „Energy“
absorbed here
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Long Area
Stop Area
Book flip
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Most of „Energy“
absorbed here
Tr
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90° +
Vacuum
Long Area
Stop Area
Book flip
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More Selling then
buying
rv
Stop Area
Short Area
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Se
Most of „Energy“
absorbed here
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Stop Area
Short Area
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Most of „Energy“
absorbed here
Se
rv
More Selling then
buying
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No
Se
Sweep?
rv
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Sweep – Basic Decision Table for Conservative Entries
Wait!
Tr
ad
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Yes
Retest?
No
Wait!
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20
Runner
20
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Yes
Yes
Entry on low
Volume
Entry ok?
No
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Cancel!
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Retest?
No
ic
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Yes
No
Wait!
rv
Sweep?
Wait!
Se
Yes
Entry on low
Volume
Entry ok?
No
Cancel!
Tr
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Yes
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Runner
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Trade into the Sweep – Execution 4
rv
Sweeps in a row
Se
Most of „Energy“
absorbed here
Short Area
Tr
ad
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Most of „Energy“
absorbed here
Stop Area
Sweep 1
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Sweep 2
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Liquidity = target
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Sweep 2
Sweep 3
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Sweep 1
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TW
Sweep 1
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Sweep 3
Long Term High Liquidity
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Sweep 3
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Sweep 2
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Sweep 1
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Advanced Trade: Sweep Correction
Se
rv
Advanced Scalping Technique: For experienced Trader!!
Tr
ad
in
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Most of „Energy“
absorbed
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Sweep
90°
Vacuum
TIME!!
~ 50% of the
Sweep
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~ 50% of the
Sweep
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~ 30% - 50% of
the Sweep
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•
Volume
• Pullback ends in depleted volume = Exhaustion
• Divergence in Chart Accumulated Volume Profile
Liquidity
• Good Short Term High Liquidity above / below the volume cluster
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•
Trending Environment
• Pullbacks or Reversals always in a Trend
Conditions
• Move ends in a Volume flurry or Large Volume Cluster!!
• Absorption of Volume (loss of Energy!)
• Covering or profit taking starts
20
•
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Pullback Strategy - Prerequisites
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Pullback
„Big“ covering
Pullback
„small“ covering
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Pullback: Pattern
Absorption – Retracement
Indicates strenght in the price
movement
Short Covering
Price drops
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20
NO Liquidity above or below
Liquidity above or below
20
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Small short covering
TW
Absorption – „short“ Retracement
Pullback
Absorption – Continuation
Liquidity was absorbed
Book flipping
LOB – Market Order indicates the
strenght of current market
Pullback
Price seeks Liquidity
Liquidity acts as Resitance or
Support
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Pullback – Scheme and Execution
Exhaustion
Se
rv
Short Term Liquidity
in the LOB
Tr
ad
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Volume
Cluster
Short Area
TW
Most of „Energy“
absorbed here
Stop Area
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Divergence
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Pullback Strategy– Execution
Pullbacks happen always in trending moves
Pullback Entry
• Look for Short Term Liquidity above or below the last Large Volume
Cluster
• Let the market trade towards the Short Term Liquidity
• Remember: Price seeks Liquidity!
• Place your trade below or at the Short Term Liquidity
• Stop must be above the Short Term Liquidity
• Volume
• Low Volume close to Short Term Liquidity
• Exhaustion is indicated
• Watch Chart Volume Profile (CVP) for LVN (Low Volume Nodes)
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•
•
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Short Term Liq.
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12 December 2019
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Break of
Structure
LVN
Tr
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Se
Low Volume pullback
Exhaustion
High Volume
Cluster
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Book
sweep
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Sell Volume
Cluster
Stop Loss aggressive
Tr
ad
in
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Recall exhaustion
Set realistic limit order
rv
Stop Loss above POC
Target – High
Liquidity
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20
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20
12 December 2019
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TW
20
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12 December 2019
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20
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20
12 December 2019
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Bookmap™
Strategies Part 2
Correlations
Lt
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Auction
Practice
Tr
ad
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Absorption
Bookmap™
Oganization and Data
Presentation
Exhaustion
TW
Sweep
20
20
,T
Data Feed
12 December 2019
Se
Liquidity
rv
LOB
ic
es
Syllabus
Strategies
Correlations
Practice
Book Flipping
Spoofing /Layering
Quote Stuffing
Stop Runs
Practice
Practice
Adv. Analysis Tools
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
CVD
Large Lot Tracker
Ice berg Detector
Volume Imbalance
POC
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Trading Advice
Tr
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Correlations gives an additional level of confidence in trading.
12 December 2019
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Utilize this additional information in your daily trading decisions.
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Many markets have close interdependencies
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Se
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Correlations
Correlations help to see and recognize the direction of a market
•
Correlation is a statistical measure that determines how assets move in relation to each
12 December 2019
20
,T
Although Correlations exist, they must be always viewed in the economical context.
20
•
TW
other. (https://www.investopedia.com/articles/financial-advisors/022516/4-reasons-why-market-correlation-matters.asp)
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45%
Tr
ad
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S&P 500
S&P 500
3,8%
28,6%
20
12 December 2019
20
,T
DOW JONES
MSFT
AAPL
AMZN
GOOG
FB
INTC
Volatility Index
SPY
ETF Fund
TW
MSFT
AAPL
AMZN
GOOG
FB
INTC
VIX
Se
MSFT
AAPL
AMZN
GOOG
FB
INTC
ic
es
NASDAQ 100
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
Source: https://www.slickcharts.com
$ / YEN
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Correlation: ES – MSFT - AAPL
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Correlation:
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ES – YEN – SPY – VXX - MSFT – AAPL –AMZN - NQ
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Correlations – SPY vs. ES
12 December 2019
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Tr
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• The SPDR S&P 500 trust is an exchange-traded
fund which trades on the NYSE Arca under the symbol
(NYSE Arca: SPY). SPDR is an acronym for the
Standard & Poor's Depositary Receipts, the former
name of the ETF. It is designed to track the S&P 500
stock market index. This fund is the largest ETF in the
world (https://en.wikipedia.org/wiki/SPDR_S%26P_500_Trust_ETF)
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Correlations – QQQ vs. NQ
20
,T
TW
Tr
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The PowerShares QQQ, previously known as the QQQQ, is a widely held
and traded exchange-traded fund (ETF) that tracks the Nasdaq 100 Index.
The Nasdaq 100 Index is composed of 100 of the largest international and
domestic companies, excluding financial companies, that are listed on
the Nasdaq stock exchange, based on market capitalization. Therefore,
QQQ is heavily weighted toward large-cap technology companies and is
often viewed as a snapshot of how the technology sector is trading.
12 December 2019
20
(https://www.investopedia.com/ask/answers/061715/what-qqq-etf.asp)
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Correlations – VXXB or VIX
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(https://www.investopedia.com/terms/v/vix.asp)
TW
Tr
ad
in
g
The Volatility Index, or VIX, is an index created by the Chicago Board Options
Exchange (CBOE), which shows the market's expectation of 30-day volatility. It is
constructed using the implied volatilities on S&P 500 index options. This volatility is
meant to be forward looking, is calculated from both calls and puts, and is a widely
used measure of market risk. The VIX is often referred to as the "investor fear gauge."
Fear, volatility, and the index move up when stock prices are falling and investors are
fearful. The index, volatility, and fear decline when stock prices are rising.
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•
•
12 December 2019
TW
•
•
If YEN soars – indices will drop (S&P 500)
If YEN plummets – indices are rising (S&P 500)
20
,T
•
•
•
•
Investors shift their capital in case of uncertainty from stock markets, indices in
Forex markets
YEN is seen as the negative indicator of the S&P 500 (ES)
Tight correlation between USD/YEN and S&P 500
YEN is in diffcult times the „Flight to Quality“
S&P 500 and YEN have (normally) an inverted ratio to each other.
This can change – see 2016
At times of high correlation, YEN is used to hedge against the S&P 500
Rule of Thumb:
20
•
Se
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Correlation: USD/YEN - ES
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Correlation: ES – YEN
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Correlation: ES – YEN
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Lt
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Correlation: ES – YEN
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TW
20
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20
12 December 2019
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TW
20
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20
12 December 2019
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TW
20
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20
12 December 2019
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20
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20
12 December 2019
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20
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20
12 December 2019
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TW
20
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•
•
•
•
30 Year Bond (ZB), 10 Year T-Note (ZN), 5 Year T-Note (ZF) correlates
strongly
Stock- and Bondmarkets correlates contrary
When Bond market soars, the Stocks are likely to fall
Investors tend to shift their capital
Investors are hedging the S&P 500 market against the Bonds and vice versa
20
•
Tr
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Correlations: Treasuries – S&P 500
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Correlations: Treasuries, Indices
Se
ZB
10 year
Tr
ad
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30 Year
ZF
ZN
5 Year
12 December 2019
20
20
,T
BUND
TW
S&P 500
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12 December 2019
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ES - ZB – ZN - ZF
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Lt
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ES - ZB – ZN - ZF
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20
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20
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Tr
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Se
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ZB - ZN
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TW
20
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Bookmap™
Part 7: Trading Preparation
Lt
d
Auction
Practice
Tr
ad
in
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Absorption
Bookmap™
Oganization and Data
Presentation
Exhaustion
TW
Sweep
20
20
,T
Data Feed
12 December 2019
Se
Liquidity
rv
LOB
ic
es
Syllabus
Strategies
Correlations
Practice
Book Flipping
Spoofing /Layering
Quote Stuffing
Stop Runs
Practice
Practice
Adv. Analysis Tools
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
CVD
Large Lot Tracker
Ice berg Detector
Volume Imbalance
POC
269
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Goals
12 December 2019
20
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• Trading Day Preparation
• Macro View (Tage, 60min)
• Micro View (10 min, 5 min)
• Historical Chart „synchronisation“
• Cloud Notes for potential important price levels (Google
Docs)
• Custom Notes for ad hoc entries
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
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Preparation - Macroview
Analyze your instrument in daily and minute charts
• Y-Close (GAP), Y-Low, Y-High, PP, R-Open, Pre-High, Pre-Low, Y-VWAP, etc.
•
Transfer important price levels into Bookmap™
• Dynamically with Google Docs via Notes -> Cloud Notes
• Manually during the trading day via Notes -> Custom Notes
•
Algorithmic programs trade most of the time parallel between price levels
• Draw horizontal lines at Swing Highs and Swing Lows
20
,T
20
12 December 2019
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•
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Day
20
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Trading Day Preparation
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60 min
272
12 December 2019
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Lt
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Cloud Notes
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Macroview and Structure – example
12 December
2019
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Daily Chart
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Macroview and Structure – example
12 December
2019
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30 min.
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Microview and Structure – example
12 December
2019
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Macroview and Algos
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• Each market is manipulated (every day) by algorithmic
programs
• Algos moves in parallel between price levels
• Mark the high and low of swings
• Horizontal markings coincide with High Term Liquidity levels
• In Bookmap™ applicable if historical data are subscribed
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Macroview and Algos - Preparation
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Macroview and Algos - Preparation
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Macroview and Algos - Preparation
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Trend Definition
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• Use current market data to prognosticate the daily trend
• Correlations are highly reliable indications
• Look 1 day and 2-3 day back. What is / was the trend?
• Mark previous daily data in your chart (High, Low, Gap(!), Open..)
• Mark important liquidity levels (Long Term High Liquidity)
• Use additional technical indicators like McClellan or similar
• Use a decision table
• Always be aware that current analysis can be affected by daily events!
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Indication
Result
1 day – 3 and more days
Green / Red / Neutral
Gold (GC)
1 day – 3 and more days
Green / Red / Neutral
Treasuries (ZB, ZN, ZF)
1 day – 3 and more days
Green / Red / Neutral
Dow Jones (YM)
Correlation with ES and NQ
Green / Red / Neutral
Nasdaq (NQ)
Correlation with ES and YM
Green / Red / Neutral
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Yen / USD (6J)
Shares: AAPL, MSFT, AMZN, GOOG https://www.finviz.com/map.ashx?t=sec
Green / Red / Neutral
Trend definition (https://www.mcoscillator.com/)
Green / Red / Neutral
Long Term High Liquidity (see next)
Mark it in BM chart
Skew the trend !!
News services: DataFlash
News
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Daily Liquidity Model
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Technical Indicators (McClellan)
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Trend Definition – Decision Table
Example: S&P 500 Future (ES mini)
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Watch for Liquidity as a first Estimate
Liquidity
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Prio 1 Liquidity
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Prio 2 Liquidity
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current Long Term High
Liquidity levels.
Liquidity
Liquidity
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Prio 2 Liquidity
Prio 3 Liquidity
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Prio 1 Liquidity
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Trend Definition
Shares vs Treasuries
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Trend Definition
ES – YEN – Gold – 30y Bond
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Bookmap™
Strategies Pattern
Execution Summary
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What makes a Good Setup?
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• Consistency
• The ability to clearly identify if it‘s working or not
• Having a close stop and a far target
• High Risk:Reward (R:R) ratio
• Patience
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Sweep – Contrary Trading
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• Sweeps are signs of liquidation, capitulation
• See Sweep chapter
• Leaves always an imbalanced limit order book!
• MUST always be traded contrary
• Pattern
• Wait until sweep comes to an end
• Does the market retest price at top/bottom?
• Volume retesting top/bottom must be clearly lower then traded before
• Use Divergences, ASK / BID Imbalances
• Target
• Price seeks liquidity
• Correlation to other markets
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Re-Bid – after open
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• Re-Bid means to enter market and to take advantage of it‘s direction
• Pattern
• Bullish Market
• Liquidity above attracts price
• Execution
• Step in and re-bid the move
• Target = Liquidity above
• Note
• Stop below last low
• R:R ratio not optimal
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Re-Bid
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Re-Offer
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• Re-Offer means to enter market and to take advantage of it‘s direction
• Pattern
• Bearish Market
• Fast price action, mostly at the beginnig of trading session
• Liquidity below attracts price
• Execution
• Step in and re-offer the move (market or limit)
• Target = Liquidity below
• If no liquidity below, ride the move until exhausted (Sweep)
• Note
• Stop above last high
• R:R ratio not optimal
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Re-Offer
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Time and Liquidity as an Indicator
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• Time / Timing is the most important factor in Trading
• Price seeks liquidity
• Pattern
• Bullish Market
• Firm Support at a price
• Liquidity attract buyers above
• Execution
• Buying dips at re-tested price level
• Target = Liquidity above
• Help
• Draw a rectangle around re-tested price
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•
Volume
• Pullback ends in depleted volume = Exhaustion
• Divergence in Chart Accumulated Volume Profile
Liquidity
• Good Short Term High Liquidity above / below the volume cluster
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Trending Environment
• Pullbacks or Reversals always in a Trend
Conditions
• Move ends in a Volume flurry or Large Volume Cluster!!
• Absorption of Volume (loss of Energy!)
• Covering or profit taking starts
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Pullback
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Trend
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Short Term High Liquidity
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Bookmap™
Strategies Indicators Part 3
VWAP
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Practice
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Absorption
Bookmap™
Oganization and Data
Presentation
Exhaustion
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Sweep
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Data Feed
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Syllabus
Strategies
Correlations
Practice
Book Flipping
Spoofing /Layering
Quote Stuffing
Stop Runs
Practice
Practice
Adv. Analysis Tools
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CVD
Large Lot Tracker
Ice berg Detector
Volume Imbalance
POC
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VWAP –
Volume Weighted Average Price
VWAP is the ratio of the value traded to total volume traded over a particular time
horizon (usually one day). It is a measure of the average price a financial
instrument such as stock or futures traded at over the trading horizon.
•
The most professional brokerage firms offer what is known as Guaranteed VWAP
execution to large institutional clients. Guaranteed VWAP is the process of
executing trades exactly at the VWAP price.
•
VWAP is used to identify liquidity points
•
VWAP spots the action of very active money pools
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Daily Volume Weighted Average Price
Weekly Volume Weighted Average Price
Monthly Volume Weighted Average Price
Time Weighted Average Price
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VWAP –
Volume Weighted Average Price
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Daily VWAP (NT8)
Source:
https://www.lizardindicators.com
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Weekly VWAP (NT8)
Source:
https://www.lizardindicators.com
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Monthly VWAP (NT8)
Source:
https://www.lizardindicators.com
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Indicators for NinjaTrader 8
Source:
https://www.lizardindicators.com
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Bookmap™
Strategies Part 4
Advanced Analysis Tools
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Practice
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Absorption
Bookmap™
Oganization and Data
Presentation
Exhaustion
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Data Feed
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Syllabus
Strategies
Correlations
Practice
Book Flipping
Spoofing /Layering
Quote Stuffing
Stop Runs
Practice
Practice
Adv. Analysis Tools
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CVD
Large Lot Tracker
Ice berg Detector
Volume Imbalance
POC
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Tools
Advanced applications
• API Automated Strategies
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• Training Excercises
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Sharp Delta
Cumulative Volume Delta
Iceberg Detector
Large Lot Tracker
Correlations
Alert Settings
• Large Trade Alert
• Order Book Imbalance
• VWAP
• POC
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• Confluences at Setup Levels
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Cumulative Volume Delta
Cumulative Volume Delta or CVD is a very basic indicator. It simply plots the
accumulation of aggressor volume.
•
The CVD simply displays the cumulative volume of buy aggressors minus sell
aggressors. Buy Volume is a positive number and Sell Volume is a negative
number. Add them together and that's your CVD output
…
TW
5 Contracts bought = +5
2 Contracts sold = +3
10 Contracts sold = -7
….
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CVD - Basics
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• Significant directional CVD & volume is usually correlated with
strong price movement.
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• Insignificant directional CVD & volume is usually correlated with
weak price movement
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• If the above correlations don't exist, then something is amiss.
There is a divergence between price movement, volume, and
CVD. Therefore a possible trading opportunity exists.
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Sweeping and Retracement
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Higher Time Frame
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Absorption
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Exhaustion
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Iceberg Detector
Bookmap generates the iceberg indications based on difference between the
actual pending order offered at that price level and the actual number of orders
that transacted at that price level, at that specific moment.
•
Larger Players use hidden orders or IceBergs to conseal their intent to trade at
that price level; their large limit order do not display in the LOB. Therefore,
these hidden orders do not skew the aucion imbalance.
•
Can act as absorption at that price level, with lack of liquidity in LOB.
•
https://bookmap.com/wiki/Iceberg_Orders_Tracker
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•
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Native Algorithm in Action
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Usage of Iceberg orders
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Large Lot Tracker
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• An approximation of the largest single pending order at a price
level if that order crosses a certain threshold based on the
adjustable settings in Bookmap.
TW
• Larger Players typically set individual large block orders in areas
they want to deal
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• Can act as a spoof – puposely showing large orders can skew the
auction and cancellation of these orders can create vacuum.
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Order Book Imbalance
Order Book imbalance represents the ratio between the average bid order book
size versus the average ask order book size
•
Volume imbalance represents the ratio between the volume generated by
buying aggressors (market order transactions on the offer) versus the volume
generated by selling aggressors (market order transactions on the bid)
•
The two imbalance indicators are calculated according to the current chart
range. Any change to the chart range (either by dragging or by zooming in or
out) will affect the readings of the imbalance indicators..
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Order Book Imbalance
Alert Settings
TW
• Alerts when extraordinary imbalance in LOB happen
• Be careful in areas with „many“ imbalance alerts
• Imbalance areas
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• Pause
• End of a trend
• Reversal of a trend
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POC – Point of Control
The Point of Control, commonly abbreviated as POC, is a Market Profile term
which describes the price level where the most volume was traded (also known as
the price level where the most TPO's have printed).
•
A Naked Point of Control (also called a Virgin Point of Control) is a previous POC
which has not been traded at (taken out). It remains active until it is traded at
(taken out) and for this reason it attracts price towards it
•
See also: Dr. John Keppler, Profit with the Market Profile
James F. Dalton, Mind over Markets
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•
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Bookmap API‘s
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• Bookmap API allows to connect to Bookmap new data sources
and trading systems, and to develop custom modules such as
automated trading strategy, indicators, voice alerts, data export
and recording, and more.
• Source: Bookmap API Wiki
• Source: Bookmap Forum
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Bookmap Features and Components
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• https://www.youtube.com/playlist
?list=PLzaGy3oukoRSOXWvcynCFeFRTUAz
mauD
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Bookmap™
Part 8 - Data Feed
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Practice
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Absorption
Bookmap™
Oganization and Data
Presentation
Exhaustion
TW
Sweep
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Data Feed
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LOB
ic
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Syllabus
Strategies
Correlations
Practice
Book Flipping
Spoofing /Layering
Quote Stuffing
Stop Runs
Practice
Practice
Adv. Analysis Tools
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CVD
Large Lot Tracker
Ice berg Detector
Volume Imbalance
POC
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Bookmap™ can be connected to multiple data vendors
Quality of data feed differs (!)
Market-by-Price (MBP)
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Data Feed
Market-by-Price (MBP) describes a price-based data feed that provides the ability to view
the total size of all orders at each price level. MBP can describe either full market depth or a
limited number of nearest Bid and Ask price levels, e.g. 5, 10, or 20 price levels.
• Market by Order (MBO)
• or Order-by-Order describes an order-based data feed that provides the ability to view
individual orders and their evolution. The order's information contains its unique Order ID, limit
price, size, and its location in the queue. MBO typically provides full market depth, describing
orders at each price level. This is the more modern and more transparent type of market data.
• https://bookmap.com/wiki/Main_Page#All_data_and_trading_connections
• https://www.cmegroup.com/confluence/display/EPICSANDBOX/CME+MDP+3.0+Market+Data
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Data Feed: Market by Order (Rithmic)
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Aggregated data are good enough for candle and similar charts.
Aggregated for retail traders
To make a decision a trader can toss a coin to come to a decision
Need for indicators and different chart types
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Why Data Depth?
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Why Data Depth?
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• Because only Charts with not aggregated data are meaningful and useful!
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• With non aggregated data everything is disclosed and we can decide according the
displayed information.
• We see all levels available and thus we can plan and trade accordingly
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MSFT
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AAPL
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Crypto
Minimum
License **
Trading
Market depth
data
Data quality
score 1-5 ****
MacOS *****
Real-time
Global
Yes
Full
5
Soon
Data type
Yes
dxFeed
Yes
Yes
Real-time
Global
Via IB ***
Full
5
dxFeed
Yes
Yes
Delayed
Digital
Simulator
Full
5
Cedro Crystal
Yes
Yes
Real-time
Global
Yes
Full
5
S5 Trader
Yes
Real-time
Global
Yes
10 levels
CQG
Yes
Real-time
Global
Yes
10 levels except
CL
Interactive
Brokers
Yes
Real-time
Global
Gain
Yes
Real-time
Global
IQFeed
Yes
Real-time
Global
Ninja Trader
Yes
Real-time
Global
Transact
Yes
Real-time
Global
X_TRADER (TT
API)
Yes
Real-time
Nanotick
Bookmap
Replay
Virtual
Yes
Yes
Yes
Yes
Yes
Yes
Yes
12 December 2019
Yes
No
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CME, Eurex,
ICE, ...
Where can I get
the data?
Demo data
available?
From brokers
Yes
Nasdaq, EDGX
No
From Bookmap
Nasdaq, EDGX
No
From Bookmap
BM&F Bovespa
(Brazil)
Status remarks
From XP broker
CME, Eurex,
ICE, ...
From Stage 5
Yes
CME, Eurex,
ICE, ...
From brokers
Yes
CME, Eurex,
ICE, ...
From IB
CME, Eurex,
ICE, ...
From brokers
CME, Eurex, Ice
...
From IQFeed
From
NinjaTrader
2
Yes
10 levels
4
No
10 levels
3
Yes
10 levels
3
No
Continium =
CQG Kinetick =
IQFeed
Yes
10 levels
3
No
CME
From Transact
Global
Yes
10 levels
4
No
CME, Eurex,
ICE, Euronext ...
From brokers
Real-time
Real-time
Real-time
Real-time
Digital
Digital
Digital
Digital
Yes
Yes
Yes
No
Full
Full
Full
100 levels
5
5
5
5
GDAX
BitMEX
OKCoin
Bitfinex
Historical
Global+
Sim
Full
5
CME
From Nanotick
Files recorded
Source: Option Expiration Calenda
by user
TW
10 levels
20
GDAX
BitMEX
OKCoin
Bitfinex
4
API access
******
Yes
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Se
Rithmic
Exchanges
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Futures
rv
Connections
Historical
Real-time,
No
Digital+
Sim
Full
5
Any
Digital
Yes
Full
5
VE
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
Yes
Included
Included
Included
Included
Beta
Alpha
Alpha
Source: Option Expiration Calendar
352
Included
Sep 2018
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Bookmap™
Part 9 – Option Expiration
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Option Expiration
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• Option expiration days have a high correlation with following
indices:
• ES, NQ, YM
• Statistical probability is > 80% that on these days the indices
will probably correct
• Mark the Option Expirations days in your calendar
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Source: Option Expiration Calendar
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Bookmap™
Part 10 - Trading Advice
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Trading Advice
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NO BIAS
BE PATIENT
LET THE MARKET GUIDE YOU
LISTEN TO THE MARKET
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4 Reasons to be Successful
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• Don‘t fear to lose any opportunity
• Fully and absolutely confidence in your system
• Never be boredom
• No need to force a trade – wait until market speaks to you!
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Don‘t fear to lose an Opportunity
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• Order Book reading shows the opportunity when it arrives
• Bookmap™ gives you clear signals at Macro- and Microlevel
• Concenrate on your trading system
• Act upon learned strategies
• Good Opportunities always occur – you‘ll never miss one
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Confidence in your System
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• Bookmap™ is a leading trading tool
• Footprint is a leading trading tool
• Accurate, non-aggregated data feed
• Visualisation is of great help understanding and interpreting
the LOB and Order Flow
• Be and stay a well skilled Order Book Trader
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No more Boredom
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• Bookmap™ Historical Chart shows LOB levels in advance
• Visualisation of long- and short term liquidity
• Understanding the price action
• Clear trend and signal indication
• Look for easy trades
• There is time for trading and time to go fishing!
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Trade to win and not for excitement!
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No forcing a trade anymore
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• Bookmap™ Historical Chart shows LOB levels in advance
• Visualisation of long- and short term liquidity
• Learn to control your Bias and Wait
• Follow the market
• Bookmap™ shows you what the market is actually planning and
doing
• Stay relaxed and listen to the market
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Trade to win and not for excitement!
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Always wait for the setup: No Setup – No Trade!
THE BEST trades work almost right away.
Never take a big loss. If it doesn‘t „feel“ right – remove it!
Always perfect your craft and sharpen your skills!
Be patient with winning trades! Imaptient with sketchy trades!
DISCIPLINE to follow your plan is the key to winning in trading.
Never get emotionally attached to trades.
Always trade with the size that makes your unemotional.
Keep things very simple and don‘t over-think your trading methods.
Stay humble at all times.
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5.
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7.
8.
9.
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Golden Rules
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Bookmap™
Test 2
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Test
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• Please answer fast and intuitively
• Where will the price move next?
• Price rises (up)
• Price declines (down)
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Seminar Evaluation
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Google Forms
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