ES Tuesday 11-18-14

We hit the 415pm lower band yesterday in RTH and both 4 and 415pm bands in ETH

I have tried filtering on large orders only >999 on the delta with limited success. I look at delta and it seems to help but I also plot a signal marker using Delta for large orders >999 on the one minute chart. Red dot for negative above the price and green dot for positive below the price on the one minute chart only. It gives me a sense for what those large order contracts are doing. Now it can be misleading as well if they are quickly buying and selling - red followed by green, etc. So I look for 3 in a row, uninterupted on the one minute, in the first 60 minutes close to a level we have identified. 3 reds in a row at the top or green at a bottom. This seems to help me more than anything else, but had the end it is just another indicator.

New kid, check you PM for description of how to show cum delta

Paul,

Here is the chart you asked for. I have also emailed it to you.

Thank you newkid
my same style chart but using IB data (snapshots not tick by tick) produced a chart that looked almost exactly opposite when it came to the cum delta bars
TY

I will have to look into whether Rithmic does tick by tick volume or not

This change in Delta volume happened around 10:38AM. This shows a change in selling vs buying volume coming into the market at the arrow. Notice the total Delta from -3984 to a +2025. A little late but you see the idea.

sharks, what data source do you use?

Rithmic from my broker.

Thanks. Looks like you and I are on Rithmic.
Bruce and Paul use IB

I can show you spots where that delta Volume change doesn't work as many times as it does. So this was just an example not a trading method. We need to think in terms of other confirmations to coincide with that to filter out the whipsaws IMO.

An example of an open drive that failed was on Friday 11/13/2014: