So It's pretty much a myth that retail traders can use any informational data from the top of the book. By the time my algo touched the data to start analyzing the top of the book, the real market was already 2-3 price levels somewhere else. This was not related to the proximity hosting or the order execution speed, but rather the lag in the data feed reader. I tried testing some entries based on volume signals at the top of the book using Ninja Trader with a VPS with fairly decent location to the exchange and my latency was off by a comical magnitude. I won't say that resting volume analysis has no informational value at all, but I can tell you that the edges that I have presented here are not available to retail traders. Please note that I'm not yet fully trading orderflow due to lack of good data provider in my region, so my understanding is very low, so sorry for any stupid questions. Sorry if I missed or misunderstood anything, but these were the basic questions nagging me when I read through the info you already provided. Have you had opportunity to test it across different time frames? I mean what about using orderflow to confirm accumulation and distribution on larger time frames technical levels? Does that work? If it is, what way should we improve this scenario? I mean I got the overall fill issue of losers getting filled and winners not getting filled, but lets say I'm a scalper looking to use orderflow as secondary confirmation system, how should I improve this overall? Or is it best to take orderflow out of question for scalpers?ģ. I understood that using orderflow for scalping is not efficient in its current form or shape that retailers use, is that right?Ģ. Went over this thread from morning, help me get clear understanding of somethings and for newbies like me.ġ. The bet in a nutshell is to determine which strong side would win based on which had more volume to start. So for every move the market makes, the labeling system I came up with was to label the two adjacent strong sides and their corresponding starting volumes. This fight can take maybe 10 to 20 price levels until one of the two weak sides finally beats a strong side. And on instruments like the ES with thicker books the strong side wins the next immediately price level 95% of the time.Īt a macro level, the market will typically stay in a state of impasse between the two adjacent strong sides fighting against each other, with each strong side winning over their corresponding weak side. The weak side or WS is the side that previously won the last price level and therefore does not have any resting volume to start, so it has to spontaneously back-fill volume.Īt a micro level, every price level is a fight between 1 strong side vs. This side I am calling the "strong side" or SS. The taxonomy pretty much follows this:Įvery price level has one side starting with resting volume that has been accumulating on resting price levels. Again thanks for taking an interest in this.
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