Australian (ASX) Stock Market Forum

Trading The SPI - NON-Gann Techniques

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Trembling Hand said:
No waiting. in this example I'm talking about the unique action of the SPI after cash close but it happens to some degree during cash hours as well just not so violently nor as quick. It is literally a 5 second trade. Hit whatever is in front of the big bid/offer, move your limit exit right behind or on top of the big order. Let the Bigger Boyz take you out as they chew the volume. It really is as rapid as a blink. A true scalp for a a punch drunk nutter on ICE like myself.

I will try and find an example and do another vid tomorrow before I p!ss off to Japa's for a couple of weeks.
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TH - When you hit whats in front of the big bid are you using a market order? I assume when dealing with these lighting fast trades that entering with a limit order would cause too many misses?
 
Ok remembered a good one even after all this fine Red. :)

From Thursday 22nd. We have the normal thick order book (not illiquid like someone is trying to tell us ;)) of after 4:10 close, we have just pushed down from a failed test of the high, and then back up into the middle of the range of the last 10 min.

Then we get a 50 lot bid placed 3 levels down at 3452. time 4:17:40

Bang, 4:17:50 it plus the 30 lots in front of it get taken out.

Then at 4:18:10 a BIG 150 lot sell gets place on the last Ask level 3455 (5 points up) with a 70 lot at the first bid (which is not a valid setup for this trade)

Guess which one gets smashed?

Vid here,
http://tremblinghandtrader.typepad.com/Spi vol flicks.avi

tradez said:
TH - When you hit whats in front of the big bid are you using a market order? I assume when dealing with these lighting fast trades that entering with a limit order would cause too many misses?
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Tradez, that's why 70% of all futures volume throughout the world gets done on a TT DOM or rip off like in these vids (manual executions). You don't really need to choose between Limit or at market. You use hot keys and mouse clicks at price levels. At market orders are no good for scalping.
 
Then at 4:18:10 a BIG 150 lot sell gets place on the last Ask level 3455 (5 points up) with a 70 lot at the first bid (which is not a valid setup for this trade)

Guess which one gets smashed?
Click to expand...

So the guy offering 150 ended up pulling offer right?
 
BentRod said:
So the guy offering 150 ended up pulling offer right?
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Nah he got hit. the replay sim dosn't show all the ticks thats why it didn't show up on the ticker.

What happens in the after cash close the Boyz close out big positions put on during the day and are looking for vol. I guess the ones who are trapped need to get it while its there. While the ones on the other side are "naming their price".

Mr C can probably add more to what these Big swinging Dicks are up to. I just know to hit it before some other punter does. :ak47::bigun2:
 
BentRod said:
Ah so that was you that hit the 21 that were leaning on the 157:D
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Actually I was one of the tossers who was 1 second to slow on that one (Hit out a 5 lot at 3454 no fill, pulled). I think I was looking at the 70 lot bid and didn't see the bigger one. Thats why I remembered it so quickly. Another one that got away. :cool:
 
Cartman said:
eg -- in mirc's example --- if there were a crapload of bids sitting there, he was happy to load up, but u r saying most of the time u will go the other way yes? ---

just interested in what makes u choose the other direction if u dont wait for a coupla decent hits at the sitting orders ------
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This is the thing with the DOM Cartman, it is SO discretionary. In this case, frontrunning the size, was great because it was HUGE size, defending a HUGE level, and they were upticking so making a big statement. It wasn't just a 100 lot that randomly appeared in the book after cash close.

Personally, I don't like the last 30 mins very much, except for 4:10pm (final auction calculation and then everyone coming out of the woodwork to quickly do their lots once cash is closed) and 4:29pm, when you get sharp reversals back to 'fair value' if someone has done too much buying or selling relative to other gobal index movement since 4:10pm closing auction price. Usually, you will get big guys come in to slam it back in line and if they still can't do it, it will usually just gap back towards fair value once night SPI opens.

But yes, as TH says, a 150 lot 5 levels away, will often just get GULPED up in a second. Like is stated above, the guy named his price, someone else liked it, and BANG, it's all over. Happens many times in the close period. It's only if that large order doesn't get filled, and he started bringing his large lot down the ask, still didn't get clipped and then starts going to market, that you will get a FORAY of frontrunning (everyong hitting the bid), then a few ticks later on down, BANG and the 150 lot will disappear. What happened? The first itchy trigger covered and all the other guys did the same, within a second, everyone banked their few ticks on how many contracts they had and used him as their cover. Occassionally, if his smart, he will pull the 150 lot and the traders will be what is called 'beached', whereby they have nobody to cover into and have to manage their trade. You will then get other traders who were not in, start hitting the asks, to get everyone else out (hitting the ask as they are covering, pushing price up), the smart guy with the big lot, will then put it back in, at a higher price.
 
MRC & Co said:
This is the thing with the DOM Cartman, it is SO discretionary. In this case, frontrunning the size, was great because it was HUGE size, defending a HUGE level, and they were upticking so making a big statement. It wasn't just a 100 lot that randomly appeared in the book after cash close.

Personally, I don't like the last 30 mins very much, except for 4:10pm (final auction calculation and then everyone coming out of the woodwork to quickly do their lots once cash is closed) and 4:29pm, when you get sharp reversals back to 'fair value' if someone has done too much buying or selling relative to other gobal index movement since 4:10pm closing auction price. Usually, you will get big guys come in to slam it back in line and if they still can't do it, it will usually just gap back towards fair value once night SPI opens.

But yes, as TH says, a 150 lot 5 levels away, will often just get GULPED up in a second. Like is stated above, the guy named his price, someone else liked it, and BANG, it's all over. Happens many times in the close period. It's only if that large order doesn't get filled, and he started bringing his large lot down the ask, still didn't get clipped and then starts going to market, that you will get a FORAY of frontrunning (everyong hitting the bid), then a few ticks later on down, BANG and the 150 lot will disappear. What happened? The first itchy trigger covered and all the other guys did the same, within a second, everyone banked their few ticks on how many contracts they had and used him as their cover. Occassionally, if his smart, he will pull the 150 lot and the traders will be what is called 'beached', whereby they have nobody to cover into and have to manage their trade. You will then get other traders who were not in, start hitting the asks, to get everyone else out (hitting the ask as they are covering, pushing price up), the smart guy with the big lot, will then put it back in, at a higher price.
Click to expand...

thanks Mirc good description ----- its interesting that the spike plays im still testing on FX seem to fit the same scenario u r descibing --- only dif is FX spikes can go a long long way b4 reversing and the volume can be pretty crazy so getting the entry right is a bit tricky -----

ps re the 'beached' traders ---- getting on the wrong side of sharp moves must be pretty nasty if theyve taken large positions ---- i know TH sets minimum stops on his trades, but how do these big punters 'manage' their positions from what u see ---- do they just take the medicine and fold it at the next best price available, or hedge a reverse position until the market goes their way?
 
MRC & Co said:
Yep. If some size pops up, they will clip it to get out. If not, they will just have to hit market and take their medicine.
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out of interest Mirc ---- if these big players are pumping big volume into the market around the close, can we assume they have been pumping smaller amounts in during the day to set a position perhaps ?? ----- so even if they get out gunned at the close they prob still ended up ok 4 the day ??

in yr opinion is it possible to 'read' the earlier days action with any clarity to give an indication of how the close might pan out?? ----- ie can we 'spot' the big boyz footprints during the day with any consistency from what u have seen?? ---- any hints how to spot what theyre up to ;) :D
 
Cartman said:
out of interest Mirc ---- if these big players are pumping big volume into the market around the close, can we assume they have been pumping smaller amounts in during the day to set a position
Click to expand...

Interested in this kind of stuff myself and have a few questions MRC or others might help with ......

Is there a finite number of futures contracts up for trade on any given day? (ie are there limits/restrictions other than the size of your wallet as to how many contracts can be traded daily?) .....

If we get an ultra high volume day ..... does this indicate more contracts in the market, or simply the same players "churning" the market to try and increase their percentage return?

Do most big players/instos close out their trades during the high volume morning and afternoon sessions? ie Are there any statistics as to how many big players hold positions o/night or longer time frames, and how many just trade each session then "get out" till tomorrow so to speak? .....

Hope those questions make some sense :eek: ...... Is there anywhere we can get info about how the larger traders "approach" the market ..... I think it would be of great value to help us small players understand the mechanics of it all ...... Cheers.
 
barney said:
Is there a finite number of futures contracts up for trade on any given day? (ie are there limits/restrictions other than the size of your wallet as to how many contracts can be traded daily?) .....
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I don't know but I wouldn't think so as it's simply a contract between two parties, unlike shares that are finite.

barney said:
If we get an ultra high volume day ..... does this indicate more contracts in the market, or simply the same players "churning" the market to try and increase their percentage return?
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To know this, you could look at the open interest figures. This tells you how many contracts are currently open at the end of each day.
http://www.investopedia.com/terms/o/openinterest.asp

barney said:
Do most big players/instos close out their trades during the high volume morning and afternoon sessions? ie Are there any statistics as to how many big players hold positions o/night or longer time frames, and how many just trade each session then "get out" till tomorrow so to speak? .....
Click to expand...
The full timers could better answer the big boys behaviour but you might be able to garner something from the open interest again. Open interest might range between 200 and 300 thousand contracts whereas volume on each day might average only 20-30 thousand contracts. Meaning that the volume traded on any day is only about 10% of the contracts being held.

barney said:
Hope those questions make some sense :eek: ...... Is there anywhere we can get info about how the larger traders "approach" the market ..... I think it would be of great value to help us small players understand the mechanics of it all ...... Cheers.
Click to expand...
The following article gives an example of how a large order might be worked.
http://alphatrends.blogspot.com/2007/11/institutional-trading-benchmark.html
and this one on market makers, although as I was told, there are no market makers on the spi futures. I found it helpful nonetheless.
http://www.making-bread.co.uk/how-the-stock-markets-work.htm

Hope that helps.
 
morning all
todays road map
have a great day and take care
ac;)
 

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Cartman said:
if these big players are pumping big volume into the market around the close, can we assume they have been pumping smaller amounts in during the day to set a position perhaps ??
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after the equity market closes there is a need for institutional investors to cover equity positions they now must hold overnight, and that is not fully revealed by futures trading during the day.
 
good morning all
today road map
have a great day and good trades
ac;)
 

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evening all,
just how perfect is this road map

LIS. 3433..lod 3431..hon ..3522..road map 3522..
never ceases to amaze me.
have a great evening..
ac;)
 

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Hi acouch ,you have certanily got it down to a fine art . Am finding my own levels which correspond with a few of yours but dont have a lis line to define long or short .

Am about to sell a house so will have funds to get amibroker and a real spi trading setup so might b able to chart better then the cfd charts and save stuff.

have a good weekend ,Nathan
 

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