In Todays Electronic markets over seventy percent of all transactions
are executed by algorithmic trading bots it's helpful to know what these bots
are up to in real time Welcome to your daily S&P 500
Follow The Bots market recap sponsored by sceeto
Hi I am Carl Weiss the chief algorithmic architect here at sceeto
and it is my hope we can help you trade with the bots and not against them
Today is Thursday January 10th and you are looking at a 4 tick range bar chart in the
forward e-mini S&P 500 futures contract.
We had a bunch of outstanding order flow and trading bot setups today but before we go
through them I would like to show you some order flow insights that can be helpful on
days when the market is going sideways.
Now This is relevant as over the last 5 trading sessions we have had 4days where the S&P was
stuck in a very narrow range for between 1 and 3 hours and then when it did break out...it
broke out after insights from order flow had been clearly seen.
The first example is January 4th where we in a 2 and half point range for almost 3 and
a half hours.
Now If you are just looking at price, or stochastics, or moving averages, or any other standard
technical analysis indicator there is no clue or hint as to which way the market is going
to break.
But if you are looking at the Order flow momentum within the Globex servers at the Chicago Mercantile
Exchange as surfaced here by MacDaddy there is a strong tell that price is going to break
to the upside.
If you extend your analysis to also include equity trading bot syncronicity as surfaced
by sceeto's WIND algorithm, you have even further evidence that this consolidation period
is going to break to the upside.
Now let’s look at Monday January 7th and again you will see again that the S and P
was in a in a very tight 2 point 75 point range consolidation for about 2 and a half
hours and if you are just looking at price you it is very difficult to tell which way
the market is going to break.
Now if we add in MacDaddy there is definitely a green inference which means buying and if
we add WIND in Wind is kinda neutral an blue so the inference is that the market is going
to go up and it does.
Now the next day where there was an interesting range was January 9th and we in a 2 and a
half point fr about 2 hours from ten thirty to twelve thirty the sideways action hard
to tell which way the price is going to break.
But if we peel down and look at MacDaddy there is definitely a surge in MacDaddy selling
prior to the breakdown then contiguous red and the market breaks down.
Today, January 10th we saw the same behavior again when the market was stuck in 3 point
range for about an hour.
If we peel back the curtain and look at MacDaddy, we see that red is the dominant color and
this implies selling and if we dig even deeper and look at WIND there was just a tremendous
red, which means that the trading bots executing orders in the component s and p 500 stocks
were primaily aligned to the sell side - and of course the market is going to respond to
all of this selling order flow and break to the downside which it does.
I hope that you found this mini-tutorial on how order flow can be a tell to indicate the
direction of price breakouts as a helpful include into our daily order flow report and
now I'd like to show you some really cool things that also happened today.
These two yellow dots that you see above price just before price moved down are what we call
extreme tick ratio and they are surfaced by sceetos algorithm Tape Meter.
Here are spikes in MacDaddy for today and as usual they perform very very well.
and here you will see that the trading bots as surfaced by sceetos order flow monitor
really just went with the flow today.
and if you did in fact follow the bots you did pretty well.
I hope that you found this helpful.
I am Carl Weiss from sceeto.
Hi.
I'm Carl Weiss the chief architect of sceeto
sceeto’s real-time data advanced algorithmic order flow monitoring data can surfaced in
Ninja Trader, tradeStation, Sierracharts and Multicharts
Register for a free trial of sceeto at www.sceeto.com - thanks for stopping by.