BOOKMAP for learning Level 2 and T&S

[MIGS 3]

7 hours ago, BrandonB said:

@MIGS are you still using DAS for order execution & Bookmap for L2? Are you using CMEG or IB?

 

 

Thanks!

Yes, DAS is still my execution platform......using IB.  

What I learned this week:

Added the TTW-Tradefinder and TTW market volume pro subscriptions

TradeFinder works best with Market by Order data (regular market by price data has reduced set of detail). 

 

Bookmap offers Rithmic, relatively inexpensive, but unfortunately only for commodities (or “futures”, like e-minis )...

 

Both add-ons work with the regular equities market data subscription (DxFeed) but tradefinder will not be able to detect hidden orders ( needs Rithmic MBO data)

 

If you just have the standard Bookmap software you don’t need to worry about the add-ons... but if you do get them beware add on settings need to be “optimized” for EACH ticker ( thresholds to report stop orders, added/removed liquidity or book imbalances, and specially the hitbid/liftask vdelta indicator) ...For example settings for NIO won’t work for TSLA...so needs a bit of preparation/optimization with real data before use, so not really made for a scalping strategy jumping from one ticker to the other during the day, but Bookmap allows saving “workspaces” and I understand you can store different tickers with their respective settings for future use so I guess you can have a library of your favorite stocks ready for use.

All data is real time, no lagging indicators. Still trying to figure out if this works for my “potential” strategies  ( TSLA L2 scalping and trending day)

Enclosed is TSLA from today’s last few 30 minutes drop/recovery with dataadd-ons optimized to my “style”.  In hindsight is easy to associate the signals after the fact so need to try these settings in real time in the market:

-Arrow down (highlighted in purple) is the hitbid indicator providing confirmation sellers are in control and “hitting the bid” pushing the price down.

-Imbalance indicator dramatically dropped just as price started to come down ( highlighted in purple below), little label “201” alarm signals an extreme imbalance below 200%.

-Arrow up is the liftask indicator, coinciding with TSLA’s dramatic price break at the end of the day, confirming buyers took control. This is confirmed by the imbalance indicator reverting up. ( highlighted in purple)

-Other labels with numbers are alarms indicating liquidity added/removed from the order book (these and all other indicators can be deactivated/activated or made more or less sensitive and as mentioned should be manually calibrated to the particular ticker). 

No single indicator provides the complete picture, the idea is to use a few key ones in the context of your particular ticker/setup to aid in a better informed decision. 

Edited June 12, 2021 by MIGS

[Roberto 10]

Keep updates coming on where you feel strengths/weaknesses are. 

[Hiro 0]

On 5/4/2020 at 11:27 AM, Alastair said:

Many new traders struggle to learn level 2.  This was a challenge for me as well. Its WAS like kryptonite, .....................No more. (Read full thread for knowledge). 

The Bookmap education series teaches how to use the trading tool BUT also it teaches you the mechanisms of the market and how to read in bookmap L2 which can easily be translated into the DAS montague and Time & Sales.

In my opinion the Bookmap education series is a MUST for any trader.  Start with the link below.   As u watch the video remember the following two points:

1.  MARKET ORDERS move the market (aka aggressive orders the balls)

2. only LIMIT orders are shown in the book of an exchange(Pools of liquidity).  Price generally moves to LARGE pools of liquidity, i.e. LIMIT orders.

 

WARNING: The ease of use is unbelievable, u will be tempted to buy.  (Watch more on YouTube channel.).......then submit to ur temptations.

 

SUGGESTION ON HOW TO WATCH PRICE---  As  PRICE approaches a level focus ur eye on the T&S window initially, top line,  (eyes should move from T&S to L2 in montage back to candles, then to T&S) and watch the price and size of the BID/ASK.  This tells you exactly wht will happen in the next few seconds and the potential start or failure of a move/swing.  This indicator only tells you the start, does not allow u to read if it will continue. (Tht is for another post/thread soon.........).

 

 

 

Alastair, thank you for the video above.  

At 25:25 of the video above, it says bids near the current price pull because they get scared by the asks stacked above the current price.  Can you elaborate on why?  

[Alastair 114]

On 9/19/2021 at 12:44 AM, Hiro said:

At 25:25 of the video above, it says bids near the current price pull because they get scared by the asks stacked above the current price

Hey,

Easy answer....POOL OF LIQUIDITY formed above price, the ASK.  Price generally moves towards large pools of orders.

Remember passive orders in the order book are usually targets/take profit levels of traders.  Traders with large positions do not use STOPS, example, Andrew and Ross, as STOPS creates a pools which the market makers will target. 

MM targets pools, they do not care if its a take profit or a stop.  For MM its money for them.  Just like you MM have daily goals, weekly goals, monthly goals, yearly goals.  They operate a business making profit.

Most very large traders will hedge a position in an ETF or other stock/ticker and not use a STOP.

The BID below could also have been a target, so the entry corresponding to that BID was above price, near or in the POOL of ASKS.  If the pool of liquidity falls near the traders entry or stop, the traders cut the position or stopped out.  My logical interpretation.

Hope that makes sense.

Edited September 21, 2021 by Alastair

[Hiro 0]

6 hours ago, Alastair said:

Hey,

Easy answer....POOL OF LIQUIDITY formed above price, the ASK.  Price generally moves towards large pools of orders.

Remember passive orders in the order book are usually targets/take profit levels of traders.  Traders with large positions do not use STOPS, example, Andrew and Ross, as STOPS creates a pools which the market makers will target. 

MM targets pools, they do not care if its a take profit or a stop.  For MM its money for them.  Just like you MM have daily goals, weekly goals, monthly goals, yearly goals.  They operate a business making profit.

Most very large traders will hedge a position in an ETF or other stock/ticker.

The BID below could also have been a target, so the entry corresponding to that BID was above price, near or in the POOL of ASKS.  If the pool of liquidity falls near the traders entry or stop, the traders cut the position or stopped out.  My logical interpretation.

Hope that makes sense.

Thank you for your response.  I have some questions I would appreciate if you could help me understand.

1.  Yes, I understand MM moves price towards pools of liquidity to make money.  That means if asks are stacked to the top side, it is a bullish sign because MM will go there to do transactions and make money.  So, are you saying those bids that pulled were profit targets placed by short sellers who were expecting price to go down, but since asks are being stacked to the top side now and they believe MM will increase and move price away from their profit targets, they will pull their profit targets and move up their profit targets or stop loss near a pool of liquidity?

2. Regarding your statement "Traders with large positions do not use STOPS, example, Andrew and Ross, as STOPS creates a pools which the market makers will target.", you are saying, let's say they go long with a large share size with a stop loss below price.  Since MM sees a large stop loss, MM will move price down to take care of their large stop loss instead of moving price up?  

3. Another question regarding your statement "Traders with large positions do not use STOPS, example, Andrew and Ross, as STOPS creates a pools which the market makers will target."  What if they place profit targets as well as their stop loss, which will create a pool of liquidity both above and below?  Would it benefit traders like Andrew and Ross or since there is balance with liquidity, MM will not move price and it won't benefit them?

Thank you, Alastair.

[Alastair 114]

My response:

1. YES

2. YES

3.  If pools of liquidity appear below and also above price MM (using automated algo programming) will target the nearest one (usually the STOP).  However the algo are intelligent and will target pools best suited for the MM on that day based on MM's daily/weekly profit targets etc. Algos can evaluate size, how long it has been at a level, MM profit targets, market conditions,   etc.

You will notice some big traders lay down bread crumbs for the algo (smaller pools) until the real target is met. This is called a ladder....you see small pools on L2 until a big order......that is a pro trader, a big pro-trader.

[Hiro 0]

18 hours ago, Alastair said:

My response:

1. YES

2. YES

3.  If pools of liquidity appear below and also above price MM (using automated algo programming) will target the nearest one (usually the STOP).  However the algo are intelligent and will target pools best suited for the MM on that day based on MM's daily/weekly profit targets etc. Algos can evaluate size, how long it has been at a level, MM profit targets, market conditions,   etc.

You will notice some big traders lay down bread crumbs for the algo (smaller pools) until the real target is met. This is called a ladder....you see small pools on L2 until a big order......that is a pro trader, a big pro-trader.

Thank you Alastair for your responses!  I'm good for now.  Thank you, again!

[Alastair 114]

We recently had discussions in the BBT chat room on how to read the tape or better described as interpreting the tape.

This has led me to make this post and present my ideas and observation which may help in the discussion and make this critical
 excercise easier for traders.

To help I have included an image below with a specific layout of DAS windows and 4 numbered focus points(FP). I have defined a simple 4 step 
mechnical process to interpret the tape and make a decision when to enter/exit a trade in the direction of a predetermined bias.

 

 

 

The windows layout is rooted in trying to be logical and efficient for the physical process, minimize head/eye movement and a logical 
decision making process.

The Layout
a) Montage L2 top line is the potential future transaction, i.e. a crystal ball looking into the future
b) T&S top line is a "large tape" of most recently executed transactions (note: deliberately on same eye level as L2)
c) 1 min chart as close as possble to T&S and montage L2 (Note: BID/ ASk spread is on charts for easy visual reading with no lines across charts)

The Focus Points (what to observe when price is moving into a S/R level which the trader previously marked on the chart)

FP#1. 
- Select which price you prefer to observe, the BID or the ASK.  No need to watch both. I watch the BID as it is physically closer to the T&S info.
- Watch as price changes on this line, is the price change moving up, down or holding at a specific price point?  
- Only need to observe the change in the cents.
- Verbally speak the value to yourself as it changes.
- Is the price re-aquiring a specific price point?
- Is the share size signifcant at that price point?
- How much is the change in price?  
- Is it large/small for that symbol?

FP#2.
- Is the most recent transaction an aggresive BUY or an aggressive SELL ?
- Did the price change up or down with last transaction compared to previous transaction? 
- Note the price changes for white transaction, they are also important.
- What was the quantity of shares?

FP#3.
- What are the last 3 to 5 candle sticks communicating at this level which is drawn on chart?

FP#4.
- Increasing or decreasing volume?
- What is the volume for each candle stick communicating?
- What VPA patterns are being displayed in the volume area?

Repeat FP#1 to FP#4 until ideal entry/exit is provided and/or everytime the price approches key levels marked on chart. Use key levels
to add or partial.

Blue Areas
The areas will be in your peripheral vision.  On montage you will observe if the pools of liquidity/LIMIT Orders/PASSIVE Orders are increasing or decreasing on the BID/ASK sides of montage. Observe if a ladder up/down is formed and the sizes.

On T&S observe speed on the lower tape, blocks of small BUY/SELL flowing thru the tape.

Generally try to have eyes centrally focused so you eliminate head and eye movement as you are trying to be as efficient as possible as the process can be a tiring exercise  depending on intensity.

 

BEARISH BIAS
For a bearish bias the trader ideally would need to observe the montage level-2 price points holding then dropping, supported with T&S red transactions with dropping price points. Large BIDS parked on L2 lower down.(If green T&S transaction and dropping price expect a big flush)

BULLISH BIAS
For a bullish bias the trader ideally would need to observe the montage level-2 price points holding and then popping up, supported with T&S green transactions. Large ASKS parked on L2 higher up.

Generally Market Makers will move the symbols price to genuine large pools of liquidity to achieve their own legal obligations and generate revenue as they have to make a profit for themselves. Market Makers like all companies have daily, weekly, monthly and yearly profit targets.

 

 

BTW, You need to reduce the number of color bands in the Montage L2 from the default number to something that is more manageable.  Too many flashes will distract your eyes.  This a personal preference and should be explored by trader.

 

 

Edited October 30, 2021 by Alastair

[Hiro 0]

On 10/16/2021 at 11:46 AM, Alastair said:

We recently had discussions in the BBT chat room on how to read the tape or better described as interpreting the tape.

This has led me to make this post and present my ideas and observation which may help in the discussion and make this critical
 excercise easier for traders.

To help I have included an image below with a specific layout of DAS windows and 4 numbered focus points(FP). I have defined a simple 4 step 
mechnical process to interpret the tape and make a decision when to enter/exit a trade in the direction of a predetermined bias.

 

 

 

The windows layout is rooted in trying to be logical and efficient for the physical process, minimize head/eye movement and a logical 
decision making process.

The Layout
a) Montage L2 top line is the potential future transaction, i.e. a crystal ball looking into the future
b) T&S top line is a "large tape" of most recently executed transactions (note: deliberately on same eye level as L2)
c) 1 min chart as close as possble to T&S and montage L2

The Focus Points (what to observe when price is moving into a S/R level which the trader previously marked on the chart)

FP#1. 
- Select which price you prefer to observe, the BID or the ASK.  No need to watch both. I watch the BID as it is physically closer to the T&S info.
- Watch as price changes on this line, is the price change moving up, down or holding at a specific price point?  
- Only need to observe the change in the cents.
- Verbally speak the value to yourself as it changes.
- Is the price re-aquiring a specific price point?
- Is the share size signifcant at that price point?
- How much is the change in price?  
- Is it large/small for that symbol?

FP#2.
- Is the most recent transaction an aggresive BUY or an aggressive SELL ?
- Did the price change up or down with last transaction compared to previous transaction? 
- Note the price changes for white transaction, they are also important.
- What was the quantity of shares?

FP#3.
- What are the last 3 to 5 candle sticks communicating at this level which is drawn on chart?

FP#4.
- Increasing or decreasing volume?
- What is the volume for each candle stick communicating?
- What VPA patterns are being displayed in the volume area?

Repeat FP#1 to FP#4 until ideal entry/exit is provided and/or everytime the price approches key levels marked on chart. Use key levels
to add or partial.

Blue Areas
The areas will be in your peripheral vision.  On montage you will observe if the pools of liquidity/LIMIT Orders/PASSIVE Orders are increasing or decreasing on the BID/ASK sides of montage. Observe if a ladder up/down is formed and the sizes.

On T&S observe speed on the lower tape, blocks of small BUY/SELL flowing thru the tape.

Generally try to have eyes centrally focused so you eliminate head and eye movement as you are trying to be as efficient as possible as the process can be a tiring exercise  depending on intensity.

 

BEARISH BIAS
For a bearish bias the trader ideally would need to observe the montage level-2 price points holding then dropping, supported with T&S red transactions with dropping price points. Large BIDS parked on L2 lower down.(If green T&S transaction and dropping price expect a big flush)

BULLISH BIAS
For a bullish bias the trader ideally would need to observe the montage level-2 price points holding and then popping up, supported with T&S green transactions. Large ASKS parked on L2 higher up.

Generally Market Makers will move the symbols price to genuine large pools of liquidity to achieve their own legal obligations and generate revenue as they have to make a profit for themselves. Market Makers like all companies have daily, weekly, monthly and yearly profit targets.

 

 

BTW, You need to reduce the number of color bands in the Montage L2 from the default number to something that is more manageable.  Too many flashes will distract your eyes.  This a personal preference and should be explored by trader.

 

 

Alastair, thank you for the post above.  It is very helpful.  I have some questions.  If you don't mind, please help me understand better.

1.  If green/lime green prints show on T&S, it means aggressive buyers/short sellers in a panic are hitting asks or above asks to buy/cover their positions, which is a bullish sign.  If red/pink prints show on T&S, it means aggressive sellers/long buyers in a panic are hitting bids or below bids to short/sell their position, which is a bearish sign.  In case of a stock with SSR, since you can only short on the uptick, green/lime green prints do not necessarily mean buyers, and they could be short sellers.  Is my understanding correct?

2.  Regarding bearish bias, can you explain what exactly you mean by "If green T&S transaction and dropping price, expect a big flush"?  Are you referring to a situation I described above about a stock with SSR?

3.  My understanding when it comes to white prints is,,,,,,, white prints that come between bid and ask are usually done by large institutional investors, and retail traders like us are usually not allowed to come between bid and ask.  The reason why large institutional investors are allowed to come between bid and ask is to reduce their impact on price movement.  Since these white prints are done between bid and ask, they do not have influence on price movement.  Is my understanding correct?  If so, why do you say white prints are also important?

Thank you, Alastair!

[Julien Maisan 4]

Thanks Alastair !

Very interesting topic.

I think I will tweak my layout to have big T&S closer to the high end of my L2 and try to force a back and forth analysis of T&S / L2 and candlesticks that is not yet natural on my side.

As Hiro asked it before, I would be interested to understand how you analyze when you see a big volume of transactions inside the spread (apart from market makers transactions) >> can it confirm a directional bias at some point depending on what happened just before (or candlesticks patterns) ?

On my side, I would just add that I try to look more at the very close bid when I want to go long and very close ask when I want to go short. Indeed one of the signals I am looking for is a stepping up action with big orders coming closer to the price and following (hence supporting) the immediate movement in the direction I want to take the trade. I hope it makes sense. 

I am currently trying to list all specific behaviours I am looking for to take a trade.

As a final question to Alastair, would you say that you do not take any trade if you don't see any big prints on your time & sales ? 

Thanks for your highly appreciated work.

Julien

 

 

 

[Alastair 114]

On 10/17/2021 at 9:14 PM, Hiro said:

In case of a stock with SSR, since you can only short on the uptick, green/lime green prints do not necessarily mean buyers, and they could be short sellers.  Is my understanding correct?

My responses:

1 . Depends on how u enter ur short while on SSR.  Lets break it down here......my SSR hot key lays out a LIMIT/Passive order at BID+0.01.  So I am waiting on an AGGRESSIVE/MARKET order to hit my PASSIVE /LIMIT order. I understand / heard some brokers now offer the trader the option of managing entering SSR......I do not understand how they do the processing behind the scenes in that case.

 

On 10/17/2021 at 9:14 PM, Hiro said:

"If green T&S transaction and dropping price, expect a big flush"?  Are you referring to a situation I described above about a stock with SSR?

2. Not specifically.  In this case I am stating that AGGESSIVE (Green/BUY) orders are printed on T&S but the price changed, lower, compared to previous print.  This is showing aggressive orders but a dropping price, The aggressive BULLS are trying but BEARS are passive but overwhelming them as the passive orders may have added a large order at a lower price. But it could be a catch all for the SSR condition also.

 

On 10/17/2021 at 9:14 PM, Hiro said:

If so, why do you say white prints are also important?

3. Watch the price of the white prints.  PRICE CHANGE from the previous executed order is important no matter the type of order.  With the release of hotkeys 3.0 I will be dropping most of my orders in between the BID and ASK in the future.  Anyone may layout a LIMIT order between the BID/ASK, u just run the risk of it not being filled in a fast moving market.  Institutional players usually can negotiate to get unique ROUTES so they have a different circumstances ( cheaper transaction cost, speed, etc) when they place very very large orders inbetween BID/ASK.

 

ALWAYS WATCH THE CHANGE IN PRICE WITH SIZE OF ORDERS IN T&S.

 

 

Edited October 30, 2021 by Alastair

[Alastair 114]

On 10/18/2021 at 7:14 AM, Julien Maisan said:

I think I will tweak my layout to have big T&S closer to the high end of my L2 and try to force a back and forth analysis of T&S / L2 and candlesticks that is not yet natural on my side.

Try it, it may or may not work.........u might learn something else.

 

On 10/18/2021 at 7:14 AM, Julien Maisan said:

I would be interested to understand how you analyze when you see a big volume of transactions inside the spread (apart from market makers transactions) >> can it confirm a directional bias at some point depending on what happened just before (or candlesticks patterns) ?

Yep it helps form my final decision to pull trigger......if my bias is short for day/trade and price dropped on an "inside large transaction" order and L2 price dropped also and the small tape has a flurry of SHORTS, with supporting candles........at resistance then I'm pulling trigger short.  Bcoz the institution MAY be the "inside large transaction".

 

On 10/18/2021 at 7:14 AM, Julien Maisan said:

On my side, I would just add that I try to look more at the very close bid when I want to go long and very close ask when I want to go short. Indeed one of the signals I am looking for is a stepping up action with big orders coming closer to the price and following (hence supporting) the immediate movement in the direction I want to take the trade. I hope it makes sense

This is a genuine signal, i.e. stepping up bids.  It can happen at end of a trend when sellers want to cover but are not sure the price will get to required level.  Usually u will not see much large BIDS below or the day is abt to close and SELLERS want to cover before market close.  These traders are large players BUT not instituions,  like PENSION funds.  U find Pension Funds will not move the target order.  They may even add to target to ensure MM fill it.

 

On 10/18/2021 at 7:14 AM, Julien Maisan said:

I am currently trying to list all specific behaviours I am looking for to take a trade.

The conditions are many as listed in Bellas book.  I cannot remember all so I created the 4 step process so my brain can quickly and robot like process.  If I was writing code I would break it down like how Bella did in his book.

 

On 10/18/2021 at 7:14 AM, Julien Maisan said:

As a final question to Alastair, would you say that you do not take any trade if you don't see any big prints on your time & sales ? 

Nope. T&S is one indicator.  I also use Candles, S/R/Level, L2, Wave Structure, to support my final trade decision.  HFT traders hide big prints by placing  aggressive 100 shares every nano second.  This shows on small tape so watch out for that also.

So reading/intrepeting the tape encompasses seeing all these things as some players/participants try to hide true intentions.

 

 

Edited October 23, 2021 by Alastair

[Alastair 114]

UPDATE:   For the past couple months I have been also viewing the small tape i.e. T&S, and the change in price with a flush/push.   It has the foot print of HFT who breakup large orders into smaller size (50 - 100 shares) every 2 nano-seconds or so as shown in a tool like Bookmap.

These flushes/pushes seem to also indicate a potential start of a move if the change in price follows and holds immediately and also is at a recognized clear level. 

Look out for these patterns .......... and see if it works for u.

[kozmikdust 0]

On 5/5/2020 at 2:27 AM, Alastair said:

Many new traders struggle to learn level 2.  This was a challenge for me as well. Its WAS like kryptonite, .....................No more. (Read full thread for knowledge). 

The Bookmap education series teaches how to use the trading tool BUT also it teaches you the mechanisms of the market and how to read in bookmap L2 which can easily be translated into the DAS montague and Time & Sales.

In my opinion the Bookmap education series is a MUST for any trader.  Start with the link below.   As u watch the video remember the following two points:

1.  MARKET ORDERS move the market (aka aggressive orders the balls)

2. only LIMIT orders (aka passive orders) are shown in the book of an exchange(Pools of liquidity).  Price generally moves to LARGE pools of liquidity, i.e. LIMIT orders.

 

WARNING: The ease of use is unbelievable, u will be tempted to buy.  (Watch more on YouTube channel.).......then submit to ur temptations.

 

SUGGESTION ON HOW TO WATCH PRICE---  As  PRICE approaches a level focus ur eye on the T&S window initially, top line,  (eyes should move from T&S to L2 in montage back to candles, then to T&S) and watch the price and size of the BID/ASK.  This tells you exactly wht will happen in the next few seconds and the potential start or failure of a move/swing.  This indicator only tells you the start, does not allow u to read if it will continue. (Tht is for another post/thread soon.........).

 

 

 

Alastair, thanks for those 2 points on market orders and limit orders. They've provided clarity for my understanding on how to view the L2.I'm still skating uphill but my legs feel stronger 

[Alastair 114]

On 8/17/2022 at 6:55 PM, kozmikdust said:

Alastair, thanks for those 2 points on market orders and limit orders. They've provided clarity for my understanding on how to view the L2.I'm still skating uphill but my legs feel stronger 

Not a problem, ask any question and we can get you up-to-speed.