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     dogalog
Member
Username: dogalog
Post Number: 999
Registered: 03-2004Rating: N/A
Votes: 0
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| | Wednesday, March 23, 2005 - 02:05 pm: |  
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I realise Market Depth Analysis[MDA] is on a par with tea leaf reading-a Gypsy Art.
I assume this because no one seems to write much about it,at least in the books I've seen.
I wonder why? and why not? so here,in the back waters,I'm going to investigate MDA as a possible 'tool'.
Any inputs/observations/arguments by any/all others welcome,gratefully accepted,as it's said in polite society.
I only request that those who deal in say,only ASX 100,not come d'piety of"It's useless as a measure,purely academic,ho ho ho,What a W***[er]"
My purpose is for using MDA in smaller turnover shares-defined as say a single transaction on a 3 minute or longer average but not,say, a transaction only every hour.
If those who trade derivatives use MAD,i'm only interested if their insights transfer to the All Ords.Basically i think MAD could be used to follow the Action and possible show the machinations/manifestations of the Dark Ones,you know insiders,institutions,prof traders,etc.
Anyhow,enough for now.General observations of MDA?
regards,
jr
"I know because I like to watch"-some social scientist droob.
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smallworld
Member
Username: smallworld
Post Number: 187
Registered: 01-2004Rating: N/A
Votes: 0
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| | Wednesday, March 23, 2005 - 06:42 pm: |
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I posted this before somewhere else.
"What would be a very interesting exercise regarding market depth would be to calculate the VWAP of the bid and ask separately through out the whole day, not for the whole range of bid and ask, but perhaps for bids and asks and fall between the high and low of the day, because I think the bids that are too far away from the last traded price are not useful. but it would be interesting to be able the plot the movement of VWAP of both sides vs the traded price throughout the day. You might be able to detect some useful divergence"
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dogalog
Member
Username: dogalog
Post Number: 1002
Registered: 03-2004Rating: N/A
Votes: 0
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| | Wednesday, March 23, 2005 - 08:28 pm: |
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smallworld,
thanks for the input.Was there any follow-up by others to your post?
I can see that market depth within ATR,is the most significant.I've observed how 'Blocks'[large share orders buy or sell]enter at times and'force'smaller trades higher/lower than the block.If this doesn't 'work',it can be interesting to watch these big orders suddenly disappear unfilled.I think that's a pretty neat trick the Big Players pull,do you agree?
i've read here from time to time some discussion of market depth,i don't remember who and where.So if you recall your or any other posts on the subject?feel free to inform.
regards,
jr
ps-i use self calculated actual VWAP on a two hour basis in my current 'experiments'.you have to be able to'appreciate' the third decimal,though and that's proving a little too 'fine' for me,academic perhaps?
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holycow
Member
Username: holycow
Post Number: 990
Registered: 08-2004Rating: N/A
Votes: 0
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| | Thursday, March 24, 2005 - 07:12 am: |
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I am more interested in the market depth statistically, ie, the "before" and "after" comparison. Hopefully I can spot a pattern or trend. I "feel" this will be useful for intraday trades.
For example: I'd love to have the record of all the number of buy/sell at which bid/Offer price with time stamps to compare/match against the "course of sales" figures. In other words I'd like to see the "keenness" of buyer/seller as measured against the ACTUAL deal - I see this to be a measure of "real" market depth and bullishness.
But because of the "randomness" of deal being done, in this case I'd opt for a fixed time interval like 1-min, 3-min, 5-min, etc. How I'd use the data will depend on the analysis after they are collected - right now, without any on hand, I'd just "talk" coz I have no idea how it will turn out.
... my gut feel is this bit of info will be very useful if I am trading intraday (just repeating myself in case some got mixed up with longer term trading).
HC
"... if you've got a chart, I have an opinion!"
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dogalog
Member
Username: dogalog
Post Number: 1005
Registered: 03-2004Rating: N/A
Votes: 0
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| | Thursday, March 24, 2005 - 10:37 am: |
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There is no question that MDA is subjective.Watching it can take you to its anagram[rearrange letters].It can certainly make others see you that way and,well,you must never do that if you want to be"polite".
Anyhow,i'm not proposing/advocating MDA as a daily activity/regimen.It's for when you are watching a share close to buy,stop or sell.Of course an intra day trader has these three or at least two activities all in one day so it is they[intras] that will have the best insights to its use.
Market Depth Analysis[MDA]is i would think more a right side of the brain activity ie Art v Logic[left side].This is sheerly because a Depth Board is not showing all the players at any given moment in time.At random,in any given fraction of second a new player can come in and take out some bids/offers.It is these occassions i choose to"monitor".I believe it is they that give an indication of professional thinking.
When I look at a End of Day Course of Sales data,i don't see say 200 transactions,whatever is put down at the top of the page.I look at the times and all the ones on the same second,i add up to get an idea of the 'big' orders happening.Thus are for example,several buy orders of perhaps $500-7000 individually 'gobbled'by one $50,000 sell order.To me that is ONE sell not seven buys to base/use for assumption making,developing a 'gut-feeling'.
I realise 'gut-feeling' is considered very bad beginner even full time share trading practise by some/most but,well,i think that's because they've never held their guts,got too distracted by one hand clapping and trees in forests falling.Never heard that ringing between the ears or at least didn't trust listening to that but let's not retreat into philosophy.
Anymore MDA inputs?directions to where it's all been talked about before?
regards,
jr
ps-Where's chance?travelling all over the countryside by now?
(Message edited by dogalog on March 24, 2005)
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longshanks
Member
Username: longshanks
Post Number: 31
Registered: 11-2004Rating: N/A
Votes: 0
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| | Thursday, March 24, 2005 - 11:20 am: |
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Congratulations to jr for starting this thread. Seems to be the grey area of trading…
Regarding VWAP, a broker I use started including it along with an Opening Estimate and Surplus Volume.
I find the Opening Estimate very handy for the bigger stocks (with a large overhang of bid & offer), when trying to work out position sizing for a planned ‘buy on open’.
I don’t use the VWAP in any ‘technical’ way, though as I say, I have only had access to it for literally a few days due to a broker site upgrade. VWAP gives me a ‘feel’ for where the average price for the day sits compared to the CMP.
Do other brokers offer Opening Estimate & VWAP?
jr, if you don’t mind me asking how do you calculate VWAP?
Is it worth creating a few threads to narrow down MDA?
Perhaps:
• VWAP
• Depth (?) as in how much of the screen we actually take into account. I like to look at the total number of buyers and number of shares on each side to get a feel. As I think has been mentioned before, this can be skewed by orders placed a long way from the CMP.
• The Invisible Hand. That is, the one that seems to support the market pre-open and then discretely disappears seconds before the open. Or, the one that sneaks up and slaps you in the chops, just when were sure everything was good.
Anyway, just a suggestion.
Cheers
LS
PS jr you got your last post in as I was formulating my rant. Will reply soon.
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dogalog
Member
Username: dogalog
Post Number: 1006
Registered: 03-2004Rating: N/A
Votes: 0
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| | Thursday, March 24, 2005 - 02:50 pm: |
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greetings longshanks,
not only did you do over 5 lines but you didn't dish stars out.you have my kind of manners.
VWAP is calculated by $value divided by volume.you can find a link about it in 'Does TA work?' section,the thread that has julles as last contributor.I can't remember it's name but chance put in a link near the end to a previous discussion on the forum some years ago.
I don't think opening vwap is that neccessary as you point out there's always those sleights of parcels coming and going on like 'Do ya want it?'"nahnahnana took it away"black/white shenanigans that your namesake knew how to control,yes very grey was the original Longshanks.
Anyway,that's how VWAP is calculated it takes the rose colored glasses away from looking at the high,and 'despair' of the low daily.If you read the link i've tried to direct you to,it says its mostly for smaller caps.
got to go,
regards,
jr
edit-adjusting for new capital issues,that's the name of the thread in does TA etc.
(Message edited by dogalog on March 24, 2005)
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smallworld
Member
Username: smallworld
Post Number: 191
Registered: 01-2004Rating: N/A
Votes: 0
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| | Thursday, March 24, 2005 - 06:24 pm: |
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Jr is correct with VWAP (volume weighed average price). Brokers generally provide VWAP and the open match price. VWAP quoted is the VWAP of the traded volume. When C > VWAP it means people is bullish. if you dont have it from your broker (O+H+L+C)/4 is pretty close.
My proposed use of VWAP is a little different from what is quoted from brokers. It is calculated from the market depth of the bids and asks. e.g. a certain stock has a market depth of 100 @ 1.00, 200 @ .99, 100 @ .98...on the bid side. VWAP of the bid = (100x1+200x.99+100x.98)/400. and you do the same on the ask side. If one can obtain VWAP (bid and ask) intraday, we can plot it along side price itself and notice any divergence. In theory, you should notice the traded price sitting somewhere in between the VWAP(bid) and VWAP(sell). When the traded price is closer to VWAP(bid) than VWAP(sell), then people in the asks are meeting the bid price to make the sell, probably causing the price to fall, unless someone is absorbing it like a sponge..... and vice versa. I reckon the dynamics of players, including so called manipulations will be revealed......
I haven't received much feedback in the other forum, except from one person who doesnt think it is going to help except in daytrading. I think the problem is in implementation to calculate it in realtime.
does anybody have any great ideas?
cheers
(Message edited by smallworld on March 24, 2005)
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dogalog
Member
Username: dogalog
Post Number: 1010
Registered: 03-2004Rating: N/A
Votes: 0
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| | Thursday, March 24, 2005 - 09:25 pm: |
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Well,smallworld,i don't have any great ideas.All i have is impressions that are quite small,i agree.
You're a day trader,right smallworld?at least that's the impression i've picked up from your posts.I may well be wrong in this impression,you tell me and ,well,i'll completely accept that i've formed the wrong impression[ie that you're a day trader]OK?
i think that day traders like all the rest of us should accept the truth of not picking the absolute top or the absolute bottom.Such is not the 'point score' of the Game we're in.
Now i know the use of the simple word 'game' sets off to the 'pure' a'MUST DENY' response,that in Psych/inner harmony terms must be denied.
but,drunk/stupid as you may think of me i just have to state that your proposal vis a vis VWAP is [IMHO]a complete use of science/maths to justify your actions/inactions.
Furthermore i think you have fallen for a 'cheap trick'in that you are in actuality flying blind and yet want your views/opinions accepted because you wrap them in said maths/science 'gobbledygook'.
now,it's just me a DOG,a most unlikeable fella,by all repute who is saying so.
Undoubtedly you,smallworld,have many endearing qualities,are very acceptable in the best of society,but i,I,just have a real aversion to the use of pure science/maths/fa/ta whatever,being presented as/within 'The Answer'.
I've previously stated that MDA is subjective/requires using the right side of your brain,it's an exploration of Art.I hope you see now,i'm talking about 'feelings' NOT mathematical'purity'.
i sincerely hope that you can do d'comeback,d'absorbtion and not throw d'ignore.As i say i have hope but nix conviction.It's all anti-machine thinking,it's not you personal,all right?
regards,
jr
ps-i'm in a quite furious 'mood',if what i've stated requires apology?well consider it given.
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oldwombat
Member
Username: oldwombat
Post Number: 302
Registered: 04-2004Rating: N/A
Votes: 0
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| | Thursday, March 24, 2005 - 09:59 pm: |
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Why you got the sh*t's mate....moods are for the girlies.
Tell your mate wombo all about it. I can see you have been wanting to...go for it jr....spit it out! Tell me I mean!
Cheers
OW
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smallworld
Member
Username: smallworld
Post Number: 192
Registered: 01-2004Rating: N/A
Votes: 0
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| | Thursday, March 24, 2005 - 10:57 pm: |
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Thought provoking impressions jr, where do I start?
Flying blind i am not, cos i am not evening flying. I have the occasional lift off, but not quite ready to fly at will. Blind - not completely, but do admit i have fairly large blind spots.
Trading is a game! of course its a game, if life itself is a game, then why isnt trading a game. People gives meaning to the word game. thats all.
Jr you must be a creative man, perhaps into poetry, writing, drawing or even music, am i right? until I was 35, I thought I have two left brains, now I know I have one left and one right brain. I have great love for music and beauty in this world. Musical instruments in the old days were a sculpture of art. Technology and science allows precisions to be achieved, nonetheless, craftmanship is key to making a great masterpiece.
Like any craftsman, trading involves two selves. Self one is the analytical self, is keen to use science/math and analysis to come to a recommendation, a conclusion, and God forbid, a prediction. Self one is always doubtful, hesitant, he needs a reason for justify all actions taken as if the reasons are responsible, not him. Self two is the intuitive self, he doesn't predict, he seeks confirmation, he becomes the market, like a craftsman becomes his creation. Self one decides but self two chooses. Self two is completely responsible, and is often beyond reasons. I need my two selves to become a great trader, Self one is needed to create my methods, to prepare for the day, to analyse my trades. to do all the dirty work and present self two with goodies. Self two is needed to execute, to be in the zone, and just play the game.
Day trader I am not strictly, I am however a short term trader, and daytrading in training.
Jr you are great with intuitions, and I know from reading what you say. Try looking where you dont normally look, you might find something interesting. all the best and happy easter.
Finally, my 4 screens.
(Message edited by smallworld on March 25, 2005)
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dogalog
Member
Username: dogalog
Post Number: 1013
Registered: 03-2004Rating: N/A
Votes: 0
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| | Friday, March 25, 2005 - 09:49 am: |
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Another day,small world but i have only limited time,this morning.
1)looking at your screen set up ,it is my left eye that takes in the fish.the far screen is that like computer cam of the room?i don't want to go there if it's not but in my room,i have a mirror backed cabinet of varios'dodads' with the mirror reflecting my front door,which contary to insurance company advice,i keep open most of the day,half the night.The worst that's come thru it so far is a giant labrador called George and a couple of birds,like feathered.I do have very discrete security/traps laid out for anything'nastier' though.
2)i was happily surprised both by my own control in my last post but especially by your own reasoned reply.Pity it took you to 35 to wakeup to your right side brain.I still consider a 1/3/5 minute calculation of VWAP would be at most a scientific waste of time but,hey,i'm not going conviction,d'condemn so let's leave it,ok?
Any other insights/vague feelings/whatever about Market Depth Analysis[MDA] out there?
regards,
jr
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longshanks
Member
Username: longshanks
Post Number: 32
Registered: 11-2004Rating: N/A
Votes: 0
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