The words you are searching are inside this book. To get more targeted content, please make full-text search by clicking here.

Home Explore Bookmap-Masterclass

View in Fullscreen

Bookmap-Masterclass

Like this book? You can publish your book online for free in a few minutes!

Related Publications

Discover the best professional documents and content resources in AnyFlip Document Base.

Published by cntttam, 2023-04-18 13:19:15

Bookmap-Masterclass

Pages:

Bookmap-Masterclass

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 301 • Trending Environment • Pullbacks or Reversals always in a Trend • Conditions • Move ends in a Volume flurry or Large Volume Cluster!! • Absorption of Volume (loss of Energy!) • Covering or profit taking starts • Volume • Pullback ends in depleted volume = Exhaustion • Divergence in Chart Accumulated Volume Profile • Liquidity • Good Short Term High Liquidity above / below the volume cluster Pullback

Bookmap™ Strategies Indicators Part 3 VWAP

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 305 Syllabus Absorption Liquidity Strategies Correlations Auction LOB Exhaustion Adv. Analysis Tools Book Flipping Spoofing /Layering Quote Stuffing Stop Runs Bookmap™ Oganization and Data Presentation Data Feed CVD Large Lot Tracker Ice berg Detector Volume Imbalance POC Sweep Practice Practice Practice Practice

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 306 VWAP – Volume Weighted Average Price • VWAP is the ratio of the value traded to total volume traded over a particular time horizon (usually one day). It is a measure of the average price a financial instrument such as stock or futures traded at over the trading horizon. • The most professional brokerage firms offer what is known as Guaranteed VWAP execution to large institutional clients. Guaranteed VWAP is the process of executing trades exactly at the VWAP price. • VWAP is used to identify liquidity points • VWAP spots the action of very active money pools

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 307 VWAP – Volume Weighted Average Price • Daily Volume Weighted Average Price • Weekly Volume Weighted Average Price • Monthly Volume Weighted Average Price • Time Weighted Average Price

Bookmap™ Strategies Part 4 Advanced Analysis Tools

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 317 Syllabus Absorption Liquidity Strategies Correlations Auction LOB Exhaustion Adv. Analysis Tools Book Flipping Spoofing /Layering Quote Stuffing Stop Runs Bookmap™ Oganization and Data Presentation Data Feed CVD Large Lot Tracker Ice berg Detector Volume Imbalance POC Sweep Practice Practice Practice Practice

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 318 Advanced applications • Confluences at Setup Levels • Sharp Delta • Cumulative Volume Delta • Iceberg Detector • Large Lot Tracker • Correlations • Alert Settings • Large Trade Alert • Order Book Imbalance • VWAP • POC • API Automated Strategies • Training Excercises Tools

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 319 Cumulative Volume Delta • Cumulative Volume Delta or CVD is a very basic indicator. It simply plots the accumulation of aggressor volume. • The CVD simply displays the cumulative volume of buy aggressors minus sell aggressors. Buy Volume is a positive number and Sell Volume is a negative number. Add them together and that's your CVD output… • 5 Contracts bought = +5 2 Contracts sold = +3 10 Contracts sold = -7 ….

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 322 CVD - Basics • Significant directional CVD & volume is usually correlated with strong price movement. • Insignificant directional CVD & volume is usually correlated with weak price movement • If the above correlations don't exist, then something is amiss. There is a divergence between price movement, volume, and CVD. Therefore a possible trading opportunity exists.

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 327 Iceberg Detector • Bookmap generates the iceberg indications based on difference between the actual pending order offered at that price level and the actual number of orders that transacted at that price level, at that specific moment. • Larger Players use hidden orders or IceBergs to conseal their intent to trade at that price level; their large limit order do not display in the LOB. Therefore, these hidden orders do not skew the aucion imbalance. • Can act as absorption at that price level, with lack of liquidity in LOB. • https://bookmap.com/wiki/Iceberg_Orders_Tracker

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 330 Large Lot Tracker • An approximation of the largest single pending order at a price level if that order crosses a certain threshold based on the adjustable settings in Bookmap. • Larger Players typically set individual large block orders in areas they want to deal • Can act as a spoof – puposely showing large orders can skew the auction and cancellation of these orders can create vacuum.

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 332 Order Book Imbalance • Order Book imbalance represents the ratio between the average bid order book size versus the average ask order book size • Volume imbalance represents the ratio between the volume generated by buying aggressors (market order transactions on the offer) versus the volume generated by selling aggressors (market order transactions on the bid) • The two imbalance indicators are calculated according to the current chart range. Any change to the chart range (either by dragging or by zooming in or out) will affect the readings of the imbalance indicators..

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 333 Order Book Imbalance Alert Settings • Alerts when extraordinary imbalance in LOB happen • Be careful in areas with „many“ imbalance alerts • Imbalance areas • Pause • End of a trend • Reversal of a trend

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 336 POC – Point of Control • The Point of Control, commonly abbreviated as POC, is a Market Profile term which describes the price level where the most volume was traded (also known as the price level where the most TPO's have printed). • A Naked Point of Control (also called a Virgin Point of Control) is a previous POC which has not been traded at (taken out). It remains active until it is traded at (taken out) and for this reason it attracts price towards it • See also: Dr. John Keppler, Profit with the Market Profile James F. Dalton, Mind over Markets

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 339 • Bookmap API allows to connect to Bookmap new data sources and trading systems, and to develop custom modules such as automated trading strategy, indicators, voice alerts, data export and recording, and more. • Source: Bookmap API Wiki • Source: Bookmap Forum Bookmap API‘s

Bookmap™ Part 8 - Data Feed

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 345 Syllabus Absorption Liquidity Strategies Correlations Auction LOB Exhaustion Adv. Analysis Tools Book Flipping Spoofing /Layering Quote Stuffing Stop Runs Bookmap™ Oganization and Data Presentation Data Feed CVD Large Lot Tracker Ice berg Detector Volume Imbalance POC Sweep Practice Practice Practice Practice

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 346 • Bookmap™ can be connected to multiple data vendors • Quality of data feed differs (!) • Market-by-Price (MBP) • Market-by-Price (MBP) describes a price-based data feed that provides the ability to view the total size of all orders at each price level. MBP can describe either full market depth or a limited number of nearest Bid and Ask price levels, e.g. 5, 10, or 20 price levels. • Market by Order (MBO) • or Order-by-Order describes an order-based data feed that provides the ability to view individual orders and their evolution. The order's information contains its unique Order ID, limit price, size, and its location in the queue. MBO typically provides full market depth, describing orders at each price level. This is the more modern and more transparent type of market data. • https://bookmap.com/wiki/Main_Page#All_data_and_trading_connections • https://www.cmegroup.com/confluence/display/EPICSANDBOX/CME+MDP+3.0+Market+Data Data Feed

• Aggregated data are good enough for candle and similar charts. • Aggregated for retail traders • To make a decision a trader can toss a coin to come to a decision • Need for indicators and different chart types 12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 348 Why Data Depth?

• Because only Charts with not aggregated data are meaningful and useful! • With non aggregated data everything is disclosed and we can decide according the displayed information. • We see all levels available and thus we can plan and trade accordingly 12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 349 Why Data Depth?

Pages:

Click to View FlipBook Version