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

Bookmap-Masterclass

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Bookmap-Masterclass

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 51 Matching Engine - Auktioneer • Enables electronic trading based on defined, fixed rules • Matches two parties, which want to trade • Matching Engine is always (!) fair • Following matching algorithms are used by the CME Group: • First In First Out (FIFO) • FIFO with Lead Market Maker • Pro Rata • Configurable • Threshold pro Rata • Threshold pro Rata with LMM • Allocation and Ending • Quelle: https://www.cmegroup.com/education/matching-algorithm-overview.html

Bookmap™ Part 3 – Market Mechanic Liquidity

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 57 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 58 • Liquidity is the „blood“ of all markets! •Without liquidity no trading! •Markets need sufficient liquidity to attract active and passive buyers • Market support buyers on the offer by providing liquidity • Market seeks buyers or sellers for distribution in price zones • Market uses liquidity to pressure the price down • Liquidity aka Volume attracts the price (magnet) • Liquidity is easy to manipulate – see Order Book Pulling, Stacking • Liquidity quickly vanishes from the market Liquidity Provides

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 59 • Market always seeks liquidity – liquidity acts like magnet! • Liquidity is reliable if it is firm and stays firm • Long Term Liquidity • Stacking in LOB • Liquidity is weak • Short Term Liquidity – might appear only seconds in the LOB • Pulling in LOB • Liquidity need to be taken by an equal amount of volume = absorption • Liquidity act like a Catapult (Support) • Book flipping, Spoofing, Long- , Short Term Liquidity • Liquidity is „thin“ and „thick“ – depends on market type • „Thin“ markets: FDAX, Forex, CL, 6E, NQ, YM etc • „Thick“ markets: Bonds, Treasuries, Indices • When Liquidity disappears (lack of liquidity) – Sit on Hands! (SOH) Conclusions

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 60 Liquidity Absorps Market Volume Liquidity Volume Absorption • Whenever market volume and limit volume collide, volume or “energy” is taken out of the market – “Energy” is absorbed • Less (!) “Energy” aka Volume remains in the market Limit Order Market Order

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 61 Liquidity Absorps Market Volume • Whenever market volume and limit volume collide, volume or “energy” is taken out of the market – “Energy” is absorbed • Less (!) “Energy” aka Volume remains in the market Limit Order Market Order Absorption Volume Liquidity

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 67 •What is liquidity? •Who provides liquidity? •How does liquidity manipulate the price? •How is liquidity manipulating traders? •When is Liquidity reliable? Liquidity: Group Discussion

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 Long Term High Liquidity • High liquidity remains in the book • Defines the auction • Digested by the auction participants • Channeling between longer term liquidity • Act as magnet • Market can trade there – seeking high liquidity! • Understand context of the area • More or less liquidity around the area? • Tendencies to pull the liquidity? 68

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 74 • Short Term High liquidity briefly in the book • Creates large auction imbalances • New info for auction participants • Skews the auction – Repels price • Price reacts to supply and demand imbalance • Understand context of the area • Near areas of longer term liquidity • Relationships to swings in microstructure • Relationship with volume Short Term High Liquidity

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 77 • Clearly visible in Bookmap • BID or ASK side support the price move in one direction • Real time evidence which way the market will go • Valid until resistance or support shows up Liquidity - Path of Least Resistance

Bookmap™ Part 4 - Market Mechanic Market Terminology

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 81 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 82 • Liquidity • Absorption • Exhaustion • Sweeping • Stop Runs Active and Passive Indicators • Order Book Imbalance • Pulling / Stacking • Spoofing • Channeling • Book Flipping • Quote Stuffing • IceBerg Trading Indicators Confirmation Indicators

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 83 • Absorption indicates the presence of one or more market makers who are sufficiently capitalized to consume all orders at a certain price. • Absorption meets firm resistance when the limit page of the order book is "recharged" or "stacked" with new volume until the entire aggressor volume is consumed. • Absorption always happens at price levels with equivalent liquidity. • Volume absorbed = Liquidity allocated Absorption

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 84 Liquidity Absorps Market Volume Liquidity Volume Absorption • Whenever market volume and limit volume collide, volume or “energy” is taken out of the market – “Energy” is absorbed • Less (!) “Energy” aka Volume remains in the market Limit Order Market Order

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 85 Liquidity Absorps Market Volume • Whenever market volume and limit volume collide, volume or “energy” is taken out of the market – “Energy” is absorbed • Less (!) “Energy” aka Volume remains in the market Limit Order Market Order Absorption Volume Liquidity

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 86 • Market is changing his mind • Traders has reached their target (Bussines Done) • Distribution and Accumulation takes place • Covering or Flatten open positions • Can happen over more then one price level (!) • Adding or opening new positions • Can happen over more then one price level (!) Reasons for Absorption

Aggressive Trade is absorbed High liquidity absorbs remainder of 50 lot order Price does NOT sweep the level, and 80 contracts still remain at best bid 12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 91

Aggressive trade is absorbed, price stops Entire 50 lot order is absorbed by limit orders 30 contracts still remain at best bid 12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 93

Aggressive buyer lift the offer with 1 contract Limit buy orders on bid stops the sell momentum to downside Price shifts to best offer and moves 3 tick higher 12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 95

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 96 Absorption: Advanced Concepts Strategies: V-Bottom reversal, Pullback Setup Phenomena: Stop runs, trapped volume, Book Flipping

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