Euro Stoxx 50

Hello Traders, decided to start a new thread as I didn't find one dedicated to the Euro Stoxx 50.
I've been trading it for a while and now it is all I trade.
I plan to post in this thread charts, ideas, opinions and sleep deprived ramblings. I will try avoid nonsense although I can't make any promises.

I use tpo, footprint & volume charts.
I have the DOM up but I don't really use that except to place my orders on. It's full of shredded HFT algo orders, which make it look "thicker" than it is.
It's not really a problem, I'll no doubt discuss this in more detail at some point.

 

Yesterday, on the footprint, I noticed a thin spot where only 4 got filled at the offer. I was done for the day and about to shut down, but took a screen shot with the intention of seeing how it played out the next day.
Today, to my dismay, I find it's changed. Those bars had closed and been printed so I don't really know what to make of it but something is not right somewhere

 

Thank you perter2, good observation regarding total volume is unchanged. Taking a screen shot before I log off each night is something I'll have to keep an eye on.

Anyway, moving on.
-Some basic notes describing my trading strategy. I look for price to break support or resistance on volume. I like to also see divergence occurring on the ask/bid cumulative delta.

On the chart I posted, the first 5 bars all had the same low (3316). I don't have volume on that chart, but the 6th bar traded and closed lower on higher volume.

3315 may have been a good location for a limit sell. 5 tick stop at 3320 - if price is trading back up in the consolidation zone then the break has obviously failed. Monitor for signs sellers are disappearing..

I do like to observe the low volume areas as I find they tend to act like little support/resistance levels.

 

After investigating the data discrepancy issue, I've come to the conclusion it may be due to filtered CQG coalesce data (50ms? it could be more, I don't know). Then it's corrected with the unfiltered tick data at EOD.
Unless you have access to unfiltered data, the delta data isn't going to be accurate in real time.
Something to be aware of.

 

Unfinnished auction at todays poor high.

 

Hi CanOz, It's MultiCharts.NET Special Edition (AMP).

 

I did trade the mini dax, I know it's more popular. She was just a bit wild for me..

I do like the bund, I find fixed income a little more complex - spread traders steepening and flattening yields over different maturities..

As far as fills with stoxx, it can be annoying. I only use limits to enter and if they don't get filled, they don't get filled.

 

Friday was an inside day inside an inside week.

 

When looking at the DOM, a lot of those orders are "placeholders". The algos place those orders don't necessarily want them to be filled. What they want is favorable book queue position. They have these orders scattered on both sides Bid and Ask, canceling and placing new orders all the time until they felt they were in just the right place in the book and then let them rest to get executed or pulled if the market moves in the wrong direction.
The ideal trade is to be near the top of book on the opposite side and once they get the first side filled, they get out virtually immediately on the opposite side "earning the spread".

here is a link to a related article, couple of years old but still interesting..

 

I zoom down to the footprint to see how the orders are being executed at levels of interest I have pre-marked on the chart. Like anything, they need to be used in context. Obviously the price of an index future can't stray away from the value of the cash market price, before arb algos step in. The people buying /selling the individual stocks (Total, Allianz, ect..) on their respective stock markets are unlikely too concerned about an unfinished auction on the footprint at a swing high in a stock index on the futures market.

 

Hello 3lliot,
Personally I don't trade the DOM. But people can and do. Here is a link to a Youtube video by Miltos Savvidis (who was a senior prop trader at Futex) on how he traded the DOM a few years ago now. He's got a few on Bund and Dax as well..
It's deceptive. If someone wants to sell they'll put in spoof orders a bit lower pretending they want to buy. The accumulated volume at each tick beside the DOM I think is better indicator because it shows where price has actually traded in my opinion. which is why I like the footprint.
But people who can figure out the "Art of War" games of the DOM do have an advantage as it is a truly leading indicator.
I only see one or two clear set ups a day. That is all you need, Patients waiting for the high probability set up. This is one of my weaknesses. Occasionally there is no clear set up and I try see one where there isn't. Somedays the best trade is the one you didn't take.

Today is a slow start in stoxx (11 tick range) but I'm eyeing yesterdays VPOC (3353) as a level looking to possibly trade at if we get down there..

 

Dax is more interesting today and probably every other day. Turning interesting into profitable is art.

Another reason i like 3353 on stoxx is it was resistance last Thurs, Fri & Mon..