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Euro Stoxx 50

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Annika

Joined
8 September 2018
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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
 
Welcome to the forum. I hope it goes well for you. How about posting a few basic notes describing your trading strategy. Then we can look at your charts with a little more understanding.

eg. Do you look for low volume levels to stalk a trade?

I notice that the ask/bid numbers total remained the same but that the distribution of the ask/bid traded have changed.
 
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.
 
Annika, is that tradestation?
 
Ah, thought I recognized it. Shame we couldn't sway you over to the dax. Honestly I'd recommend the bund over the stoxx as a thicker market, but if you get to learn the stoxx and you can get filled, more power to you!

In any case I hope you and your market profile charts stock around, I could use some company!
 
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.
 
Ah well, I'll be looking forward to more stoxx charts!
 
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.
 
I'm new to this game, so please forgive the noob questions, but I'm keen to learn about daytrading the European index futures, mainly because it suits my working hours.

Firstly - how do you interpret the DOM (rather than footprint, which I haven't got into yet) into buying / selling pressure? It's fairly clear when there are more orders on one side of the book, but that doesn't seem to correlate with actual price movement. Can you really use it to gauge whether the price is likely to go up or down? Or is there just too much noise from algos reserving places for it to be a good indicator? I have the accumulated volume next to my DOM, so I can tell how many contracts traded, but is that information useful as a predictive indicator or does it just show you popular price points?

Secondly, how often do you see clear setups on the Stoxx or the Dax? And which sorts of setups do you look for? I've been following them for a few days, and I've only seen maybe 1 or 2 obvious setups each day. Most of the time they're ranging fairly tight & don't do anything interesting for hours. There's usually lots of action at the open, but I don't know anything about trading the open as yet so I wouldn't know where to start...
 
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..
 
I had a small trade taken for a long but snugged the stop up too early. I don't trade contract roll much, waiting for the wife and kids to go away at the end of the month in order to give the dax my full undivided for 20 days!
 
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