Bookmap™ Masterclass Profitable Trading with LOB and Bookmap™ UPDATE TE 02/2020 UPDA
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General Trading Risk Disclaimer Futures, stocks and options trading involves substantial risk of loss and is not suitable for every investor. The valuation of futures, stocks and options may fluctuate, and, as a result, clients may lose more than their original investment. The impact of seasonal and geopolitical events is already factored into market prices. The highly leveraged nature of futures trading means that small market movements will have a great impact on your trading account and this can work against you, leading to large losses or can work for you, leading to large gains. If the market moves against you, you may sustain a total loss greater than the amount you deposited into your account. You are responsible for all the risks and financial resources you use and for the chosen trading system. You should not engage in trading unless you fully understand the nature of the transactions you are entering into and the extent of your exposure to loss. If you do not fully understand these risks you must seek independent advice from your financial advisor. All trading strategies are used at your own risk. Any content on “TTW Trading Services Ltd.” should not be relied upon as advice or construed as providing recommendations of any kind. It is your responsibility to confirm and decide which trades to make. Trade Trade only with risk capital; that is, trade with money that, if lost, will not adversely impact your lifestyle and your ability to meet your financial obligations. Past results are no indication of future performance. In no event should the content of this correspondence be construed as an express or implied promise or guarantee. “TTW Trading Services Ltd.” is not responsible for any losses incurred as a result of using any of our trading strategies. Loss-limiting strategies such as stop loss orders may not be effective because market conditions or technological issues may make it impossible to execute such orders. Likewise, strategies using combinations of options options and/or futures positions such as “spread” or “straddle” trades may be just as risky as simple long and short positions. Information provided in this correspondence is intended solely for informational purposes and is obtained from sources believed to be reliable. Information is in no way guaranteed. No guarantee of any kind is implied or possible where projections of future conditions are attempted.
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Para Pa radi digm gm Ch Chan ange ge •
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Golden Rule Golden Rule of Tr Trading ading When do we know … Whe henn to tr trad ade? e? Whe here re to tr trad ade? e? How to mea How easu sure re ma mark rkeet pr pres essu sure re?? How Ho w do we we de dete term rmin inee ma mark rket et di dire rect ctio ion? n? Stra St rate tegy gy – Ea Easy sy Su Summ mmar aryy Short Exerci Exercise se / Examp Example le
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Bookmap™ Masterclass Golden Rule
Prices (Market) FALLS when there are no more BUYERS!! BUYERS Prices (Market) RISES when there are no more SELLERS!! SELLERS
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W H E N d o w e k n o w w h e n t h e r e a r e no more buyers or sellers?
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Meaning of Dots = Volume •
NEVER TRADE WITH BUT AGAINST BIG VOLUME! Pavlov Pav lovian ian ref reflex lex!! •
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Tra rapp for for mo most st tr trad ader erss at hi high ghss andd lo an lows ws..
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Stops were hit or they must
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cover/fla cover/ flatten tten the their ir pos positi itions ons This Th is pa pani nicc su supp ppor orts ts th thee coun co unte terr mo move ve
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W H E N d o w e k n o w w h e n t h e r e a r e no more buyers or sellers? • • • • • •
When the BUYERS ar aree ex exhau hauste sted! d! When the SELLERS ar aree ex exhau haust sted! ed! When Wh en co corr rrel elate atedd ma mark rkets ets app appro rove ve = Cor Corre rela latitions ons Sweeps Stro St rong ng Bid Bid / As Askk Im Imbal balanc ances es Liqu Li quid iditityy as a mag magne nett
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When the BUYERS ar aree ex exha haus uste ted! d!
Big Dots
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When the BUYERS ar aree ex exha haus uste ted! d! Liquidity Big Dots Sweep
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When the BUYERS ar aree ex exha haus uste ted! d! Liquidity Big Dots Sweep
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When the SELLERS ar aree ex exha haus uste ted! d!
Big Dots Sweep Liquidity
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W H E N d o w e k n o w w h e n t h e r e a r e no more buyers or sellers? • • • • • •
When th When thee BU BUYE YERS RS ar aree ex exha haus uste ted! d! When Wh en th thee SE SELL LLER ERS S ar aree ex exha haus uste ted! d! When Wh en co corr rrel elate atedd ma mark rkets ets app appro rove ve = Cor Corre rela latitions ons Stro St rong ng Bid Bid / As Askk Im Imbal balanc ances es Sweeps Liqu Li quid iditityy as a mag magne nett
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Conf Co nfir irma matio tion n in Cor Corre relat lated ed Mar Marke kets ts!! ES 6J
Bid / Ask Imbalance Bid / Ask Imbalance
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Corre Co rrelat latio ion: n: US USD/ D/YEN YEN - ES •
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Investors shift their capital in case of uncertainty from stock markets, indices in Forex markets YEN is seen as the negative indicator of the S&P 500 (ES) Tight correlation between USD/YEN and S&P 500 YEN is in diffcult times the „Flight to Quality“ S&P 500 and YEN have (normally ) an inverted ratio to each other. This can change – see 2016 At times of high correlation, YEN is used to hedge against the S&P 500 Rule of Thumb: • •
If YEN soars – indices will drop (S&P 500) If YEN plummets – indices are rising (S&P 500)
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Conf Co nfir irma matio tion n in Cor Corre relat lated ed Mar Marke kets ts!! ES 6J
Bid / Ask Imbalance Bid / Ask Imbalance
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Conf Co nfir irma matio tion n in Cor Corre relat lated ed Mar Marke kets ts!! Big Dots Sweep
Big Dots Sweep
Bid / Ask Imbalance
Bid / Ask Imbalance
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7 February 2020
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WHEN WH EN to Tra rade de?? •
When we see big volume dots •
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Aka „Loss of Energy“ – Absorption of market participants Exha Ex haus ustition on of Bu Buye yers rs or Se Sellller ers! s! Smal Sm alle lerr do dots ts ag agai ains nstt liliqu quid iditityy le leve vell •
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CVD imba imbalance lancess (*)
BID / ASK imbalance Confir Con firmat mation ion in correla correlated ted mar market kets! s! LIQUIDTY LIQUID TY is BENC BENCHMARK HMARK (*) I am very cauti cautious ous follo following wing diver divergence gencess
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WHER WH ERE E to Tra rade de?? • • •
In the VICINITY of BIG Volume Exhaus Exhaustion! tion! BID / ASK Imbalance peaks Exha Ex haus ustition on of Bu Buye yers rs or Se Sellller ers! s! Sma mallle lerr do dots ts in co comp mpar ariiso sonn to ab abso sorrbe bedd vo volu lum me CVD CV D diver diverge genc ncee (* (*)) LIQUID LIQ UIDTY TY is BEN BENCHM CHMARK ARK • •
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It depends on yo your trading apporach!
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Where to trade? ES
Liquidity
Big Dots
6J Bid / Ask Imbalance
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How to Measure Market Pre Pressure and Direction? •
Book imbal imbalance ance indic indicator ator Green to the right = pre press ssuure on BID Red to the left = pr pressure on ASK „Feeding“ Aggressors Using BID / ASK Imbalanc Imbalancee Numeri Num erical cal ind indica icatio tionn (NO (NOT T tra traded ded con contra tracts cts!) !) Nr on ASK > BID = Lift Lifting ing the the Of Offer fer Nr on BID BID > AS ASK K = Hitt Hittin ingg th thee Bi Bidd Pullllin Pu ingg / Sta Stack ckin ingg in indi dica catition on of LO LOB B Trad raded ed (ad (added ded/su /subtr btract acted) ed) con contra tracts cts ind indica icates tes mar market ket pre pressu ssure re • • •
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How to Measu surre Ma Marrket Pre Press ssu ure Book Imbalance
Pulling / Stacking Bid and Ask
Bid / Ask Pressure
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Summary Strategy – Easy Su •
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Determine Marke Determine Markett Direction Direction Trading Trad ing preparatio preparationn table Obse Ob serve rve co corre rrela late tedd ma marke rkets ts fo forr yo your ur in inst stru rume ment nt Joinn BID / ASK Joi Exitit wit Ex withh bi bigg do dots ts / Liqu Liquid iditityy •
NYSE Issues Issues (ADD), McClell McClellan an (SPY) Sweep Swe ep – tra trade de again against st swe sweeps eps See semin seminar ar str strate ategy gy cha chapte pterr Wait un untitill ma mark rket et ex expo pose sess ex exha haus ustition on of bu buye yers rs or se sellller erss •
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TRADE MARKET CONDITIONS
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Preparation: Market Direction •
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Determine Determ ine Marke Markett Direction Direction Ob Obse serve rve co corre rrela late tedd ma marke rkets ts fo forr yo your ur instrument Exampl Exa mplee ES ES:: Yen/USD Treasuries • • • • • •
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Gold as con Gold confid fidenc encee mea measure suremen mentt NQ – re reflflec ects ts do dome mest stic ic (U (US) S) ret retai aill tr trad adee YM – ref reflec lects ts big int intern ernati ationa onall money money [S&P [S& P 500 – ref reflec lects ts dom domest estic ic (US (US)) institutional investors]
NYSE Issues $ADD SPY McClellan (SPY) https://www.mcoscillator https://www .mcoscillator.com/market_brea .com/market_brea •
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dth_data/
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Wh Whyy mo most st Re Reta tailil Tra rade derr Fa Failil?? •
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Most don Most don‘t‘t kn know ow ma mark rket et go gold lden en rul rules es an andd can can‘t‘t fo follllow ow the them m be bec. c. they the ymar are not t le clear cle arly visi vi pres esen ente tedd on a ca cand ndle le,, foot footpr prin int, t, volu vo lum eepno rofifile ro etc et clych cha asibl rt.ble rt . e or pr Lost in beliefs and ideologies Lagg La ggin ingg in indi dica cato tors rs do does es no nott answ answer er qu ques estition onss we di disc scus usse sedd here •
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guessing, assuming, gambling Exceptions : VWAP VWAP,, Volume Volume
And many more …
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Bookmap™ Strategies Part 2
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Correlations
Syllabus
Auction Practice LOB Liquidity Absorption
Bookmap™ Oganization and Data Presentation
Exhaustion Practice Sweep
Book Flipping Spoofing /Layering Quote Stuffing Stop Runs
Practice Strategies Data Feed
Correlations Adv.. Analysis Tools Adv Tools
Practice
CVD Large Lot Tracker Ice berg Detector Volume Imbalance
POC 7 February 2020
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Advice Trading Advice Corre Co rrela latition onss gi give vess an add additition ional al le leve vell of co conf nfid idenc encee in tr tradi ading ng.. Utilize this additional information in your daily trading decisions.
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Correlations •
Many markets have close interdependencies Correlations help to see and recognize the direction of a market
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Correlation is a statistical measure that determines how assets move in relation to each https://www.investopedia.com/articles/financial-advisors/022516/4-reasons-why-market-correlation-matters.asp)) other. (https://www.investopedia.com/articles/financial-advisors/022516/4-reasons-why-market-correlation-matters.asp
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Although Correlations exist, they must be always viewed in the economical context.
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NASDAQ 100 MSFT AAPL
AMZN GOOG FB INTC
45%
S&P 500 3,8% MSFT AAPL AMZN GOOG FB INTC
VIX
Volatility Index
S&P 500
SPY ETF Fund
DOW JONES MSFT AAPL AMZN
GOOG FB
28,6%
$ / YEN
INTC 7 February 2020
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Source: https://www.slickcharts.com
Cor orre rela latition on:: ES – MS MSFT FT - AA AAPL PL
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Correlation: ES – YEN – SPY – VXX - MSFT – AAPL –AMZN - NQ
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orrrel elat atiion onss – SPY vs. ES Cor •
The SPDR S&P 500 trust is an exchange-traded traded fund which trades on the NYSE Arca under the sy symbol mbol (NYSE Arca: SPY). SPDR is an acronym for the Standard & Poor's Depositary Receipts, the former 500 name of the ETF. It is designed to track the S&P 500 the stock market index. This fund is the largest ETF in the world (https://en.wikipedia.org/wiki/SPDR_S%26P_500_Trust_ETF)
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Correlations – QQQ vs vs. NQ NQ The PowerShares QQQ, previously known as the QQQQ, is a widely held and traded exchange-traded fund (ETF) that tracks the Nasdaq 100 Index. The Nasdaq 100 Index is composed of 100 of the largest international and domestic companies, excluding financial companies, that are listed on the Nasdaq stock exchange, based on market capitalization. Therefore, QQQ is heavily weighted toward large-cap technology companies and is often viewed as a snapshot of how the technology sector is trading. (https://www.investopedia.com/ask/answers/061715/what-qqq-etf.asp)
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Correlations – VXXB or or VIX Options The Volatility Volatility Index, or VIX, is an index created by the Chicago Board Options volatility. Exchange , which shows the market's expectation 30-day It isis constructed(CBOE) using the implied volatilities volatilitie s on S&P 500 indexofoptions . This volatility meant to be forward looking, is calculated from both calls and puts, and is a widely used measure of market risk. The VIX is often referred to as the "investor fear gauge." Fear, volatility, and the index move up when stock prices are falling and investors are fearful. The index, volatility, and fear decline when stock prices are rising. (https://www.investopedia.com/terms/v/vix.asp)
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Co Corre rrelat latio ion: n: US USD/ D/YEN YEN - ES •
• • • •
• •
Investors shift their capital in case of uncertainty from stock markets, indices in Forex markets YEN is seen as the negative indicator of the S&P 500 (ES) Tight correlation between USD/YEN and S&P 500 YEN is in diffcult times the „Flight to Quality“ S&P 500 and YEN have (normally ) an inverted ratio to each other. This can change – see 2016 At times of high correlation, YEN is used to hedge against the S&P 500 Rule of Thumb: • •
If YEN soars – indices will drop (S&P 500) If YEN plummets – indices are rising (S&P 500)
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Correlation: ES – YEN
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Correlation: ES – YEN
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Correlation: ES – YEN
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Corr rrel elat atio ions ns:: Tre reas asur urie iess – S& S&P P 50 5000 Co •
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30 Year Bond (ZB), 10 Year T-Note (ZN), 5 Year Year T-Note (ZF) correlates strongly Stock- and Bondmarkets correlates contrary When Bond market soars, the Stocks are likely to fall Investors tend to shift their capital Investors are hedging the S&P 500 market against the Bonds and vice versa
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Correlations: Treasuries, Indices ZB
ZF
30 Year
10 year
S&P 500 BUND
ZN 5 Year
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ES - ZB – ZN - ZF
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ES - ZB – ZN - ZF
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ZB - ZN
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