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🔴 Live DOM Scalping with Commenting | E-Mini S&P | High-Frequency Order Flow Trading — Transcript

by The Stoic (Futures) Trader · 3,868 words · 772 segments · language en · Watch on YouTube

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0:00Top of the world to you traders out
0:03there. I hope everyone is doing well,
0:06had a blessed weekend with their
0:09families and loved ones.
0:11Now, today it is Monday, April 20th, and
0:16it is 6:40 p.m. European time.
0:22And I'm looking at the
0:25E-mini S&P
0:27and the micro E-mini S&P here on the
0:30right.
0:41I'm just going to observe a little bit
0:44if there is any good or bad price action
0:48going on.
0:54Let's see.
0:58Okay.
1:00We do see here a big number printing
1:04from the sell side.
1:07However, it could be just buyers exiting
1:10their positions who had entered earlier
1:12here.
1:13Right? Because we see a big number, but
1:15not a real follow-through.
1:17Usually that indicates that
1:21it is buyers who are getting out here
1:23instead of sellers getting aggressive.
1:26Because if we watch it, the buyers still
1:30attack very aggressively, and then the
1:33sellers basically pull out.
1:36So, they notice that there is definitely
1:38a determination from the buy side to
1:41push the price higher,
1:43which it did, obviously.
1:50And probably this number is again yet
1:52due to buyers getting out here who did
1:56not get out here earlier, but
1:58hold of position until they passed this
2:01year valley until the price reached that
2:05previous range.
2:10And now we do see some profit taking
2:12again from the buyers.
2:15And immediately
2:17price shoots higher.
2:21But let's see if there is still the same
2:24determination as earlier.
2:27Well, the pace is definitely slowing
2:30down.
2:31Could indicate at exhaustion.
2:43Now we do see some aggressiveness from
2:45the sellers. That definitely shows that
2:48they're are now willing
2:51to push the price back
2:53into this 38 level into the pre-breakout
2:57area before price left, let's say this
3:00volume profile or mountain,
3:02crossed through the valley and reached
3:05this year volume profile
3:08range or mountain, right?
3:11And now that the price came back,
3:13we do see that
3:15the aggression of the sellers
3:18are decreasing, but
3:21every time the buyers try to attack the
3:24sellers,
3:26the sellers attack back
3:28very aggressively. And here we do see a
3:30little bit of absorption, so
3:34could be interesting. And I think that
3:36the price definitely will continue down.
3:41Now that rotation, quick rotation to the
3:43upside
3:45is because the buyers who got in here
3:48um got out.
3:51And then
3:53let's see what is happening here. So,
3:54yeah, the price could easily reach this
3:57year 36 level, which is a pressure point
4:01or a low volume node.
4:05So, basically, so far I haven't taken
4:09any position, but usually this is how I
4:12start my trading sessions
4:15as it was a
4:18question in the last
4:21live scalping session in which I also
4:24did a little bit of commenting, shared
4:27my thought process.
4:31Um so, yeah, I basically look for
4:35information. That's how I start my day.
4:38I observe the volume profile,
4:41focus on volume analysis, obviously.
4:45Um
4:46I look for context
4:49at any given time. I so, meaning I can
4:52quit,
4:54for example, right away.
4:56I can come back 1 2 3 hours later, and I
4:59will start the process again because
5:02I basically focus on trading on the now,
5:06processing, you know, passive versus
5:09aggressive flow,
5:11um observing intent instead of, you
5:15know, predicting
5:17based on previous levels or whatever you
5:20have.
5:23So, yeah.
5:24And at this point, I can see that,
5:28again, between the 38 level and the 35
5:31level
5:33within this volume profile-based
5:35structure or range,
5:38um the price went very easy to that
5:41level, right? We see a lot of red prints
5:44in the inside tape.
5:46Um
5:47and
5:49as soon as they came there, we did see
5:52some reflection from the uh
5:56either buyers who were, you know,
5:59stepping in, but usually
6:02in general,
6:04uh if we see the price coming to a
6:08halt
6:10temporarily, it is usually because
6:12sellers who got in here, you know, after
6:15a very aggressive attack,
6:17uh most likely they are taking profits,
6:21and that's why price stalls a little
6:23bit,
6:24right? And [music] rotates a few ticks
6:26higher.
6:28Um we did have some follow-through from
6:31the sell sell side.
6:34Um
6:35eventually when they reached this year a
6:38level at 3350,
6:42uh we had absorption from a passive
6:45buyer. We can see that, right?
6:48>> [music]
6:48>> So, let's say we see here 50 contracts
6:52and the sellers attacked, those 50
6:54contracts became zero, right? But
6:57immediately they refresh their orders or
7:00stacked new limit orders, right?
7:03Uh passively providing liquidity for the
7:06aggressors from the sell side.
7:09Um and they did that obviously a couple
7:11of times until the sellers realized
7:13after 400 32 contracts
7:16>> [music]
7:16>> that they probably will not uh succeed
7:20in, you know, clearing that level. And
7:23that's why
7:25probably they will start to pull out,
7:28right?
7:29Or
7:30um you know, cover their positions for a
7:33small profit. Let's say if there were
7:35breakout traders here at 35,
7:39right? And they realized they cannot
7:41push it through even their target was
7:43all the way here.
7:44Right? They are getting out here because
7:46that is what the information is telling
7:48them. [music]
7:49Right? So, again, this is in a
7:51non-biased or non-predictive way
7:54trading, right? That's the power of
7:56[music] whenever you are scalping the
7:59order book at very high frequency
8:01because
8:02the momentum, the context, the dynamics
8:06on a microstructural level may shift
8:10very rapidly.
8:12And that's why Yeah, I mean, previous
8:14levels
8:15may help, obviously.
8:17Whenever price gets there in the order
8:20book, we can observe, right? What is
8:22happening? Who is
8:24aggressive? Who is, you know, absorbing?
8:28Um
8:30So,
8:32that's basically in a nutshell how I
8:35look at the order book right before I
8:37start my session.
8:39Now, we obviously have established a
8:42range between in this year price level
8:45and this year price level, right?
8:48And looking at the context, we have
8:51around that area here at 4050, where
8:55price stopped out. It came into another
8:57mountain, right? But eventually dropped
9:00back down, crossed again
9:02through this valley here, right?
9:04And eventually, it came back in this
9:07year previous range.
9:10Traded down.
9:12Um
9:13It broke out, but it was not a real, you
9:16know,
9:17as she go trade. We had definitely
9:19momentum when the price went from all
9:23the way here
9:24to this year 3350 [music]
9:27level.
9:28Uh but then eventually, the momentum
9:31shifted,
9:32right? So, the price came out into that
9:34pre-breakout area.
9:36And we can see here that there were no
9:38sellers
9:40willing to
9:42defend those levels when the buyers came
9:44into
9:46these two price levels here, right? With
9:49a very aggressive attack, and we can see
9:51it probably after that 147
9:54contract printed here. The sellers above
9:58at 35.25
10:01um immediately pulled out the majority
10:03of their contracts because the buyers
10:05cleared it it just with six contracts
10:08after that.
10:09And from there [music] they easily
10:10lifted the offer until price got back at
10:14the top of the volume profile range here
10:17at 38, right? And now again the price is
10:21dipping lower. Probably those
10:24passive buyers who have absorbed
10:27everything here through hidden liquidity
10:30or iceberg orders, right? And then
10:33gradually shifted from absorption to any
10:36shift initiative mode, right? Uh they
10:39brought the price all the way back up,
10:41and when it reached here they know that
10:44there probably will be buyers. As we can
10:46see here, they
10:48printed 132 contract, and of course
10:51those are the areas where the buyers who
10:54bought at the bottom here will exit
10:57their positions by providing those
11:00uh breakout traders here uh liquidity,
11:03right?
11:04>> [clears throat]
11:06>> So, it's basically
11:08this particular pattern uh repeats
11:10itself
11:12in through- throughout the entire day,
11:14um and you know, every day [music]
11:17basically.
11:18And that's why um having a game
11:22theoretical framework applied to auction
11:26market theory
11:27>> [music]
11:27>> gives you definitely an edge, right?
11:29Because
11:31if we sum up the facts that buyers
11:34had um you know, absorbed silently here,
11:38right? Accumulated inventory, and then
11:41gradually lifted the offer
11:44all the way up to
11:46this year price level, they know, okay,
11:49there will be probably breakout traders
11:51who did not catch that entire move to
11:53the upside.
11:55And that's the [music]
11:56uh
11:57area, the perfect time for the buyer who
12:00accumulated [music] those inventory
12:03um below to uh get rid of his contracts
12:06for a major profit.
12:09And as soon as the buyers here see that,
12:11okay, there is no follow-through, they
12:13will probably also puke out, exit their
12:16positions, right?
12:17Um from around 38 until 37.
12:21Um and that eventually also will the
12:24price push back lower.
12:26And if the sellers see that, okay, a
12:29major player has gotten out of his
12:31positions, the price tends to push very
12:34easily through these levels, right?
12:37Um then eventually more sellers will
12:41join the right,
12:42and that will obviously also push the
12:44price lower,
12:46right? So,
12:48um so far, we can definitely observe
12:51that it there is [music] a good context
12:53going on, good price action.
12:56Um
12:58it is very methodical.
13:03So, let's see if
13:06I can catch a few positions here and
13:08there.
13:10But the first um
13:13part was definitely important because
13:16basically my whole trading strategy
13:20uh is based around,
13:22you know, those concepts, right?
13:26Auction theory,
13:28price discovery with the application of
13:31game theory,
13:32um
13:34and the liquidity games that are being
13:37played in the order book.
13:41That is basically [music]
13:42uh what gives me my edge uh to you know,
13:45benefit from other traders mistakes,
13:49trapped traders
13:51by joining the
13:54uh institutional side, so to say.
14:04>> [music]
14:04>> And even though
14:06I haven't taken any position so far,
14:09it's definitely
14:11wonderful to watch how it all takes
14:16place, right? In real time. This is the
14:20raw market
14:22um
14:25Just got to love it.
14:26To process everything,
14:30make split decision,
14:35and let's see.
14:41Yeah, okay.
14:48Let me try to I
14:50Okay.
14:51Well, a missed opportunity definitely
14:53does not mean that I was wrong about the
14:55setup,
14:57which in return gives me confidence,
14:59obviously.
15:02And let's see
15:04if it weakens at this point.
15:07We do see a little bit of absorption
15:09going on.
15:14Okay, interesting.
15:26>> Just a quick scalp for two ticks.
15:33Okay, the buyers are becoming definitely
15:35more aggressive.
15:36So, let me get out of here. All right,
15:38just in time because I did see some
15:41absorption indeed, but there was no back
15:44ticking, right? From the sell side. So,
15:48um in that case, it takes too long for
15:52the price play out in my favor, and
15:55that's why I immediately exited before
15:58the price wins went against me.
16:01Um luckily I did because I got out at
16:05break even without,
16:07you know, suffering any loss so far.
16:10Okay, so let's have a look
16:13what will happen at this point. [music]
16:14So, price be
16:17Um price reach this level at 36.
16:21Right? So, it definitely continues
16:23higher. Okay.
16:25Let me center the DOMs for the time
16:27being.
16:31Now, let me try to
16:35catch a quick scalp here.
16:39Okay, let's go.
16:44You see now it's taking too long, right?
16:46So,
16:48I will just
16:50Hop. Exit again,
16:52uh this time with just a one tick loss.
16:55Um and that also hopefully answers
16:59[music] the question, uh right? That I
17:02get a lot. Why don't you use, you know,
17:05a um
17:07emergency exit hard stop loss. Well,
17:10that's the reason why. As soon as I see
17:12that
17:15the concept or strategy
17:18that I try to apply is not working out
17:20in my favor, I'm just getting out,
17:23right?
17:24Um instead of, you know, entering at
17:27let's say 37 for a buy, placing a stop
17:31loss at 36, right?
17:34And wait for the price to come down
17:36there. No, that's not the way how I
17:39roll. As soon as I see that okay,
17:42uh this is not going to work, I either
17:45get out at break even if I'm able to,
17:47right?
17:48Um
17:49otherwise, uh as s-
17:52as soon as possible at the
17:54>> [music]
17:54>> best Well, in this case, ask level if
17:57I'm
17:58long, right? Obviously for a
18:01short position, I will do the opposite
18:03and exit on the long side, right?
18:10And that is definitely the power of the
18:12order book. It it definitely gives me an
18:14edge when it comes to risk management.
18:17However, if I
18:20you know, sometimes the price, yes, goes
18:22one two ticks against me,
18:25um
18:25and then I hold my position, and
18:28sometimes I even scale in at better
18:30prices because, again, that is the
18:33information
18:34what is
18:36you know, giving me
18:38given to me by the order book, right?
18:41Um so,
18:43instead of panicking, I'm just
18:45observing, right? That two three ticks
18:48to the downside was because not sellers
18:50were attacking, for example,
18:52uh
18:53being the aggressors, but buyers instead
18:55pulling out. Now, that's a whole
18:56different, you know, kind of
18:58information.
19:00Because if buyers pull out deliberately
19:02and start to accumulate at lower prices,
19:05instead of 37, let's say they start to
19:08accumulate at 36, why not, right? And if
19:12they can then get out here for a few
19:15ticks, four ticks with 100 contracts,
19:18>> [laughter]
19:18>> you know, just imagine the kind of money
19:21they make in matter of a few seconds,
19:24right? It's crazy. And you know, traders
19:28like myself are just trying to keep up,
19:32you know.
19:34You know, in our own way, nevertheless,
19:36but
19:37definitely
19:40doing our best.
19:46Well, so far I'm minus $50.
19:50Let's see.
19:53It's definitely fun though.
20:08Mhm.
20:09Okay, there you go. Price just got
20:11triggered.
20:13Right?
20:21Okay, a very aggressive attack from the
20:23buyers with no follow-through sellers.
20:25So, buyers got out there probably,
20:28right? So, let me try to exit my
20:30positions manually.
20:32So, and now we are back up with $100 in
20:35profit, right? So, and that's how the
20:38blame is how the game is played, guys.
20:40Oh, sorry.
20:41I just
20:43Just a second, baby.
20:45Yeah, daddy will come to you.
20:55All right, I apologize, guys. I will be
20:57back ASAP.
21:00My precious princess is asking some
21:03attention of me, so
21:05obviously
21:07that is my priority. So,
21:36All right, guys. Back at it.
21:39I do apologize for that, but
21:46Let's see what is happening here.
21:49Because I see
21:51or notice that the volatility picked up
21:55a little bit.
22:07Mhm.
22:19Okay.
22:30Yep, the buyers are getting more
22:32aggressive. Let me try to flip my
22:34position before price [music] moves
22:35away.
22:37If
22:38it comes back.
22:41A little bit of absorption there. The
22:42buyers are still
22:44attacking. Yeah, I think I should
22:49Okay, so I just got filled while I was
22:52trying to
22:54um [music]
22:55move my uh position manually.
23:00Okay, now this is what I'm talking
23:02about, right? So,
23:04look at this, right?
23:05>> [music]
23:06>> So, yes, the price ticks down,
23:11but
23:17the buyers basically pulled [music] out
23:19there,
23:20uh, you know, limit orders, and now they
23:23are starting to accumulate positions
23:25here,
23:26right?
23:28So, we can see it, big numbers with no
23:30actual follow-through.
23:32So,
23:39I, that position, unfortunately, did not
23:42get filled.
23:48Let's see,
23:49>> [clears throat and cough]
23:49>> excuse me, let's see if the price will
23:51come here and finish that auction there.
23:54Yeah, it definitely did, so
23:57obviously, I am now a little bit more
23:59aggressive, right? Uh, instead of
24:01conservative, like I did with my first
24:03position, so basically, price is now
24:07four, five ticks,
24:09well, four, three ticks against me,
24:12and I'm targeting a four, five tick
24:15profit, so basically, it's a one-to-one
24:17ratio currently.
24:20And we do again see a little bit of
24:23absorption here going on, and some back
24:25ticking, which definitely helps.
24:30Right? So,
24:33now the price is definitely going
24:35against me more than I expected, so
24:38uh,
24:52okay.
25:04>> Yep. The buyers are back ticking,
25:07which is good.
25:09So, it could be the case of why do I
25:12still hold my position, right? Because
25:15again, looking at the context, instead
25:18of me getting out here with a four-tick
25:20loss,
25:21right? There is a potential volume
25:24profile breakout, right? So, sellers
25:27break out of that volume, and now here
25:30it is thickening. Buyers are stepping
25:32in, absorbing a very aggressive attack.
25:36This level is not being
25:37even you know, uh
25:40attacked by the sellers since then.
25:42Now, it did with just two, four, 30, and
25:45cetera. As soon as price dips again
25:48here,
25:49right?
25:50So, and now it a very quick rotation to
25:53the upside again.
25:55Um so, basically,
25:59what have happened here is that the
26:03sellers were induced into a breakout,
26:06right?
26:07And then, the buyers after a couple of
26:10ticks after that breakout, basically
26:14started to absorb, right? Hidden
26:17liquidity came in play, and then they
26:20initiated basically
26:23an attack, and look at this, right? So,
26:26the buyers definitely controlled the
26:29pace of the auction,
26:31right?
26:32Um
26:33Now, usually, I will not go for a
26:37big, you know,
26:39a risk like that, but
26:43I think it's crucial to see it also
26:46during, you know, real world life world
26:50conditions like it did here.
26:52Because
26:54as soon as I panic, um
26:56it may have cost me four ticks.
26:59Um
27:00but looking at the context and
27:02conditions, right? We noticed definitely
27:05that the buyers were inducing sellers to
27:09um you know,
27:11uh push size to create that breakout.
27:13Buyers were pulling out, started to
27:15absorb, right? And then at some point we
27:19saw small rotation to the upside.
27:21Probably some sellers who entered
27:24earlier here
27:25uh and noticed that they have no real
27:28follow-through anymore. So, they covered
27:31for their positions, exited,
27:33right? And that pushed the price a
27:35little bit higher back into this area.
27:38And then we noticed that the sellers uh
27:40the remaining sellers um still were
27:43defending those levels. Buyers start to
27:46pull out again some of the liquidity,
27:49right? And why do they do that? To keep
27:52the sellers uh engaged, right? Um
27:56because they know that, "Okay, if we
27:58defend and attack, perhaps the buyers
28:01will, you know, um give up the battle."
28:04Um
28:05but that is exactly the intention of
28:08those, you know, uh passive
28:11participants, right?
28:12Most likely institutional players that
28:16they basically, you know, induce
28:18sellers, absorb,
28:21induce more sellers, absorb, and then
28:24eventually push the price higher very
28:27easily.
28:28So,
28:33and now we can see that the price
28:36basically
28:39has created a
28:42uh
28:46well, it's created more uh blue inside
28:49prints than red. So, we can definitely
28:52see a shift in momentum.
28:55Let me try to
28:57catch a position at this year price
29:00in which this year 35 level can act as
29:04my protection point.
29:08We do have a unfinished auction here.
29:11So, the price before rotating higher may
29:14come down to that area,
29:16but
29:18I'm keeping an eye on things. So,
29:21aggressive take from the sellers,
29:22absorption from the buyers, back taking
29:24from the buyers. Now, the aggression of
29:26the sellers are decreasing.
29:29Right? And now again
29:31a little bit more aggressive than the
29:32buyers. Now, the price indeed comes back
29:35into that unfinished auction.
29:38And let's see if the buyers are still
29:40present here. Those buyers who were
29:43also
29:44earlier absorbing. Yep, let's try to
29:47catch another scale in position at this
29:50year price level.
29:54Because
29:56the buyers were in control over that
29:58level. Now, again the sellers become
30:00aggressors.
30:01A lot of absorption and there you go.
30:04Go, baby, go.
30:06Let me just go for a three tick.
30:11There you go.
30:13It went very fast, obviously.
30:16Um and sometimes we cannot even keep
30:18track with the changing numbers
30:21um because it happens within a blink of
30:23eye. And luckily, I got out there cuz
30:25that's the exact area where
30:28uh eventually um you know, buyers
30:31attacked with one contract. And with no
30:34real follow-through, immediately the
30:36sellers were able to push price back to
30:38this year point of control.
30:40Right? Um so, definitely interesting.
30:43Now, in the meantime,
30:45um let's see. I'm up $950
30:49in profit, which is definitely not bad.
30:52And we are um exactly 31 minutes almost
30:56uh into the session.
30:58Now, obviously, I did the first uh 15
31:01minutes pure commenting and everything,
31:04right? Explaining
31:06uh what I usually look for whenever I
31:08start my trading session. Um
31:11so, that definitely took some time.
31:15So, technically, I'm just trading for
31:17like 15 minutes, right?
31:19But, that's not the point here. Um
31:25let's see. What is happening?
31:31I
31:33I guess I was just too late.
31:41Yeah.
31:44Just manual exit.
31:47Yep.
31:54Okay. Let me see some back ticking. All
31:57right. So,
31:58>> [clears throat]
31:58>> went a bit aggressive and took a market
32:00order.
32:02I'm just placing my target there in case
32:04it
32:06flies to the moon.
32:09Uh most cases, it does not, but
32:13let's see. Okay.
32:15Yep.
32:22I
32:23You guys saw that.
32:26Uh that
32:27quick move to the downside was not
32:29because sellers were, you know,
32:32um
32:33became aggressive. It was buyers who
32:35pulled out so that they can accumulate
32:37more positions around those areas here.
32:40Now, as soon as I see some absorption
32:43right there, I will try to exit my
32:46position, but
32:48I was
32:50just a second
32:52too late.
32:54Now, we do see that the buyers are
32:57willing to
32:59push and there you go, right? So,
33:02sacrificed two ticks, but I'm back again
33:05with $950.
33:08So, yeah, I made a small loss, but
33:11immediately I gained it back
33:15and ended up break even.
33:19Oop.
33:22Let's see.
33:24Yes.
33:30Um that move, what happened right there,
33:34and
33:35which is actually in play currently, is
33:39a
33:39perfect
33:41clear example of the lure technique.
33:47And there you go,
33:48right? So, another
33:51profit target hit.
33:54Now, we do see a very large order
33:56appearing here on the ask level, right?
33:59At 37.
34:01So,
34:02keep an eye on that. We also see a very
34:04large order here. Now,
34:07depending on
34:10what is happening on the inside print,
34:12how orders here are pulling and
34:14stacking,
34:16either price will go first here
34:20or here, and which could provide us
34:23an opportunity, right? So, I can say I
34:27am entering here with a
34:29position
34:30four contracts.
34:33And if the price does not,
34:35you know, rotate to this year price, I
34:38should get out at, you know, 34.75.
34:49Let's see though.
34:51Yeah, the sellers are getting
34:53a little bit aggressive. We see a little
34:55bit of absorption. That's why I got out
34:58at exactly the right time, right? So,
35:00again, the power of the order book, this
35:03is definitely, you know,
35:05you cannot see this in any kind of
35:09candlestick chart or, you know,
35:10indicator, right?
35:12That's why I love to scalp the raw
35:15market.
35:18Um
35:19Let's see though, currently up $1,300.
35:25Um
35:30Yeah.
35:32So, I think I will currently end the the
35:35session.
35:37Um
35:38so it does not become a very long,
35:41[music]
35:42you know, um video.
35:45But
35:47nevertheless, um
35:49I hope this video also gave you guys
35:51some value.
35:53And if you have any questions regarding
35:57the positions exit,
35:59whatever you have
36:01during [clears throat] this session, um
36:03don't hesitate to ask them in the
36:06comment section below.
36:07And I will do to the best of my ability
36:10to answer them
36:12properly. So, um
36:14thanks for watching, guys, and um
36:17I will catch you in the next one.

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