Teoría de la subasta y gráficos de huellas

Teoría de la subasta y gráficos  de huellas(Market Balance - Order Flow) 

El precio y el volumen son las dos variables clave producidas por la actividad de mercado. La actividad de mercado se produce como resultado de la subasta de mercado. La teoría de la subasta nos ayuda a entender e interpretar como pueden analizarse el precio y el volumen en el contexto de la subasta de mercado.

Los precios están continuamente moviéndose y cambiando, estos cambios pueden parecer aleatorios o caprichosos a algunos, pero en realidad hay un ordenado proceso de subasta para cada instrumento en cada mercado, el proceso de subasta regula continuamente los cambios que se observan en cada mercado, es un proceso dinámico y ordenado.

La subasta esta cambiando constantemente de un estado de equilibrio a otro de desequilibrio. El proceso de subasta es el que regula el flujo de ordenes y por tanto el movimiento de precios en el mercado.

El proceso de subasta funciona sobre la base de un precio  de demanda y un precio de oferta.

El precio de demanda es el precio que un comprador está dispuesto a pagar  y el precio de oferta es el precio que un vendedor está dispuesto a vender.

Una operación solo ocurrirá si el  vendedor acepta el precio de demanda o el comprador está dispuesto a pagar el precio de oferta.

El flujo de ordenes y el tamaño de cada orden determinan la dirección y la extensión del movimiento de precios .

La subasta siempre esta buscando lo opuesto de lo que encuentra.

Estos son algunos conceptos básicos de la teoría de la subasta, hay forma de ver estos conceptos plasmados en una gráfica en tiempo real y poder interpretar que está pasando en cada nivel de precios y como se ha producido el cruce de ordenes en dicho precio.

El volumen y el flujo de ordenes nos ayudaran a identificar quien esta en control del proceso de subasta. La subasta es el mecanismo del mercado que intenta igual la oferta y la demanda.

Para ello utilizaremos gráficos de Market Balance - Order Flow , así se llaman las herramientas que nos permiten interpretar el proceso de subasta en tiempo real.

Si estas interesado en el tema deja tu comentario o tu consulta. Gracias

Continuara....

 

Market Balance

Final MarketBalance is a unique way to view prices, bid, ask and volume together on the same chart while showing the relation between market powers as they change during the trading session.

MarketBalance  es una manera única de ver los precios, oferta, demanda y el volumen en conjunto en el mismo gráfico, mientras que muestra la relación entre los poderes del mercado a medida que cambian durante la sesión trading 

Si necesitas aprender a utilizar esta herramienta  ponte en contacto con Beyond Trading dejando un comentario o vía Twitter, si lo que necesitas es la herramienta abajo tienes el link de tu proveedor .

Main Features

MARKET BALANCE (volume at price) views:

• Bid/Ask
• Bid/Ask Ladder
• Delta
• Graduated Volume
• Delta Colored Volume
• High/Low Volume
• Volume Histogram

Totals (per bar):

• Ask
• Bid
• Delta
• Max Delta
• Min Delta
• Cumulative Delta
• Cumulative Delta/Cumulative Volume %
• Volume
• Cumulative Volume

Totals (per price per session):

• Volume
• Bid/Ask Histogram
• Price Ladder

Candle Body:

• Highlights Open/Close of overall MARKET BALANCE bar

Action Bar

• Operates independently to the right of the current bar, and displays the immediate price action in any of the MARKET BALANCE views.

Delta Calculation Type by

• Bid/Ask
• UpTick/DownTick

Data Feed:

• Uses any data feed supported by NinjaTrader

Trading

• Integrates with NinjaTrader Chart Trader and provides  direct trading from a MARKET BALANCE chart (requires a Live Trading NinjaTrader).

 

Human Touch and Timing VS Automatic Trading

Human touch and timing are two very difficult to program in any algorithm in platforms available to us, I mean programming in C + + or some script  from platform. Not available to us or at least the vast majority of traders development department of systems engineers and mathematicians. Nor do we have the size of the trading accounts of the institutions.

The term "human touch" I mean that perception gives us observe the chart and see how each candle is formed, as the market develops, in every volume  price level, the vision that is very difficult to program in some algorithm . Some say it's the same vision that leads to mistakes, can be, and to save us from many others as well, it comes down to the statistics of our system. The human touch is what gives us the ability to adapt to market changes in both intra-day and in the medium term. Also be present before any geopolitical incident that almost always have an impact on the markets.

But I am convinced that programming combined with the human touch and timing are very powerful tools when operating both intra day and in the medium term.

I mean programming tools that clearly show the imprint of the institutions on the volume, tools that help us manage an operations, inputs and outputs, our profit targets, stops and trailing stops. These tools and many more along with the timing and the "human touch" will help us be more effective in our daily trading.

It is clear that all this is worthless without a proper trading plan and without a proper money management policy. The last two items are fundamental in our system.

The automatic trading is not in my ability and I mean in many ways, but the most important is that I do not have the account size of institution or technology they possess, not to mention that in my case although orders are managed and is pretty fast  I have this process  automated, the disadvantage of not being connected near the server on which the orders are compensated, of course there is the possibility of renting a dedicated server in Chicago and win a few milliseconds, but for now not find it necessary. All these aspects are related to the system and trading plan that every trader should follow.

What if I have clear is that develop tools and combine with the human touch and the timing, form a powerful combination.

As I said once also intraday trader,  I set up my own tools in C + + and NinjaScript.

If this topic interests you leave your comment, and if you need some information about leave your comment and I will send you more information.

Market Profile

The Market Profile is basically a graphic that shows the time on one axis and another shows a summary of market activity in the form of price distribution.

It should be clear that the Market Profile is a way of representing market activity as it unfolds. There is NOT a system to predict support and resistance or trend, its usefulness lies in knowing interpret.

The elements comprising the Market Price Profile called Time Opportunities (TPOs), which are simply a letter assigned to each half hours composing the session. If you cross a certain price for that half hour, the corresponding letter or TPO is noted next to the price listed on the vertical axis.

The first hour of trading is what is called initial balance. In this period of activity, market makers try to find a range in which buyers and sellers agree to trade.

In general we can say that any movement beyond the range established at the beginning of the session is an extension of range, indicating that something has changed between those involved in the market.

The fall causes some buyers to activate their purchase orders around 1651.6 / 1651 slowing the fall in the bottom of the session until the period "h".

The full range of the session is given by the total height of the Market Profile, the area where it performs 70% of trading in a session called Value Area.
The "h" appearing alone at the bottom of Market Profile called  footprint buyer  and indicate that buyers rushed into the market to see those making the price levels are rapidly revolved.
The more longer chain letters, must have at least two, the stronger side force that reacts to movements, in this case the buyer side.
The longest sequence of letters that is near the center of the range is called the control point, which represents the price at which concentrates most of the daily activity...

Continue developing this paper, and how to use with price action....

If you are interested in Market Profile leave your comment and I will get more information, if you need this tool I present this partner who has developed this tool for ninja trader:

http://fin-alg.com