Some OrderFlow Examples – 03/12/15

Through August and the volatile September,  we’ve been seeing a change in the way the market is being approached and traded. The lot size change in November, (according to us) has helped identify some accurate levels in stocks but also we are increasingly noting the bigger players taking larger positions and trading shorter price durations in Index Futures

So whilst the investing world is asking traders especially the retail side to hold and hold for longer periods to get price advantages, we are seeing the intra-day side being taken over by HFT and algos regularly as well as some sharp HNI’s hitting extremes of the range with huge orders enough to turn a trend around.


At Vtrender, we stressed on using Orderflow and proper “levels” to trade from, for a long long period of time. In fact, if you go back on our blog time line we have been speaking about Order flow in trades from 2010. But of late we are seeing a big change in the way it is being used. Here are some examples from today’s NF trade.


We traded from 7903 to 7948 today and back down to 7878 in a 2-time frame market which we also called a Neutral day. A neutral day is always a good day to study OrderFlow.


Exhibit 1: NF at 09.55 am and 7908



As the market dipped lower from 7930 and sellers were seen in control early in the session, a strong aggressive buyer ( 305250 in the chart) showed up to counter the selling. Note the size as well as the fact that the market did not dip below his Buy price. Subsequently we saw the market jump to 7949. If for a minute we assume that the order was from a single institution and he bought at 7908, his potential profit to the top of 7949 was just over 1.2 CR ( I’m not saying he made it- too many variables for me to say that-, just assuming he was one and he closed at the top). The point being made is that he moved the market up or helped move the market up by 40 points


Exhibit 2: NF at 2.10 pm and 7946



As the market moved up we noted a 133050 seller right near the top and again against the trend. That was enough indication for us to jump away from the longs we held and we waited for a confirmation of a move lower. As the timeline showed we saw sellers getting more aggressive post, this order and NF dropped to session lows. Do the math yourself for the 133050 sell order.


Exhibit 3: NF at 3.05 pm and 7890



Post that big sell order the index drops below the 7908 mark and to 7892 where we see an algo trade ( algo noted in the chart). This algo happened to be a buy order and as the session closed, we do not know whether he will close near the Open tomorrow fueling a sell-off or buy more near the lows to support a move up.


Regardless OrderFlow is getting bigger and quicker. It is more and more apparent that knowing what is happening “Now” is more important than has ever been before. Good traders get into trades and get out when they know it is going against them. The tendency to hang on to trades for the “just in case” scenario  is going to get costlier than before. We saw similar examples to the one posted above on other days also. The truth is that it is getting bigger and faster.



Note: The charts posted above are from our trading room