Monday, May 4, 2009

Monday Notes - Sniper Market

5:30pm I'll call today's trade a sniper market as in hindsight I see only four clear shots to get in on the uptrend at high probability wholesale prices, with two coming during times when I don't care to be in the market (10am economic news & at the very end of the session). And while I traded the other two midday pullbacks to supports well, I was a bit undersized given my conviction and also got nicked some in the PM session probing continuations earlier than 3:50pm ET (that was cruel).

The result was a very modest +$3K gain on a day that reflected more good than bad, but enough bad to significantly cap the day's take. Like many, I was looking to load up on a deeper early PM pullback that never materialized beyond the lunchtime chop.

Not the best start to the month to say the least, but I'm quickly putting it behind me and moving on.

And I hope the Bruins can do the same. Great game last night and an outstanding luxury suite box, but the Bs forgot to show up.


Gullible said...

Hi Don,

I stumbled onto your blog a week or so ago, and have followed it as well as read a number of the archived posts.

I started trading on my own at the beginning of last year, and after my share of bumps and bruises I am slowly gaining the confidence that I am not nuts and might indeed be able to make a living at this.

Like you, I trade mainly the ES. I'm now following your blog because so many of the things you say seem exactly right to me. One thing, however, I just don't get: the individual short-term trader as a provider of liquidity to the market. I know you trade what seems like a ton of contracts for an individual, but the ES has volumes of 2 to 3 million contracts per day. What is illiquidity in that market (aside from the graveyard shift)?

I read your post on providing liquidity versus speculation, and I think I understand why you do these trades. I guess my question comes down to, do you really believe the ES would be less liquid if you didn't? Is "providing liquidity" merely a mindset?

I fear your answer will be, if I don't know what iliquidity is, that means you've been providing liquidity to me! :-)

Anyway, love the blog!

Mark M.

Unknown said...

Hi Don,

Thanks for sharing your "diary." I attended your talk on the LBR chat room and noticed that you use 2,5 15,30 or 60 min charts and only one tick chart (1000) Can you share why you use the minute charts?

Thanks, Jeff

Anonymous said...

Hi Don,

After reading through the text of your talk to the LBR group on that site some weeks ago, I now visit your blog on a daily basis. I have read through many of your past posts and found them fascinating.

I sent my daughter the link to the Bamboo Tree - we both thought it great!.

For you this is a public diary, where you record your daily stumbles and successes as you work towards your annual goal.

For me - it is an inspiration to my aspiration of being a consistently successful trader - so thankyou very much for making it available in this form.

There are two terms which you use on a semi regular basis;

1. you refer to a 'trade sequence', and, as in today's post

2. high probablility 'wholesale prices'

Would you please be able to expand on what these terms mean to you?



Brian said...

I see what is probably one of your favorable entries into todays trend at 889-890 on the pullback to VWAP around 9:30PST.

Would you mind sharing what you viewed as the other wholesale entry?


Don Miller said...

Gullible -

My portion of providing liquidity is of course a drop in the bucket compared to total posted market depth, yet the totals posted and available for trading reflect an aggregation of many traders.

Would it be less liquid if I didn't trade? Not at all and you wouldn't notice it as I usually trade lots in multiples of 15 or 30, so on depths that can exceed 1,000, it's small.

Yet it's not simply a mindset ... rather it's a different shift where I'm looking to buy and sell (or vice versa) on a very short-term basis to gain the spread or a few Ticks vs. positioning for a slightly larger move.

On not bging "nuts", I think we're all a bit crazy deep down ... never stopped me though :-).


Don Miller said...

Jeff -

It's simply easier for me to perceive the market rhythms ... i.e. multiple "markets within a market" that help me determine at what level it's trending (or not).

The lesser timeframes can also be used as safety triggers for larger timeframe entries to lessen the chance of jumping the gun ... i.e. a 1-min turn triggering a 15- or 30-min continuation IF there's ample room on the larger timeframe to profit by paying a little extra for the 1-min confirmation (vs. a blind fade).

Just my way of trying to make sense of everything.


Don Miller said...

Rick -

Yea, that Bamboo post is powerful in many areas of life.

A "trade sequence" is simply going from flat to flat given a perceived opportunity which is comprised of multiple scale-in and scale-out entries. Since I'm flat 99% of the time, it defines when I'm actually "in the market".

Wholesale prices simply reflect my view of price levels that have reached a micro-extreme where reversion to the mean will likely result in movement in the other direction ... which could just be a few Ticks or a few points depending on conditions.

It might be easier to define what it's not ... i.e. it's NOT buying a high Tick reading or into a price bar spike. Rather it's the other side.

Hope that helps.


Don Miller said...

Brian -

The 11:00AM (ET) 1-min cross back to the north after the tiny attempted breakdown resulted in what I call a mini-bear trap that had short traders trapped and resulted in the further extension of the morning trend. ("It it ain't going down, the path of least resistance is likely up.")

TICK had been largely positive, pullbacks shallow, and the time of day was right for the typical late morning final push.

I did trade that sequence, which resulted in the largest take of the day before being later partially offset by the PM mess I mentioned in the post.


Unknown said...

But..... why the preference for multiple minute charts rather than multiple tick charts?

Don Miller said...

Jeff -

Just personal preference. Many ways to view the market just like many colors of cars to choose from.


lowblockerside said...

I used to think the team to beat in the east was the B' I think the road to the finals goes through Wash or Pitt....and Tim Thomas reminds me of Cinderella, and the clock is close to midnight :-)

Love the's one of very few places where someone can come and listen to a traders thoughts...and more importantly about the "game" of trading...try talking to a "civilian" about trading and you get a blank stare.

Great job!!!!

tennisguynyc said...

Don, thanks so much for sharing your experiences. Looking forward to all of your teachings!