Profitable Traders Poll: Which Technique Drives Your Success?

If you've been consistently profitable over the last year, can you please indicate the primary trading technique you attribute your success to by typing the corresponding number:

1. Price Action
2. Volume Profile
3. Orderflow-Footprint
4. Technical Indicators
5. DOM (Depth of Market)
6. Other (please specify)
  • kakush30
    @rohanrg how you get orderflow of tick or quote level data? As per my knowledge, NSE/BSE dont share such data even at level 4.

    Can you please elaborate how you getting it?
  • rohanrg
    The core idea is to estimate buying and selling volume based on how the current price relates to the bid-ask spread:

    If the price moves towards (or beyond) the ask, it indicates buying activity.
    If the price moves towards (or below) the bid, it indicates selling activity.

    This approach is a heuristic to estimate buying and selling volumes based on price movement and bid-ask spread but may not capture hidden liquidity. I tried to validate the data with the footprint chart representation in GoCharting and it matches.
  • kakush30
    kakush30 edited October 2023
    @rohanrg but that will only estimate the buy/sell vol of limit orders, how you estimate the vol for markets orders?

    As I understand most of the time, by priority, buy market orders are matched with sell market orders. Yeah, it might work for illiquid instruments.
  • rohanrg
    It's a common belief that "buy market orders are matched with sell market orders," but the actual dynamics might differ. Considering the functioning of most exchange matching engines, the lowest ask typically takes precedence. This is because the exchange isn't privy to simultaneous market orders until they're placed. Consequently, buy market orders often align with the lowest ask, and similarly, sell market orders frequently match with the highest bid. For a more accurate estimation, we assess price movements in relation to the previous bid and ask, rather than the current ones, to discern between buy and sell volumes.

    However, it's essential to note that this method provides a directional insight and is best described as an educated estimate, especially given the constraints of quote data. For a precise analysis, comprehensive order book data would be indispensable, though such data is challenging to obtain.
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