Algo Order Flow Analyse mit Volumen Delta, Footprint Cluster Chart und VWAP in Sierra Chart - YouTube

Hi, it's Markus from CEED.trading. Today I'll show you how to integrate volume delta and footprints into your algo order flow analysis. See you in a bit.

First we're going to look at the components of a Footprint chart or how we can visualize a volume delta in a price chart.

Then I'll show you how to add a delta footprint to your chart.

And it's also worth it to stick around. At the end I'll show you a concrete example how you can use delta.pivots

and integrate them into your algo order flow analysis.

In this chart we have a naked volume-based candles for the CL crude oil contract, whereby each candle represents a trading volume of 1500 contracts.

The first question that we want to answer here is "What does delta stand for?"

For this purpose I've added the diagonal differences of traded contracts on the BID in the left side of the respective candle

and on the ASK in the right column.

When buy market orders meet resting sell limit order in the order book, they create a positive delta

and when sell market orders meet resting buy limit order in the order book, they create a negative delta.

We're not necessarily interest in the deltas on all price levels, but in above average deltas or so called footprints.

because they indicate increased urgency on one side

Order execution algorithms that are used by larger institutions are basically liquidity seeking hunters

that use more market than limit orders in case of heightened volatility

in order to complete their large order within given time, volume or price limits.

Sequentially higher or lower delta footprints are signpost in this search, so to speak.

A change in this sequence may indicate a at least temporary reversal in the order flow.

This is why we actually don't need to display transactions on all price points

and can hide them for now.

especially if we want to look at the larger context and not drown in a sea of numbers.

In this example, we use a trading week from Monday through Friday.

In the case of crude oil, the most important day for new impulses in this contract are Tuesday and Wednesday,

when the American Petroleum Institute and the EIA publish production and inventory levels of crude oil and various distillates.

But what can we do when no footprints are created because passive limit orders are distributed evenly in the order book?

In this case, we can use the delta of an entire candle.

as shown here in Sierra Chart.

Furthermore, I've added the daily and weekly VWAP as reference points for algo order flow.

We should never assign to much weight to a single indicator

but if we can observe an anticipated reaction at one of these price levels,

we can position ourselves accordingly.

The prevalent gibberish about structure and it's associated terminology lacks any cause and effect relationship

that is based on real constraints and methods of larger market participants.

A mean reversion following a larger price move is usually based on average prices

rather than single price points such as the last high or low

which daytraders unfortunately rely on way too often.

So if we can clearly identify such a price move in the chart,

this represents an opportunity that we can take advantage of.

Whether or not this price level actually holds doesn't really matter,

because we rather expect a certain reaction here that we can profit from.

When zooming in, we see three successively lower above average negative volume candles marked by a solid yellow circle

plus negative footprints inside of these candles

as well as increased transaction speed that is marked by the larger transparent circles

I refer to delta.pivots as candles that potentially marks the end of a price move

when price stays above this level and quickly moves away with an imbalance of market buy orders, aka positive deltas.

The zone below the positive footprints represent a stop zone if you're long.

Stops below most recent low are simply too far away to make sense here.

Objective price targets could be T1 at the weekly VWAP, where we run into resting limit sell orders,

T2 at the daily VWAP, and T3 where we see a footprint cluster.

If you want to learn more about algo order flow and heard enough about, structure, accepted and rejected prices,

and now want to learn real cause and effect relationships, then visit www.ceedtrading.com

Please post any questions below, hit the thumbs up button if you liked the video and subscribe so you won't miss any new videos.

See you next time. Ciao!