Bookmap™ Masterclass

Profitable Trading with

LOB and Bookmap™
 Few Words About me
Walter Lesičar
• Trading Futures since more then 10 years
• Order Flow and Order Book
• www.ttwtrader.com
• wtl@ttwtrader.com
• T: @ttwatrader
• Y: ttwtrader

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 Goal of the Seminar
We will use the visualization of the limit order
book to show that profitable and sustainable
trading with liquid instruments in liquid
markets is possible in the long term.

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 Goal of the Seminar
• How do modern markets operate?
• Who is playing the game?
• What are their motivations?
• How do they act and interact?
• How does all this affect liquidity and volatility?
• How do I profit from this knowledge?
• What strategies are the best for myself?

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 Syllabus Auction
Practice
LOB

Liquidity

Absorption
Book Flipping
Bookmap™ Exhaustion Spoofing /Layering
Oganization and Data Practice Quote Stuffing
Presentation Stop Runs
Sweep
Practice
Strategies
Data Feed
Practice
Correlations

Adv. Analysis Tools CVD

Large Lot Tracker
Ice berg Detector
Volume Imbalance
POC
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 1. Test 1 11.Strategies Pattern
2. Part 1 – Auction 1. Execution Summary
3. Limit Order Book (LOB) 12.Strategies
4. Part 2 - Market Mechanic 13.Strategies Indicators Part 3
1. Basic Terminology 1. VWAP
5. Part 3 – Market Mechanic 14.Strategies Part 4
1. Liquidity 1. Advanced Analysis Tools
6. Part 4 - Market Mechanic 15.Part 8 - Data Feed
1. Market Terminology 16.Part 9 – Option Expiration
7. Part 5 – Order Book 17.Part 10 - Trading Advice
1. Visualization 18.Test 2
8. Part 6 – Strategies
1. Strategies Part 1
Liquidity, Sweep Trades, Pullback
9. Strategies Part 2
1. Correlations
10.Part 7: Trading Preparation

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 Documentation
• All documentation, presentation, replay files and any additional
material can be downloaded from our Dropbox file.
• DropBox
• ttwtrader.echofin.co
• Video recordings via VIMEO
• Live Education Room via Zoom.us
• Announcement in ttwtrader.echofin.co „Signal Room“
• Skype for direct contact

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 This Seminar is designed for
• Short Term Trader : Retail -, discretionary Trader
• Professional Trader
• Prop. Trader
• Institutional Trader

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Bookmap™
Test 1
 Test

• Please answer fast and intuitively

• Where will the price move next?
• Price rises (up)
• Price declines (down)
• Price goes sideways

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 Bookmap™
Part 1 - Auction
Limit Order Book (LOB)
 Syllabus Auction
Practice
LOB

Liquidity

Absorption
Book Flipping
Bookmap™ Exhaustion Spoofing /Layering
Oganization and Data Practice Quote Stuffing
Presentation Stop Runs
Sweep
Practice
Strategies
Data Feed
Practice
Correlations

Adv. Analysis Tools CVD

Large Lot Tracker
Ice berg Detector
Volume Imbalance
POC
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 „Limit Order Book“ or LOB is the standardised „Bookkeeping“ for
every traded transaction

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 LOB Characteristics
• LOB (Limit Order Book) is standardised (!) for all traded instruments worldwide
• LOB Answers Questions:
• How much was traded?
• When was it traded?
• At which price was it traded?
• Was the price accepted by the traders?
• Which side wants to buy?
• Which side wants to sell?
• Are there aggressive buyers or sellers?
• „Thin“ Liquidity (illiquid markets)
• „Thick“ Liquidity (liquid markets)

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 Structure of a LOB
• Price
• Bid, Ask
• Best Bid and Offer (BBO)
• Traded Volume
• Aka Current Trades against inside bids and offers
• Refresh time to be defined
• Snapshot or Delta Volume
• Pulling and Stacking of limit orders
• Statistics
• Volume Profile shows total number of contracts traded at each level. It shows also
Session VWAP and POC.
• Acts as Volume Profile tool
• Quotes Center shows the number of contracts refreshed for each specific price
level.
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Compare Bookmap
to a DOM

Price

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Compare Bookmap
to a DOM

Depth of Bid

Depth of Bid

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Compare Bookmap
to a DOM

Depth of Ask

Depth of Ask

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Compare Bookmap
to a DOM Best Bid & Offer

Best Bid & Offer

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Compare Bookmap
to a DOM

Traded Market
Volume

Traded Market
Volume

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Compare Bookmap
to a DOM

Snapshot /Delta
Column

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 Group Excercise: Auction
Goals
• Understanding the Auction
• Understanding the Organisation of the LOB
• Understanding LOB terminology
• Understanding Your role as Trader
• Understanding what moves the Price
• Why is price going up?
• Why is price going down?
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 Auction Rules
• Open Outcry (Pit Trading)
• Auctioneer aka. Matching Machine
• Auctioneer is the Market Maker
• Bank, Broker sells and buys back Future-Contracts (not in a Webinar)
• We will practise a simple auktion
• Everyone get $2000 to start ($100, $20, $10)
• Participants trade only Market Order
• No short selling at the beginning
• Duration about 10 – 15 min.
• At the end of the auction you have be flat
• Bank, Broker, Auctioneer must be paid $10 for each auction
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 Discussion
• Your Feeling
• Did you get what you want?
• Why are we allowed to trade?
• What are you trading?
• Trading is a Zero-Sum-Game!
• > 98% Retail Trader are losing

YOU WILL BE A WINNER!

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 LOB Terms – Limit Order
A limit order sits in the order book until it is:
• either executed against a matching market order or it is canceled
• A limit order may be executed very quickly if it corresponds to the Best-
Bid-Offer (BBO) price
• A limit order may take a long time if the market price moves away from
the requested price
• the requested price is too far from the bid/ask.
• can be canceled at any time
• Typically, a limit order waits for a match
• transaction cost is known
• execution time is uncertain

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 LOB Terms – Market Order
• A market order is an order to buy/sell a certain quantity of the asset at the best
available price in the book.
• Traders can put a market order that, for a buy (resp. sell) order,
• The first share(s) will be traded at the ask (resp. bid) price
• The remaining one(s) will be traded some ticks upper (resp. lower) in order
to fill the order size.
• The ask (resp. bid) price is then modified accordingly.
• When either the bid or ask queue is depleted by market orders or cancelations
the price is updated up or down to the next level of the order book.
• Typically a market order consumes the cheapest limit orders immediate
execution (if the book is filled enough)

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 LOB Terms – Cancellation
• Traders can put a cancellation of x orders in a given
queue reduces the queue size by x
• When either the bid or ask queue is depleted by market
orders and cancelations, the price moves up or down to
the next level of the order book.

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 LOB Dynamics
Actual trades come in two forms
• Trader can put a limit order and wait that this order matches another one
• transaction cost is known
• execution time is uncertain
• Trader can put a market order that consumes the cheapest limit orders in the book
• immediate execution (if the book is filled enough)
• price per instrument instead depends on the order size
• For a buy (resp. sell) order, the first instrument will be traded at the ask (resp. bid) price while
the last one will be traded some ticks upper (resp. lower) in order to fill the order size. The
ask (resp. bid) price is then modified accordingly.

• Trader can put a cancellation of x orders in a given queue reduces the queue size by x

• When either the bid or ask queue is depleted by market orders and cancelations, the price moves
up or down to the next level of the order book

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 Trading Advice

• You never trade alone!

• If no one wants to trade with you, you won‘t be trading
anything.
• Trading always needs two parties.
• Cui Bono! (To Whom is it a benefit?)

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 Price Time regulates each Volume
opportunity
Price is simply the Volume measures the
auction‘s mean of Time degree of success of

ei
advertising opportunity each auction.

James Dalton, Markets Profile,

Profiting from the Auction Process
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 Bookmap™
Part 2 - Market Mechanic
Basic Terminology
 Market Maker
• Provides Liquidity
• Without Liquidity no Trading
• Quoting:
• MM provides a bid-price with corresponding bid-volume
• MM provides a ask-price with corresponding ask-volume
• Clearing:
• MM decides on a price (p) to keep unsatisfied orders as small as possible
• Satisfied orders are cleared
• Facilitating Trading at any time and price
• Most instruments trade 24h/day (except. Crypto)
• „Thin“ and „Thick“ Markets
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 Market Maker & Other Traders
• Market Maker are called: Liquidity Providers
• Other traders are called : Liquidity Takers

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 Aggressors & Passive Trader
• Aggressors are active traders who consume liquidity from the
market
• Aggressors buys always at market!
• Algorithmic Trading Programs too (Sweeping!)
• Market Order are „active“ Order
• Passive Traders provide Liquidity
• Limit Order are „passive“ Order
• Transaktions matches always at Best-Bid-Offer!
• Matching aggressor and passive trader
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 Informed vs. Uninformed Trader
• Informed traders posses information about the future price of
an asset
• News, company numbers, better market access, etc
• Uninformed traders has no access to information
• Lack of news, lack of knowledge about traded asset,
random trading, market ignorance
• Information is hard to measure

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 Matching Engine - Auktioneer
• Enables electronic trading based on defined, fixed rules
• Matches two parties, which want to trade
• Matching Engine is always (!) fair
• Following matching algorithms are used by the CME Group:
• First In First Out (FIFO)
• FIFO with Lead Market Maker
• Pro Rata
• Configurable
• Threshold pro Rata
• Threshold pro Rata with LMM
• Allocation and Ending
• Quelle: https://www.cmegroup.com/education/matching-algorithm-overview.html

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Current Price trading on Best Offer
Last trade is current price

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Price Moves – Transacts on Best Bid
Aggressor hits the bid with a sell market order
Liquidity on Best Bid is consumed

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 BEST
OFFER

BEST
BID

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 BEST
OFFER

BEST
BID

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 Bookmap™
Part 3 – Market Mechanic
Liquidity
 Syllabus Auction
Practice
LOB

Liquidity

Absorption
Book Flipping
Bookmap™ Exhaustion Spoofing /Layering
Oganization and Data Practice Quote Stuffing
Presentation Stop Runs
Sweep
Practice
Strategies
Data Feed
Practice
Correlations

Adv. Analysis Tools CVD

Large Lot Tracker
Ice berg Detector
Volume Imbalance
POC
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 Liquidity Provides
• Liquidity is the „blood“ of all markets!
• Without liquidity no trading!
• Markets need sufficient liquidity to attract active and passive buyers
• Market support buyers on the offer by providing liquidity
• Market seeks buyers or sellers for distribution in price zones
• Market uses liquidity to pressure the price down
• Liquidity aka Volume attracts the price (magnet)
• Liquidity is easy to manipulate – see Order Book Pulling, Stacking
• Liquidity quickly vanishes from the market

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 Conclusions
• Market always seeks liquidity – liquidity acts like magnet!
• Liquidity is reliable if it is firm and stays firm
• Long Term Liquidity
• Stacking in LOB
• Liquidity is weak
• Short Term Liquidity – might appear only seconds in the LOB
• Pulling in LOB
• Liquidity need to be taken by an equal amount of volume = absorption
• Liquidity act like a Catapult (Support)
• Book flipping, Spoofing, Long- , Short Term Liquidity
• Liquidity is „thin“ and „thick“ – depends on market type
• „Thin“ markets: FDAX, Forex, CL, 6E, NQ, YM etc
• „Thick“ markets: Bonds, Treasuries, Indices
• When Liquidity disappears (lack of liquidity) – Sit on Hands! (SOH)
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 Liquidity Absorps Market Volume
Absorption
Liquidity Volume
Limit Order Market Order

• Whenever market volume and limit volume collide, volume or

“energy” is taken out of the market – “Energy” is absorbed
• Less (!) “Energy” aka Volume remains in the market
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 Liquidity Absorps Market Volume

Volume
Market Order

Absorption
Liquidity
Limit Order

• Whenever market volume and limit volume collide, volume or

“energy” is taken out of the market – “Energy” is absorbed
• Less (!) “Energy” aka Volume remains in the market
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 Not enough
Long Term Liq.
energy to trade
Seeking new
buyers!
Large Volume
Cluster

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 Oil Inventories Keine
No Liquidity!
Liquidität!

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 Liquidity: Group Discussion

• What is liquidity?
• Who provides liquidity?
• How does liquidity manipulate the price?
• How is liquidity manipulating traders?
• When is Liquidity reliable?

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 Long Term High Liquidity

• High liquidity remains in the book

• Defines the auction
• Digested by the auction participants
• Channeling between longer term liquidity
• Act as magnet
• Market can trade there – seeking high liquidity!
• Understand context of the area
• More or less liquidity around the area?
• Tendencies to pull the liquidity?
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Long Term High Liquidity

Long Term High Liquidity

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 Long Term High Liquidity

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 Long Term High Liquidity

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 Short Term High Liquidity

• Short Term High liquidity briefly in the book

• Creates large auction imbalances
• New info for auction participants
• Skews the auction – Repels price
• Price reacts to supply and demand imbalance
• Understand context of the area
• Near areas of longer term liquidity
• Relationships to swings in microstructure
• Relationship with volume

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 Long Term High Liquidity

Short Term
Short Term High Liq.
High Liq.

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Long Term High Liquidity

Short Term
High Liq.

Short Term
High Liq.
Short Term
High Liq.

Long Term High Liquidity

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 Liquidity - Path of Least Resistance

• Clearly visible in Bookmap

• BID or ASK side support the price move in one direction
• Real time evidence which way the market will go
• Valid until resistance or support shows up

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 Bookmap™
Part 4 - Market Mechanic
Market Terminology
 Syllabus Auction
Practice
LOB

Liquidity

Absorption
Book Flipping
Bookmap™ Exhaustion Spoofing /Layering
Oganization and Data Practice Quote Stuffing
Presentation Stop Runs
Sweep
Practice
Strategies
Data Feed
Practice
Correlations

Adv. Analysis Tools CVD

Large Lot Tracker
Ice berg Detector
Volume Imbalance
POC
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 Active and Passive Indicators
Trading Indicators Confirmation Indicators
• Liquidity • Order Book Imbalance
• Absorption • Pulling / Stacking
• Spoofing
• Exhaustion
• Channeling
• Sweeping
• Book Flipping
• Stop Runs • Quote Stuffing
• IceBerg
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 Absorption
• Absorption indicates the presence of one or more market makers
who are sufficiently capitalized to consume all orders at a certain
price.
• Absorption meets firm resistance when the limit page of the order
book is "recharged" or "stacked" with new volume until the entire
aggressor volume is consumed.
• Absorption always happens at price levels with equivalent liquidity.
• Volume absorbed = Liquidity allocated

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 Liquidity Absorps Market Volume
Absorption
Liquidity Volume
Limit Order Market Order

• Whenever market volume and limit volume collide, volume or

“energy” is taken out of the market – “Energy” is absorbed
• Less (!) “Energy” aka Volume remains in the market
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 Liquidity Absorps Market Volume

Volume
Market Order

Absorption
Liquidity
Limit Order

• Whenever market volume and limit volume collide, volume or

“energy” is taken out of the market – “Energy” is absorbed
• Less (!) “Energy” aka Volume remains in the market
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 Reasons for Absorption
• Market is changing his mind
• Traders has reached their target (Bussines Done)
• Distribution and Accumulation takes place
• Covering or Flatten open positions
• Can happen over more then one price level (!)
• Adding or opening new positions
• Can happen over more then one price level (!)

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 Absorption Example
High Liquidity in order book on bid, resting for several hours
It is far away from current best bid

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 Sweep of Book
Longer term liquidity resting on bid is now 1 Tick away from best bid

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 Another large 50 lot sell order hits the bid
High liquidity is 1 tick away from best bid

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 Sweep of Price Level
Now High liquidity is 1 on the best bid

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 Aggressive Trade is absorbed
High liquidity absorbs remainder of 50 lot order
Price does NOT sweep the level, and 80 contracts still remain at best bid

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 Another large 50 lot order hits the bid

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 Aggressive trade is absorbed, price stops
Entire 50 lot order is absorbed by limit orders
30 contracts still remain at best bid

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 Aggressive buyer enters the market
Spread is 3 ticks

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 Aggressive buyer lift the offer with 1 contract
Limit buy orders on bid stops the sell momentum to downside
Price shifts to best offer and moves 3 tick higher

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 Absorption: Advanced Concepts
Strategies: V-Bottom reversal, Pullback Setup
Phenomena: Stop runs, trapped volume, Book Flipping

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 „Energy“ absorbed

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 Absorption: Application

• Absorption is not ALWAYS a reversal or trading signal!!

• It is important what happens next:
• Short Retracement
• Retracement up to next Liquidity Level
• Break Through
• Liquidity act as Support, Resistance
• Absorption Reversal, Continuation
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 Absorption: Pattern

Absorption – „short“ Retracement Absorption – Retracement Absorption – Break Through

Indicates strenght in the price Short Covering Massive Sell Off
movement
Liquidity above or below Liquidity = Covering
Small short covering
Price seeks Liquidity Price seeks final Support
NO Liquidity above or below (Liquidity) or Resistance
Liquidity acts as Resitance or (Liquidity)
Price drops Support

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 Absorption: Pattern

Absorption – Reversal Absorption – Continuation

Firm Liquidity on Limit Site Liquidity was absorbed

Stacking in LOB Book flipping

LOB – Market Order are absorbed LOB reading – Market Order

indicates the strenght of current
LOB reading market

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 Exhaustion

• Exhaustion is a depletion of market orders on the last ticks or

price.
• We observe decreasing volumes.
• Exhaustion is a price level of last seller in a downtrend and a
price of last buyer in case of an uptrend.

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 Exhaustion Example

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 Sweep of Book
Down to low liquidity area of 8-10 contracts per price levels on bid

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 5 lots trade hits the bid

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 Another 5 lots hits the bid

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 5 lots trade on the bid
Best bid now shows low liquidity of 8 contracts

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 Lack of trading activity
Best offer drops and narrows the spread

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 Price exhausts on bid – no trading activity
Sellers dry up
Buyers lift the offer as 5 lot enters the market

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 Price exhausts on bid – no trading activity
Market buy orders transact on the best offer

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 Sweeping

• Trading through 1 or more price levels very fast

• Big aggressive market orders
• Leaving unfinished auctions (Low Volume Nodes – LVN)
• Fast and powerful refusal of prices
• Speed of price action is important
• [Stop running]
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 Sweeping or Big Moves
• Fast and powerful moves are initiated (ignited) by algos at
exogeneous events like sudden political or economical issues.
• Prices then sweeps through a range of prices leaving an order
vacuum in it‘s wake as time goes on.
• New orders come into the void
• Large market orders arrive so fast that the queue does not have
time to equilibrate between their arrivals.
• Market making programs see the orders and they seek to execute
them so price retraces.
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 Quota Center
traded contracts=0

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 Matching Engine
starts to poll
No
„Polling“

Sweep

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 Current Price trading on Best Offer

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 Aggressive 50 lot sell order hits the Bid

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 All liquidity taken – 15 lots trade
50 lot order is now 35 lots
Aggressive sell order hits bid againat next price level, spread widens
1 Tick

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 All liquidity taken – 18 lots trade
50 lot order is now 17 lots
Aggressive sell order hits bid again at next price level, spread widens 2 Tick

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 17 of 22 lots trade – 5 lots remain on Best Bid
50 lot order is now completely filled – Best Bid remains on current level
2 levels of the order book are quickly swept, vacuum between BBO
VACUUM

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 Sweeping – advanced concepts
Strategies: Momentum, Pullback setup, Rejection
Phenomena: Book Flipping, Icebergs, Ignition

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 Trading Advice

Never trade in the direction of a Sweep!

Avoid the „Pavlovian Reflex“!
A sweep must be traded AGAINST it‘s direction –
at the near end of the move.

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 Stop Runs – Stop Losses

• Stop runs are bottom or top formations that shoot beyond an

absorption level to trigger stops in the immediate area of the
absorption or breakout.
• Stop Runs triggers stops which are immediately executed at market
• This triggers a fast counter movement, which is intendent.
• It is a Slingshot Move
• Sweeps are the most causes for Stop Runs
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 Active and Passive Indicators
Trading Indicators Confirmation Indicators
• Liquidity • Order Book Imbalance
• Absorption • Pulling / Stacking
• Spoofing
• Exhaustion
• Channeling
• Sweeping
• Book Flipping
• Stop Runs • Quote Stuffing
• IceBerg
12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 147
 Order Book Imbalance
Why does the price move?
• Indicates a change of expectations or mood of market participants
• Why does the price drop?
• Because there is no BID (!)
• High Liquidity on Limit Offer means more resistance
• Less Liquidity on Limit Bid means less resistance
• Why does the price rise?
• Because there are sufficient buyers willing to lift the offer
• High liquidity on Limit Bid means strong support
• Lower Liquidity on Limit Offer indicates low resistance
• ALL these „intentions“ are indicated by the „Order Book Imbalance“!
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Current Price trading on Best Offer
Order Book is Balanced

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Price Moves – Transacts on Best Bid
Aggressor hits the bid with a sell market order
Liquidity on Best Bid is consumed

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Order Book Imbalance
Value Shift in „Intent of Trade“ on the Best Offer

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Supply Imbalance
Auction is „skewed“, seeks balance through price reevaluation
Liquidity pulled, Spread widens as Best Bid drops 2 Ticks

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Price Moves – Transacts on the Best Bid
Aggressor hits the Bid with a Sell Market Order, with volume of 1 contract 3 Tick vacuum
created between BBO

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Depth Imbalance: advanced concepts
Spoofing or Layering, Icebergs
Strategies: Momentum

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 Book Flipping

• Means that market makers are adding to bid / offer to

support one direction of the price
• Mind changing
• Gives mostly a reliable view of the price development

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 Book
Flipping

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 Book
Flipping

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 Quotes Delta: Pulling & Stacking
Confirms Absorbtion!

• Bid and Ask side are managed separately according to similar

logic
• Each side resets to zero whenever the best price changes
• The Quotes delta displays cumulative size change of the
price level since the last reset
• It is a simple adding and subtracting
• Because changing of volume happens fast
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 Spoofing or Layering

• Load the book in one direction and remove the orders

before execution.
• Goal is to manipulate the price action swelling the
volume of the order book above and below the current
price.
• Under the 2010 Dodd-Frank Act spoofing is defined as
"the illegal practice of bidding or offering with intent to
cancel before execution.”
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 Channeling
• Intent to keep the price within a price range in order to get filled on
certain price levels
• Goal is to manipulate the price action WITHIN the range
• Text of Rule 575 – Disruptive Practices Prohibited
• All orders must be entered for the purpose of executing bona fide
transactions. Additionally, all nonactionable messages must be
entered in good faith for legitimate purposes.
• A. No person shall enter or cause to be entered an order with
the intent, at the time of order entry, to cancel the order before
execution or to modify the order to avoid execution;
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 Channeling

Channeling

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 Quote Stuffing
• Part of HFT trading
• Quote stuffing is the practice of quickly entering and then withdrawing large
orders in an attempt to flood the market with quotes, causing competitors to
lose time in processing them.
• High-frequency trading in and of itself is not illegal. However, stuffing takes
place when traders fraudulently use algorithmic trading tools that allow them
to overwhelm markets by slowing down an exchange’s resources with buy
and sell orders in securities.
• Only market makers and other large players in the market are capable of
executing these tactics, since they require a direct link to the securities
exchange in order to be effective.
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 Excercise: Replay Bookmap™

• Excerise Time: 30 min.

• Group discussion

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 Training exercises
• Identify Basic Market Mechanics examples in Bookmap
replay mode
• Markup several charts
• Variations of how price moved
• Draw conclusions from the examples, noting the
different times, markets and varying liquidity
• Begin anticipating Basic Mechanics in real time
Understanding these market mechanics are critical.
This will lay a solid foundation for future lessons.
12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 177
 Bookmap™
Part 5 – Order Book
Visualization
 Syllabus Auction
Practice
LOB

Liquidity

Absorption
Book Flipping
Bookmap™ Exhaustion Spoofing /Layering
Oganization and Data Practice Quote Stuffing
Presentation Stop Runs
Sweep
Practice
Strategies
Data Feed
Practice
Correlations

Adv. Analysis Tools CVD

Large Lot Tracker
Ice berg Detector
Volume Imbalance
POC
12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 179
 Goals
• Order Book visualization with Bookmap™
• Why visualization?
• Advantages of LOB visualization
• Bookmap™ design and set-up
• Dot, Bid, Ask
• Liquidity level
• Time Slices, Macro- , Micro View
• Settings

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 Data Visualization

Data Visualization allows us to

• Structure, evaluate and better comprehend the meaning of
displayed data
• Define terms for a common language
• Develop rules based on the defined language and act
accordingly across all platforms
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 Historical Chart Structure
Everything is relative!
• Visualisation is relative to the selected time frame!!
• Small Dots – small volume!
• Large Dots – large volume! (Large Volume Cluster)
• Liquidity level are RELATIVE
• Related to the zoom level
• Related to the time frame
• Density of liq. is defined by color
• From light to dark(er) (high liq.)

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 Traded Depth of Market (DOM)
Historical Data
Data Limit Order Book (LOB)

Short Term High Liquidity Volume

Profile
LOB

Pullback
LVN

Absorption
LVN Pulling
Sweep

Stacking
Book Flipping
Long Term High Liquidity

12 December 2019 Cumulated Volume Delta

© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 183
 Meaning of Dots = Volume
• NEVER TRADE WITH BUT
AGAINST BIG VOLUME!
• Pavlovian reflex!
• Trap for most traders at highs
and lows.
• Stops were hit or they must
cover/flatten their positions
• This panic supports the
counter move

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Liq. relative to
time frame!! Date & Time
ASK 44 at 2595.00
Volume: 191 at 2595

Ask

Bid

Date & Time

BID 42 at 2593.00 Liq. relative to
Volume: 122 at 2592 time frame!!

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 Colormap

Heatmap and Volume Dots can

be changed with dyn. Slider.

Info Line has same

infos like Data Tool
Tipp

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 Trading Advice

Use higher time frames and don‘t lose yourself in MicroView!

You want maximum profit with just a few trades!

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 Bookmap™
Part 6 - Strategies
 Syllabus Auction
Practice
LOB

Liquidity

Absorption
Book Flipping
Bookmap™ Exhaustion Spoofing /Layering
Oganization and Data Practice Quote Stuffing
Presentation Stop Runs
Sweep
Practice
Strategies
Data Feed
Practice
Correlations

Adv. Analysis Tools CVD

Large Lot Tracker
Ice berg Detector
Volume Imbalance
POC
12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 189
 Trading Advice

• NO BIAS
• BE PATIENT
• LET THE MARKET GUIDE YOU

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 Liquidity Absorps Market Volume
Absorption
Liquidity Volume
Limit Order Market Order

• Whenever market volume and limit volume collide, volume or

“energy” is taken out of the market – “Energy” is absorbed
• Less (!) “Energy” aka Volume remains in the market
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 Strategy Symbols
Reversals

Large Volume Cluster

Pullback
Liquidity (Long – und Short Term)

Correlations
Traded Volume

Sweeps
Divergences

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 192
 Meaning of Dots = Volume
• NEVER TRADE WITH BUT
AGAINST BIG VOLUME!
• Pavlovian reflex!
• Trap for most traders at highs
and lows.
• Stops were hit or they must
cover/flatten their positions
• Supports the counter move

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 Bookmap™
Strategies Part 1
Liquidity, Sweep Trades,
Pullback
 Trading Advice

• NO BIAS
• BE PATIENT
• LET THE MARKET GUIDE YOU

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 Goals
• Applying strategies based on the studied market mechanism
• Active and passive indicators
• Understanding strategies and their execution
• Liquidity
• Sweep trades
• Pullback
• Additional analysis methods in the second part

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 Liquidity as Target
• Liquidity acts as „magnet“ for all markets
• Without Liquidity no trading
• Liquidity is providing or taking „Energy“
• Absorption (taking volume out of the market)
• Book Flipping aka Support or Resistance
• Order Book Imbalances (Support or Resistance)
• Use Liquidity as your guidedance / orientation throughout the
trading day

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 „Energy“ absorbed

Follow Liquidity here

Liquidity
„Energy“ absorbed
here

Liquidity

Liquidity

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 Trade into the Sweep
Prerequisites
• Sweep
• Is always a 90° move !
• Is always extremly fast (max. 2-20 sec.)
• Leaves always a vacuum
• Vacuum must be closed within a short period, always (!)
• is always triggered by algos
• Is most of the time the end of a swing or capitulation
• Liquidity
• Not existing
• Sweep to a liquidity level = Absorbtion
• Volume
• At the beginning of a sweep not existent
• At the Top or Bottom ends in a „Big Volume Cluster“
• Always followed by a massive reaction to the Big Volume Cluster in the DOM
• LOB shows no volume because of the speed of the move
• Chart Range Volume Profile shows no volume either (LVN = Low Volume Nodes)

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 Trade into the Sweep – Scheme

90° +
Vacuum

ESH9 ESH9 ESH9 CLH9

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 Trade into the Sweep – Execution
• Sweep trading requires experience
• Sweep indicates
• a pause in trading
• a reversal
• Stop runs (immediate response)
• Execution
• Wait for the largest volume or „Large Volume Cluster“ of the sweep (1-3 sec.)
• A fill on the top is in most cases unlikely (Slippage e.g CL)
• Wait for a retest with lower volume
• Consider this entry and place your stops above the liquidity level
• It takes some time to lift off or to drop
• A sweep indicates further
• To clear your position (long or short)
• To tighten your stops
• End of the price movement
• Disadvantage
• A sweep can happen 1-2-3 times in a row (dependent on the instrument)

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 Trade into the Sweep – Execution 1
Sweep - Immediate Rejection
Most of „Energy“ Stop Area
absorbed here Liquidity firm
Sweep Short Area
90°
Vacuum

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 Stop Area

Short Area

Long Area

Stop Area

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 Trade into the Sweep – Execution 2
Sweep as Reversal
Stop Area
Most of „Energy“
absorbed here
Short Area

90° +
Vacuum
Book flip

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 Stop Area
Most of „Energy“
absorbed here
Short Area

90° + Book flip

Vacuum

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 Most of „Energy“
absorbed here
Stop Area
Sweep
90°
Vacuum
Short Area

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Sweep
90°
Vacuum

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 Trade into the Sweep – Execution 3
Sweep – Bottom and Top Formation
Sweep
90°
Vacuum

Most of „Energy“
absorbed here

Long Area

Stop Area

Book flip

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 90° +
Vacuum

Most of „Energy“ Long Area

absorbed here Stop Area

Book flip

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 90° +
Vacuum

Most of „Energy“
absorbed here Long Area
Stop Area

Book flip

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 More Selling then
buying
Stop Area

Most of „Energy“
Short Area
absorbed here

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 More Selling then
buying

Stop Area
Most of „Energy“
absorbed here Short Area

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Sweep – Basic Decision Table for Conservative Entries

No Wait!
Sweep?

Yes
No
Retest? Wait!

Yes
Entry on low
Volume

Yes No
Runner Entry ok? Cancel!
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 Sweep? No
Wait!
Yes
Retest? No
Wait!
Yes
Entry on low
Volume

Yes No
Runner Entry ok? Cancel!

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 Trade into the Sweep – Execution 4
Sweeps in a row
Stop Area
Most of „Energy“
absorbed here Short Area
Most of „Energy“
absorbed here

Sweep 2

Sweep 1

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 Liquidity = target

Sweep 2

Sweep 3

Sweep 1

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 Sweep 1

Sweep 2

Sweep 3

Long Term High Liquidity

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 Sweep 3
Sweep 2

Sweep 1

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 Advanced Trade: Sweep Correction
Advanced Scalping Technique: For experienced Trader!!
Most of „Energy“
absorbed

Sweep
90°
Vacuum

~ 50% of the
Sweep
TIME!!

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 ~ 50% of the
Sweep

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 ~ 30% - 50% of
the Sweep

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 Pullback Strategy - Prerequisites
• Trending Environment
• Pullbacks or Reversals always in a Trend
• Conditions
• Move ends in a Volume flurry or Large Volume Cluster!!
• Absorption of Volume (loss of Energy!)
• Covering or profit taking starts
• Volume
• Pullback ends in depleted volume = Exhaustion
• Divergence in Chart Accumulated Volume Profile
• Liquidity
• Good Short Term High Liquidity above / below the volume cluster

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 Pullback: Pattern
Pullback
Pullback
„Big“ covering
„small“ covering

Pullback

Absorption – Continuation
Liquidity was absorbed
Book flipping
LOB – Market Order indicates the
Absorption – „short“ Retracement Absorption – Retracement strenght of current market
Indicates strenght in the price Short Covering
movement
Liquidity above or below Pullback
Small short covering
Price seeks Liquidity
NO Liquidity above or below
Liquidity acts as Resitance or
Price drops Support

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 Pullback – Scheme and Execution
Short Term Liquidity Exhaustion
in the LOB
Stop Area

Short Area
Volume
Cluster

Most of „Energy“
absorbed here

Divergence

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 Pullback Strategy– Execution
• Pullbacks happen always in trending moves
• Pullback Entry
• Look for Short Term Liquidity above or below the last Large Volume
Cluster
• Let the market trade towards the Short Term Liquidity
• Remember: Price seeks Liquidity!
• Place your trade below or at the Short Term Liquidity
• Stop must be above the Short Term Liquidity
• Volume
• Low Volume close to Short Term Liquidity
• Exhaustion is indicated
• Watch Chart Volume Profile (CVP) for LVN (Low Volume Nodes)
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 Short Term Liq.

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 Low Volume pullback
Exhaustion
LVN

Break of
Structure
High Volume
Cluster

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 Stop Loss above POC

Recall exhaustion
Set realistic limit order

Stop Loss aggressive

Book
sweep
Sell Volume
Cluster

Target – High
Liquidity

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 Bookmap™
Strategies Part 2
Correlations
 Syllabus Auction
Practice
LOB

Liquidity

Absorption
Book Flipping
Bookmap™ Exhaustion Spoofing /Layering
Oganization and Data Practice Quote Stuffing
Presentation Stop Runs
Sweep
Practice
Strategies
Data Feed
Practice
Correlations

Adv. Analysis Tools CVD

Large Lot Tracker
Ice berg Detector
Volume Imbalance
POC
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 Trading Advice

Correlations gives an additional level of confidence in trading.

Utilize this additional information in your daily trading decisions.

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 Correlations
• Many markets have close interdependencies
Correlations help to see and recognize the direction of a market
• Correlation is a statistical measure that determines how assets move in relation to each
other. (https://www.investopedia.com/articles/financial-advisors/022516/4-reasons-why-market-correlation-matters.asp)

• Although Correlations exist, they must be always viewed in the economical context.

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 247
 NASDAQ 100
MSFT
AAPL
AMZN
GOOG 45% VIX
FB Volatility Index
INTC

S&P 500
S&P 500
MSFT
AAPL
SPY
AMZN
GOOG 3,8% ETF Fund
FB
INTC

DOW JONES
MSFT
AAPL $ / YEN
AMZN
GOOG 28,6%
FB
INTC
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Source: https://www.slickcharts.com
 Correlation: ES – MSFT - AAPL

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 Correlation:
ES – YEN – SPY – VXX - MSFT – AAPL –AMZN - NQ

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 Correlations – SPY vs. ES
• The SPDR S&P 500 trust is an exchange-traded
fund which trades on the NYSE Arca under the symbol
(NYSE Arca: SPY). SPDR is an acronym for the
Standard & Poor's Depositary Receipts, the former
name of the ETF. It is designed to track the S&P 500
stock market index. This fund is the largest ETF in the
world (https://en.wikipedia.org/wiki/SPDR_S%26P_500_Trust_ETF)

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 Correlations – QQQ vs. NQ
The PowerShares QQQ, previously known as the QQQQ, is a widely held
and traded exchange-traded fund (ETF) that tracks the Nasdaq 100 Index.
The Nasdaq 100 Index is composed of 100 of the largest international and
domestic companies, excluding financial companies, that are listed on
the Nasdaq stock exchange, based on market capitalization. Therefore,
QQQ is heavily weighted toward large-cap technology companies and is
often viewed as a snapshot of how the technology sector is trading.
(https://www.investopedia.com/ask/answers/061715/what-qqq-etf.asp)

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 Correlations – VXXB or VIX
The Volatility Index, or VIX, is an index created by the Chicago Board Options
Exchange (CBOE), which shows the market's expectation of 30-day volatility. It is
constructed using the implied volatilities on S&P 500 index options. This volatility is
meant to be forward looking, is calculated from both calls and puts, and is a widely
used measure of market risk. The VIX is often referred to as the "investor fear gauge."
Fear, volatility, and the index move up when stock prices are falling and investors are
fearful. The index, volatility, and fear decline when stock prices are rising.
(https://www.investopedia.com/terms/v/vix.asp)

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 Correlation: USD/YEN - ES
• Investors shift their capital in case of uncertainty from stock markets, indices in
Forex markets
• YEN is seen as the negative indicator of the S&P 500 (ES)
• Tight correlation between USD/YEN and S&P 500
• YEN is in diffcult times the „Flight to Quality“
• S&P 500 and YEN have (normally) an inverted ratio to each other.
This can change – see 2016
• At times of high correlation, YEN is used to hedge against the S&P 500
• Rule of Thumb:
• If YEN soars – indices will drop (S&P 500)
• If YEN plummets – indices are rising (S&P 500)

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 Correlation: ES – YEN

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 Correlation: ES – YEN

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 Correlation: ES – YEN

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 Correlations: Treasuries – S&P 500

• 30 Year Bond (ZB), 10 Year T-Note (ZN), 5 Year T-Note (ZF) correlates
strongly
• Stock- and Bondmarkets correlates contrary
• When Bond market soars, the Stocks are likely to fall
• Investors tend to shift their capital
• Investors are hedging the S&P 500 market against the Bonds and vice versa

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 Correlations: Treasuries, Indices
ZB ZF
30 Year 10 year

S&P 500

BUND
ZN
5 Year

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ES - ZB – ZN - ZF

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ES - ZB – ZN - ZF

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 ZB - ZN

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 Bookmap™
Part 7: Trading Preparation
 Syllabus Auction
Practice
LOB

Liquidity

Absorption
Book Flipping
Bookmap™ Exhaustion Spoofing /Layering
Oganization and Data Practice Quote Stuffing
Presentation Stop Runs
Sweep
Practice
Strategies
Data Feed
Practice
Correlations

Adv. Analysis Tools CVD

Large Lot Tracker
Ice berg Detector
Volume Imbalance
POC
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 Goals
• Trading Day Preparation
• Macro View (Tage, 60min)
• Micro View (10 min, 5 min)
• Historical Chart „synchronisation“
• Cloud Notes for potential important price levels (Google
Docs)
• Custom Notes for ad hoc entries

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 Preparation - Macroview
• Analyze your instrument in daily and minute charts
• Y-Close (GAP), Y-Low, Y-High, PP, R-Open, Pre-High, Pre-Low, Y-VWAP, etc.
• Transfer important price levels into Bookmap™
• Dynamically with Google Docs via Notes -> Cloud Notes
• Manually during the trading day via Notes -> Custom Notes
• Algorithmic programs trade most of the time parallel between price levels
• Draw horizontal lines at Swing Highs and Swing Lows

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 Trading Day Preparation

Day 60 min

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 Cloud Notes

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 Macroview and Structure – example
Daily Chart

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 Macroview and Structure – example
30 min.

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 Microview and Structure – example
5 min.

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 Macroview and Algos

• Each market is manipulated (every day) by algorithmic

programs
• Algos moves in parallel between price levels
• Mark the high and low of swings
• Horizontal markings coincide with High Term Liquidity levels
• In Bookmap™ applicable if historical data are subscribed

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 Macroview and Algos - Preparation

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 Macroview and Algos - Preparation

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 Macroview and Algos - Preparation

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 Macroview and Algos - Preparation

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 Trend Definition
• Use current market data to prognosticate the daily trend
• Correlations are highly reliable indications
• Look 1 day and 2-3 day back. What is / was the trend?
• Mark previous daily data in your chart (High, Low, Gap(!), Open..)
• Mark important liquidity levels (Long Term High Liquidity)
• Use additional technical indicators like McClellan or similar
• Use a decision table
• Always be aware that current analysis can be affected by daily events!

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 Trend Definition – Decision Table
Example: S&P 500 Future (ES mini)
Indication Trend Result
Yen / USD (6J) 1 day – 3 and more days Green / Red / Neutral
Gold (GC) 1 day – 3 and more days Green / Red / Neutral
Treasuries (ZB, ZN, ZF) 1 day – 3 and more days Green / Red / Neutral
Dow Jones (YM) Correlation with ES and NQ Green / Red / Neutral
Nasdaq (NQ) Correlation with ES and YM Green / Red / Neutral
Shares: AAPL, MSFT, AMZN, GOOG https://www.finviz.com/map.ashx?t=sec Green / Red / Neutral
Technical Indicators (McClellan) Trend definition (https://www.mcoscillator.com/) Green / Red / Neutral
Daily Liquidity Model Long Term High Liquidity (see next) Mark it in BM chart
News Skew the trend !! News services: DataFlash
https://www.financialjuice.com/home#

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 Watch for Liquidity as a first Estimate
Prio 1 Liquidity Liquidity

Liquidity

Zoom out and observe

current Long Term High
Liquidity levels.

Prio 2 Liquidity
Liquidity

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 Prio 1 Liquidity

Prio 3 Liquidity

Prio 2 Liquidity

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 Trend Definition Trend Definition
ES – YEN – Gold – 30y Bond Shares vs Treasuries

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 Bookmap™
Strategies Pattern
Execution Summary
 What makes a Good Setup?
• Consistency
• The ability to clearly identify if it‘s working or not
• Having a close stop and a far target
• High Risk:Reward (R:R) ratio
• Patience

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 Sweep – Contrary Trading
• Sweeps are signs of liquidation, capitulation
• See Sweep chapter
• Leaves always an imbalanced limit order book!
• MUST always be traded contrary
• Pattern
• Wait until sweep comes to an end
• Does the market retest price at top/bottom?
• Volume retesting top/bottom must be clearly lower then traded before
• Use Divergences, ASK / BID Imbalances
• Target
• Price seeks liquidity
• Correlation to other markets
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 Re-Bid – after open
• Re-Bid means to enter market and to take advantage of it‘s direction
• Pattern
• Bullish Market
• Liquidity above attracts price
• Execution
• Step in and re-bid the move
• Target = Liquidity above
• Note
• Stop below last low
• R:R ratio not optimal
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 Re-Bid

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 Re-Offer
• Re-Offer means to enter market and to take advantage of it‘s direction
• Pattern
• Bearish Market
• Fast price action, mostly at the beginnig of trading session
• Liquidity below attracts price
• Execution
• Step in and re-offer the move (market or limit)
• Target = Liquidity below
• If no liquidity below, ride the move until exhausted (Sweep)
• Note
• Stop above last high
• R:R ratio not optimal
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 Re-Offer

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 Time and Liquidity as an Indicator
• Time / Timing is the most important factor in Trading
• Price seeks liquidity
• Pattern
• Bullish Market
• Firm Support at a price
• Liquidity attract buyers above
• Execution
• Buying dips at re-tested price level
• Target = Liquidity above
• Help
• Draw a rectangle around re-tested price
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 30 – 60 min

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 Pullback
• Trending Environment
• Pullbacks or Reversals always in a Trend
• Conditions
• Move ends in a Volume flurry or Large Volume Cluster!!
• Absorption of Volume (loss of Energy!)
• Covering or profit taking starts
• Volume
• Pullback ends in depleted volume = Exhaustion
• Divergence in Chart Accumulated Volume Profile
• Liquidity
• Good Short Term High Liquidity above / below the volume cluster

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 Trend
Short Term High Liquidity

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 Bookmap™
Strategies Indicators Part 3
VWAP
 Syllabus Auction
Practice
LOB

Liquidity

Absorption
Book Flipping
Bookmap™ Exhaustion Spoofing /Layering
Oganization and Data Practice Quote Stuffing
Presentation Stop Runs
Sweep
Practice
Strategies
Data Feed
Practice
Correlations

Adv. Analysis Tools CVD

Large Lot Tracker
Ice berg Detector
Volume Imbalance
POC
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 VWAP –
Volume Weighted Average Price
• VWAP is the ratio of the value traded to total volume traded over a particular time
horizon (usually one day). It is a measure of the average price a financial
instrument such as stock or futures traded at over the trading horizon.
• The most professional brokerage firms offer what is known as Guaranteed VWAP
execution to large institutional clients. Guaranteed VWAP is the process of
executing trades exactly at the VWAP price.
• VWAP is used to identify liquidity points
• VWAP spots the action of very active money pools

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 VWAP –
Volume Weighted Average Price
• Daily Volume Weighted Average Price
• Weekly Volume Weighted Average Price
• Monthly Volume Weighted Average Price
• Time Weighted Average Price

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Daily VWAP (NT8)
Source:
https://www.lizardindicators.com

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Weekly VWAP (NT8)
Source:
https://www.lizardindicators.com

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Monthly VWAP (NT8)
Source:
https://www.lizardindicators.com

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Indicators for NinjaTrader 8
Source:
https://www.lizardindicators.com

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 Bookmap™
Strategies Part 4
Advanced Analysis Tools
 Syllabus Auction
Practice
LOB

Liquidity

Absorption
Book Flipping
Bookmap™ Exhaustion Spoofing /Layering
Oganization and Data Practice Quote Stuffing
Presentation Stop Runs
Sweep
Practice
Strategies
Data Feed
Practice
Correlations

Adv. Analysis Tools CVD

Large Lot Tracker
Ice berg Detector
Volume Imbalance
POC
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 Tools
Advanced applications
• Confluences at Setup Levels

• Sharp Delta
• Cumulative Volume Delta
• Iceberg Detector
• Large Lot Tracker
• Correlations
• Alert Settings
• Large Trade Alert
• Order Book Imbalance
• VWAP
• POC
• API Automated Strategies
• Training Excercises

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 Cumulative Volume Delta
• Cumulative Volume Delta or CVD is a very basic indicator. It simply plots the
accumulation of aggressor volume.
• The CVD simply displays the cumulative volume of buy aggressors minus sell
aggressors. Buy Volume is a positive number and Sell Volume is a negative
number. Add them together and that's your CVD output …

• 5 Contracts bought = +5
2 Contracts sold = +3
10 Contracts sold = -7
….

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 CVD - Basics
• Significant directional CVD & volume is usually correlated with
strong price movement.
• Insignificant directional CVD & volume is usually correlated with
weak price movement
• If the above correlations don't exist, then something is amiss.
There is a divergence between price movement, volume, and
CVD. Therefore a possible trading opportunity exists.

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Sweeping and Retracement

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Higher Time Frame

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Absorption

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Exhaustion

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 Iceberg Detector
• Bookmap generates the iceberg indications based on difference between the
actual pending order offered at that price level and the actual number of orders
that transacted at that price level, at that specific moment.
• Larger Players use hidden orders or IceBergs to conseal their intent to trade at
that price level; their large limit order do not display in the LOB. Therefore,
these hidden orders do not skew the aucion imbalance.
• Can act as absorption at that price level, with lack of liquidity in LOB.
• https://bookmap.com/wiki/Iceberg_Orders_Tracker

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 Native Algorithm in Action

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 Usage of Iceberg orders

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 Large Lot Tracker
• An approximation of the largest single pending order at a price
level if that order crosses a certain threshold based on the
adjustable settings in Bookmap.
• Larger Players typically set individual large block orders in areas
they want to deal
• Can act as a spoof – puposely showing large orders can skew the
auction and cancellation of these orders can create vacuum.

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 Order Book Imbalance
• Order Book imbalance represents the ratio between the average bid order book
size versus the average ask order book size
• Volume imbalance represents the ratio between the volume generated by
buying aggressors (market order transactions on the offer) versus the volume
generated by selling aggressors (market order transactions on the bid)
• The two imbalance indicators are calculated according to the current chart
range. Any change to the chart range (either by dragging or by zooming in or
out) will affect the readings of the imbalance indicators..

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 Order Book Imbalance
Alert Settings
• Alerts when extraordinary imbalance in LOB happen
• Be careful in areas with „many“ imbalance alerts
• Imbalance areas
• Pause
• End of a trend
• Reversal of a trend
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 POC – Point of Control

• The Point of Control, commonly abbreviated as POC, is a Market Profile term

which describes the price level where the most volume was traded (also known as
the price level where the most TPO's have printed).

• A Naked Point of Control (also called a Virgin Point of Control) is a previous POC
which has not been traded at (taken out). It remains active until it is traded at
(taken out) and for this reason it attracts price towards it

• See also: Dr. John Keppler, Profit with the Market Profile
James F. Dalton, Mind over Markets

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 Bookmap API‘s

• Bookmap API allows to connect to Bookmap new data sources

and trading systems, and to develop custom modules such as
automated trading strategy, indicators, voice alerts, data export
and recording, and more.
• Source: Bookmap API Wiki
• Source: Bookmap Forum

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 Bookmap Features and Components

• https://www.youtube.com/playlist
?list=PLzaGy-
3oukoRSOXWvcynCFeFRTUAz
mauD

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 Bookmap™
Part 8 - Data Feed
 Syllabus Auction
Practice
LOB

Liquidity

Absorption
Book Flipping
Bookmap™ Exhaustion Spoofing /Layering
Oganization and Data Practice Quote Stuffing
Presentation Stop Runs
Sweep
Practice
Strategies
Data Feed
Practice
Correlations

Adv. Analysis Tools CVD

Large Lot Tracker
Ice berg Detector
Volume Imbalance
POC
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 Data Feed
• Bookmap™ can be connected to multiple data vendors
• Quality of data feed differs (!)
• Market-by-Price (MBP)
•Market-by-Price (MBP) describes a price-based data feed that provides the ability to view
the total size of all orders at each price level. MBP can describe either full market depth or a
limited number of nearest Bid and Ask price levels, e.g. 5, 10, or 20 price levels.
• Market by Order (MBO)
• or Order-by-Order describes an order-based data feed that provides the ability to view
individual orders and their evolution. The order's information contains its unique Order ID, limit
price, size, and its location in the queue. MBO typically provides full market depth, describing
orders at each price level. This is the more modern and more transparent type of market data.
• https://bookmap.com/wiki/Main_Page#All_data_and_trading_connections
• https://www.cmegroup.com/confluence/display/EPICSANDBOX/CME+MDP+3.0+Market+Data
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 Data Feed: Market by Order (Rithmic)

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Why Data Depth?

• Aggregated data are good enough for candle and similar charts.
• Aggregated for retail traders
• To make a decision a trader can toss a coin to come to a decision
• Need for indicators and different chart types
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Why Data Depth?

• Because only Charts with not aggregated data are meaningful and useful!
• With non aggregated data everything is disclosed and we can decide according the
displayed information.
• We see all levels available and thus we can plan and trade accordingly
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MSFT

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AAPL

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 Minimum Market depth Data quality API access Where can I get Demo data
Connections Futures Stocks* Crypto Data type Trading MacOS ***** Exchanges Status remarks
License ** data score 1-5 **** ****** the data? available?

CME, Eurex,
Rithmic Yes Real-time Global Yes Full 5 Soon From brokers Yes
ICE, ...

dxFeed Yes Yes Real-time Global Via IB *** Full 5 Nasdaq, EDGX No From Bookmap

dxFeed Yes Yes Delayed Digital Simulator Full 5 Nasdaq, EDGX No From Bookmap

BM&F Bovespa
Cedro Crystal Yes Yes Real-time Global Yes Full 5 From XP broker
(Brazil)

CME, Eurex,
S5 Trader Yes Real-time Global Yes 10 levels 4 No From Stage 5 Yes
ICE, ...
10 levels except CME, Eurex,
CQG Yes Real-time Global Yes 4 From brokers Yes
CL ICE, ...
Interactive CME, Eurex,
Yes Yes Real-time Global Yes 10 levels 2 From IB
Brokers ICE, ...
CME, Eurex,
Gain Yes Real-time Global Yes 10 levels 4 No From brokers
ICE, ...
CME, Eurex, Ice
IQFeed Yes Real-time Global No 10 levels 3 From IQFeed Yes
...

Continium =
From
Ninja Trader Yes Real-time Global Yes 10 levels 3 No CQG Kinetick =
NinjaTrader
IQFeed

Transact Yes Real-time Global Yes 10 levels 3 No CME From Transact

X_TRADER (TT CME, Eurex,

Yes Real-time Global Yes 10 levels 4 No From brokers
API) ICE, Euronext ...
GDAX Yes Real-time Digital Yes Full 5 GDAX Included
BitMEX Yes Real-time Digital Yes Full 5 BitMEX Included Beta
OKCoin Yes Real-time Digital Yes Full 5 OKCoin Included Alpha
Bitfinex Yes Real-time Digital No 100 levels 5 Bitfinex Included Alpha
Nanotick Yes Historical Global+ Sim Full 5 CME From Nanotick
Source: Option Expiration Calendar
Bookmap Files recorded
Source: Option Expiration Calenda
Yes Yes Yes Historical Digital+ Sim Full 5 Any
Replay by user
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Virtual Real-time,
Digital Yes Full 5 VE Included Sep 2018
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 Bookmap™
Part 9 – Option Expiration
 Option Expiration
• Option expiration days have a high correlation with following
indices:
• ES, NQ, YM
• Statistical probability is > 80% that on these days the indices
will probably correct
• Mark the Option Expirations days in your calendar

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 Source: Option Expiration Calendar

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 Bookmap™
Part 10 - Trading Advice
 Trading Advice

• NO BIAS
• BE PATIENT
• LET THE MARKET GUIDE YOU
• LISTEN TO THE MARKET
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 4 Reasons to be Successful

• Don‘t fear to lose any opportunity

• Fully and absolutely confidence in your system
• Never be boredom
• No need to force a trade – wait until market speaks to you!

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 Don‘t fear to lose an Opportunity
• Order Book reading shows the opportunity when it arrives
• Bookmap™ gives you clear signals at Macro- and Microlevel
• Concenrate on your trading system
• Act upon learned strategies
• Good Opportunities always occur – you‘ll never miss one

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 Confidence in your System
• Bookmap™ is a leading trading tool
• Footprint is a leading trading tool
• Accurate, non-aggregated data feed
• Visualisation is of great help understanding and interpreting
the LOB and Order Flow
• Be and stay a well skilled Order Book Trader

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 No more Boredom
• Bookmap™ Historical Chart shows LOB levels in advance
• Visualisation of long- and short term liquidity
• Understanding the price action
• Clear trend and signal indication
• Look for easy trades
• There is time for trading and time to go fishing!

Trade to win and not for excitement!

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 No forcing a trade anymore
• Bookmap™ Historical Chart shows LOB levels in advance
• Visualisation of long- and short term liquidity
• Learn to control your Bias and Wait
• Follow the market
• Bookmap™ shows you what the market is actually planning and
doing
• Stay relaxed and listen to the market

Trade to win and not for excitement!

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 Golden Rules
1. Always wait for the setup: No Setup – No Trade!
2. THE BEST trades work almost right away.
3. Never take a big loss. If it doesn‘t „feel“ right – remove it!
4. Always perfect your craft and sharpen your skills!
5. Be patient with winning trades! Imaptient with sketchy trades!
6. DISCIPLINE to follow your plan is the key to winning in trading.
7. Never get emotionally attached to trades.
8. Always trade with the size that makes your unemotional.
9. Keep things very simple and don‘t over-think your trading methods.
10. Stay humble at all times.
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Bookmap™
Test 2
 Test

• Please answer fast and intuitively

• Where will the price move next?
• Price rises (up)
• Price declines (down)

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 Seminar Evaluation

Google Forms

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