Bookmap Masterclass LOB and Bookmap UPDATE 062020

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Bookmap™ Masterclass
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Profitable Trading with
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LOB and Bookmap™
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UPDATE 06/2020
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Stop Runs, IceBerg, MVP

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© Copyright 2019 by TTW Trading Services Ltd.
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All rights reserved.
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This presentation and video material is protected by International copyright laws.
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No part of this publication and video material may be reproduced, distributed, or transmitted in any form or by
any means, including photocopying, recording, or other electronic or mechanical methods, without the prior
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written permission of the publisher, except in the case of brief quotations embodied in critical reviews and
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certain other noncommercial uses permitted by copyright law. For permission requests, write to the publisher,
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addressed “Attention: Permissions Coordinator,” at the address below.
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TTW Trading Services Ltd.
Doulton Trading Estate
Doulton Road
Unit 10 -11
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Rowley Regis
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West Midlands
B65 8JG
England
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https://ttwtrader.com
education@ttwtrader.com
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17 June 2020 © 2020, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 2
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General Trading Risk Disclaimer
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Futures, stocks and options trading involves substantial risk of loss and is not suitable for every investor. The valuation of futures, stocks and
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options may fluctuate, and, as a result, clients may lose more than their original investment. The impact of seasonal and geopolitical events is
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already factored into market prices. The highly leveraged nature of futures trading means that small market movements will have a great impact
on your trading account and this can work against you, leading to large losses or can work for you, leading to large gains.
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If the market moves against you, you may sustain a total loss greater than the amount you deposited into your account. You are responsible for
all the risks and financial resources you use and for the chosen trading system. You should not engage in trading unless you fully understand
the nature of the transactions you are entering into and the extent of your exposure to loss. If you do not fully understand these risks you must
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seek independent advice from your financial advisor.
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All trading strategies are used at your own risk.
Any content on “TTW Trading Services Ltd.” should not be relied upon as advice or construed as providing recommendations of any kind. It is
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your responsibility to confirm and decide which trades to make. Trade only with risk capital; that is, trade with money that, if lost, will not
adversely impact your lifestyle and your ability to meet your financial obligations. Past results are no indication of future performance. In no
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event should the content of this correspondence be construed as an express or implied promise or guarantee.
“TTW Trading Services Ltd.” is not responsible for any losses incurred as a result of using any of our trading strategies. Loss-limiting strategies
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such as stop loss orders may not be effective because market conditions or technological issues may make it impossible to execute such
orders. Likewise, strategies using combinations of options and/or futures positions such as “spread” or “straddle” trades may be just as risky as
simple long and short positions. Information provided in this correspondence is intended solely for informational purposes and is obtained from
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sources believed to be reliable. Information is in no way guaranteed. No guarantee of any kind is implied or possible where projections of future
conditions are attempted.
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To be Discussed …
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• Stop Runs / Sweeps
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• IceBerg
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• TTW-MarketVolumePro
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• Correlations TW
• VIX/VXX/SPY/ES
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• Market Indicators
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Situation 1. Half 2020
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• Everything we discussed last year, worked fine until
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January 2020.
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• High volatility and thin markets makes it harder to follow
strategies like Sweeps.
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• We need to add a more technical approach for thin
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markets.
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• We must adopt to the changes in the markets to stay
profitable.
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Liquidity as a Constant
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•Liquidity is valid for all
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kind of markets
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•Thick and Thin markets
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•Futures
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Stop Run – What is it?
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• Stop Run
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• Stop Loss hunting
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• Pushing the price to a level where traders have
set their stop loss.
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• Stop Runs executes stop losses
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immediately market
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• Pushes the market in one direction –
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either up or down
• Depends on traders position
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• Professionals reverse their positions and ride
the price in opposite direction
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Stop Run / Sweep into Liquidity
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1. LIQUIDITY
• Stop Run Logic
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• Resting liquidity (Limit Order)
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absorbing traded volume
• TTW-MarketVolumePro indicates a
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stop run with absorption
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• It indicates a vertical (90°) line on
ASK (green) or BID (red)
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• Rule of thumb:
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• Ratio on BID/ASK should be less
~2!
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Stop Run / Sweep into Liquidity
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• Stop Run Logic
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• Resting liquidity (Limit Order)
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absorbing traded volume
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stop run with absorption
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• Rule of thumb:
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• Ratio on BID/ASK should be less
~2!
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17 June 2020
1. LIQUIDITY
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 9
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Sweeps, Stop Runs in volatile Markets
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„In a volatile market where we have multiple sweeps going back
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and forth, how do we determine which sweep to go against?“
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An approximation to this answer is :
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1. LIQUIDITY
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2. STOP RUNS / SWEEPS into Liquidity
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3. BID / ASK Ratio <= 2
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Sweep as Continuation 1. LIQUIDITY
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• Sweep as Continuation
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• NO counter trades
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• No „vol. spikes“ on Bid / Ask
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• Liquidity above or below LiftASK
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• TTW-MarketVolumePro indicates
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sweeps as continuation
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• Volume SPIKES or Stop Runs
without significant volume traded HitBID
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on the opposite site of the LOB
• Only one vertical (90°) line on ASK
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(green) or BID (red)

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• Divergences in volume spikes!

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• Exhaustion
Stop Run and into Liquidity (AAPL)
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Stop Run and {IceBerg}
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• Stop Run into IceBerg
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• NO Resting liquidity (Limit Order)
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around a high volume peak
(sweep)
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stop run with a IceBerg(*) order
absorption
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• AND significant amount of volume
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traded on the BID (ASK) side
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• (*)Circumstantial evidence of an
IceBerg
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Iceberg Definition
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• On financial exchanges, an iceberg order is a limit order where only a fraction of the total order
size (display quantity) is shown in the limit order book (LOB) at any one time (peak), with the
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remainder of volume hidden (Christensen and Woodmansey, 2013).
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When the peak is executed, the next part of the iceberg’s hidden volume (tranche or refill) gets
displayed in the LOB. This process is repeated until the initial order is fully traded or cancelled.
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The hidden volume, although not being directly observed, is de facto present in the LOB and
hence can be traded against. This makes the detection of hidden liquidity a desirable goal for
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interested parties, e.g. traders and market makers.
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• https://www.researchgate.net/publication/335834705_CME_Iceberg_Order_Detection
_and_Prediction
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Data Feed Record
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Iceberg Detector
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• Bookmap generates the iceberg indications based on difference between the
actual pending order offered at that price level and the actual number of orders
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that transacted at that price level, at that specific moment.
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• Larger Players use hidden orders or IceBergs to conseal their intent to trade at
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that price level; their large limit order do not display in the LOB. Therefore,
these hidden orders do not skew the aucion imbalance.
•
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Can act as absorption at that price level, with lack of liquidity in LOB.
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• 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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REPLAY
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TTW-MarketVolumePro
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EXAMPLE
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ESM0
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Bookmap™ Masterclass
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Correlations
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Options Trading Industry
Hedge Funds
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Positively Correlated Markets Negatively Correlated Markets

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dxFeed VIX / VXX
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ES / SPY and TTW-MarketVolumePro
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ES / VXX Correlation
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Correlated Markets - Update
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• Update
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• Take with caution in high volatile
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markets
• Still worth watching
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• Additionally watch Advance /
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Decliners
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• ADD
• ADSPD
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• https://www.dxfeed.com/conso
lidated-data-feed/calculated-
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data/
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Stay Save!
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© Copyright 2020 TTW Trading Services Ltd.
All rights reserved.

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This presentation is protected by International copyright laws.
No part of this publication may be reproduced, distributed, or transmitted in any form or by any means, including photocopying, recording, or other electronic or mechanical methods, without the prior
20
written permission of the publisher, except in the case of brief quotations embodied in critical reviews and certain other noncommercial uses permitted by copyright law.
20
Twitter: ttwatrader | Youtube: ttwtrader | Web: www.ttwtrader.com | email: wtl@ttwtrader.com | ttwtrader.echofin.com

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Stop Runs, IceBerg, MVP

(green) or BID (red)

• Divergences in volume spikes!

Positively Correlated Markets Negatively Correlated Markets

All rights reserved.

Twitter: ttwatrader | Youtube: ttwtrader | Web: www.ttwtrader.com | email: wtl@ttwtrader.com | ttwtrader.echofin.com

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