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Bookmap Masterclass

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92% found this document useful (12 votes)

3K views378 pages

Bookmap Masterclass

Uploaded by

Thierry

We take content rights seriously. If you suspect this is your content, claim it here.

Available Formats

Download as PDF, TXT or read online on Scribd

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Bookmap™ Masterclass

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Profitable Trading with
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LOB and Bookmap™

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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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[Link]
education@[Link]
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12 December 2019 © 2019, 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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12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 3
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Few Words About me

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Walter Lesičar

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• Trading Futures since more then 10 years

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• Order Flow and Order Book
[Link]

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•
• wtl@[Link]
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• Y: ttwtrader
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Goal of the Seminar

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We will use the visualization of the limit order

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book to show that profitable and sustainable

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trading with liquid instruments in liquid

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markets is possible in the long term.
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12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 5
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Goal of the Seminar

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• How do modern markets operate?
• Who is playing the game?

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• What are their motivations?

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• How do they act and interact?

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• How does all this affect liquidity and volatility?
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• How do I profit from this knowledge?
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• What strategies are the best for myself?

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12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 6
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Syllabus

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Auction

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Practice
LOB

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Liquidity

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Absorption

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Book Flipping
Bookmap™

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Exhaustion Spoofing /Layering
Oganization and Data Quote Stuffing

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Practice
Presentation Stop Runs
Sweep

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Practice
Strategies
Data Feed
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Practice
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Adv. Analysis Tools CVD

Large Lot Tracker

Ice berg Detector
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Volume Imbalance
POC
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1. Test 1 [Link] Pattern

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2. Part 1 – Auction 1. Execution Summary
3. Limit Order Book (LOB) [Link]

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4. Part 2 - Market Mechanic [Link] Indicators Part 3

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1. Basic Terminology 1. VWAP

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5. Part 3 – Market Mechanic [Link] Part 4
1. Liquidity 1. Advanced Analysis Tools

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6. Part 4 - Market Mechanic [Link] 8 - Data Feed

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1. Market Terminology [Link] 9 – Option Expiration

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7. Part 5 – Order Book [Link] 10 - Trading Advice

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1. Visualization [Link] 2
8. Part 6 – Strategies
1. Strategies Part 1
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Liquidity, Sweep Trades, Pullback
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9. Strategies Part 2
1. Correlations
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[Link] 7: Trading Preparation

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Documentation

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• All documentation, presentation, replay files and any additional
material can be downloaded from our Dropbox file.

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• DropBox

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• [Link]

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• Video recordings via VIMEO
• Live Education Room via [Link]
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• Announcement in [Link] „Signal Room“
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• Skype for direct contact
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This Seminar is designed for

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• Short Term Trader : Retail -, discretionary Trader
• Professional Trader

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• Prop. Trader

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• Institutional Trader
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12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 10
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Respect

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We all are from different countries. We all have different
background and knowledge in trading.

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For most of us English is not our native language.

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Let‘s help each other with respect to grow and to become

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profitable trader. TW
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12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 11
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Test 1
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Bookmap™

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Test

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• Please answer fast and intuitively

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• Where will the price move next?

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• Price rises (up)

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• Price declines (down)
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• Price goes sideways
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Part 1 - Auction
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Limit Order Book (LOB)

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Auction

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Practice
LOB

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Liquidity

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Absorption

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Book Flipping
Bookmap™

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Exhaustion Spoofing /Layering
Oganization and Data Quote Stuffing

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Practice
Presentation Stop Runs
Sweep

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Practice
Strategies
Data Feed
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Practice
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Adv. Analysis Tools CVD

Large Lot Tracker

Ice berg Detector
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Volume Imbalance
POC
12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 25
„Limit Order Book“ or LOB is the standardised „Bookkeeping“ for

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every traded transaction

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12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 26
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LOB Characteristics

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• LOB (Limit Order Book) is standardised (!) for all traded instruments worldwide
• LOB Answers Questions:

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• How much was traded?

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• When was it traded?

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• At which price was it traded?
• Was the price accepted by the traders?

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• Which side wants to buy?
• Which side wants to sell?
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• Are there aggressive buyers or sellers?
• „Thin“ Liquidity (illiquid markets)
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• „Thick“ Liquidity (liquid markets)
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Structure of a LOB

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• Price
• Bid, Ask

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• Best Bid and Offer (BBO)

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• Traded Volume

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• Aka Current Trades against inside bids and offers
• Refresh time to be defined

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• Snapshot or Delta Volume
• Pulling and Stacking of limit orders
• Statistics TW
• Volume Profile shows total number of contracts traded at each level. It shows also
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Session VWAP and POC.
• Acts as Volume Profile tool
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• Quotes Center shows the number of contracts refreshed for each specific price
level.
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Compare Bookmap
to a DOM

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Price

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Compare Bookmap
to a DOM

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Depth of Bid

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Depth of Bid
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Compare Bookmap
to a DOM

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Depth of Ask

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Depth of Ask
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Compare Bookmap
to a DOM Best Bid & Offer

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Best Bid & Offer

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Compare Bookmap
to a DOM

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Traded Market

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Volume

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Volume
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Compare Bookmap
to a DOM

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Snapshot /Delta
Column

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Group Excercise: Auction

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Goals
• Understanding the Auction

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• Understanding the Organisation of the LOB

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• Understanding LOB terminology

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• Understanding Your role as Trader
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• Understanding what moves the Price
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• Why is price going up?

• Why is price going down?

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 36
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Auction Rules

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• Open Outcry (Pit Trading)
• Auctioneer aka. Matching Machine

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• Auctioneer is the Market Maker

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• Bank, Broker sells and buys back Future-Contracts (not in a Webinar)
• We will practise a simple auktion

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• Everyone get $2000 to start ($100, $20, $10)
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•
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Participants trade only Market Order
No short selling at the beginning
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• Duration about 10 – 15 min.
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• 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

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• Your Feeling
• Did you get what you want?

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• Why are we allowed to trade?

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What are you trading?

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•
• Trading is a Zero-Sum-Game!

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• > 98% Retail Trader are losing
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YOU WILL BE A WINNER!

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12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 39
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LOB Terms – Limit Order

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A limit order sits in the order book until it is:
• either executed against a matching market order or it is canceled

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• A limit order may be executed very quickly if it corresponds to the Best-

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Bid-Offer (BBO) price

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• A limit order may take a long time if the market price moves away from

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the requested price
• the requested price is too far from the bid/ask.
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• can be canceled at any time
• Typically, a limit order waits for a match
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• transaction cost is known

• execution time is uncertain

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LOB Terms – Market Order

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• A market order is an order to buy/sell a certain quantity of the asset at the best
available price in the book.

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• Traders can put a market order that, for a buy (resp. sell) order,

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• The first share(s) will be traded at the ask (resp. bid) price

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• The remaining one(s) will be traded some ticks upper (resp. lower) in order
to fill the order size.

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• The ask (resp. bid) price is then modified accordingly.
• When either the bid or ask queue is depleted by market orders or cancelations
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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
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execution (if the book is filled enough)
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LOB Terms – Cancellation

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

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• When either the bid or ask queue is depleted by market

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orders and cancelations, the price moves up or down to

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the next level of the order book.
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LOB Dynamics

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Actual trades come in two forms
• Trader can put a limit order and wait that this order matches another one

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• execution time is uncertain
• Trader can put a market order that consumes the cheapest limit orders in the book

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• immediate execution (if the book is filled enough)

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

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Trading Advice

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• You never trade alone!

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• If no one wants to trade with you, you won‘t be trading

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anything.

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• Trading always needs two parties.
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• Cui Bono! (To Whom is it a benefit?)
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Price Time regulates each Volume

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Price is simply the Volume measures the

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auction‘s mean of Time degree of success of

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advertising opportunity each auction.
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James Dalton, Markets Profile,

Profiting from the Auction Process

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Part 2 - Market Mechanic
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Market Maker

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• Provides Liquidity

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• Without Liquidity no Trading
• Quoting:

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• MM provides a bid-price with corresponding bid-volume

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• MM provides a ask-price with corresponding ask-volume

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• Clearing:
• MM decides on a price (p) to keep unsatisfied orders as small as possible
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• Satisfied orders are cleared
• Facilitating Trading at any time and price
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• Most instruments trade 24h/day (except. Crypto)

• „Thin“ and „Thick“ Markets

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Market Maker & Other Traders

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• Market Maker are called: Liquidity Providers

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• Other traders are called : Liquidity Takers

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Aggressors & Passive Trader

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• Aggressors are active traders who consume liquidity from the

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market
• Aggressors buys always at market!

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• Algorithmic Trading Programs too (Sweeping!)

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• Market Order are „active“ Order

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• Passive Traders provide Liquidity
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• Limit Order are „passive“ Order
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• Transaktions matches always at Best-Bid-Offer!
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• Matching aggressor and passive trader

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Informed vs. Uninformed Trader

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• Informed traders posses information about the future price of

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an asset

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• News, company numbers, better market access, etc

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• Uninformed traders has no access to information

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• Lack of news, lack of knowledge about traded asset,
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random trading, market ignorance
• Information is hard to measure
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Matching Engine - Auktioneer

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• Enables electronic trading based on defined, fixed rules

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• Matches two parties, which want to trade
• Matching Engine is always (!) fair

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• Following matching algorithms are used by the CME Group:

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• First In First Out (FIFO)
• FIFO with Lead Market Maker

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• Pro Rata
• Configurable
• Threshold pro Rata
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• Threshold pro Rata with LMM
• Allocation and Ending
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• Quelle: [Link]
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Current Price trading on Best Offer

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Last trade is current price

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Price Moves – Transacts on Best Bid

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Aggressor hits the bid with a sell market order

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Liquidity on Best Bid is consumed

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BEST

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OFFER

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BEST
BID TW
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BEST

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OFFER

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BEST
BIDTW
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Part 3 – Market Mechanic
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Liquidity
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Auction

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Practice
LOB

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Liquidity

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Absorption

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Book Flipping
Bookmap™

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Exhaustion Spoofing /Layering
Oganization and Data Quote Stuffing

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Practice
Presentation Stop Runs
Sweep

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Practice
Strategies
Data Feed
TW Correlations
Practice
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Adv. Analysis Tools CVD

Large Lot Tracker

Ice berg Detector
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Volume Imbalance
POC
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Liquidity Provides

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• Liquidity is the „blood“ of all markets!
• Without liquidity no trading!

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• Markets need sufficient liquidity to attract active and passive buyers

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• Market support buyers on the offer by providing liquidity

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• Market seeks buyers or sellers for distribution in price zones
• Market uses liquidity to pressure the price down
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• Liquidity aka Volume attracts the price (magnet)
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• Liquidity is easy to manipulate – see Order Book Pulling, Stacking
• Liquidity quickly vanishes from the market
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Conclusions

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• Market always seeks liquidity – liquidity acts like magnet!
• Liquidity is reliable if it is firm and stays firm

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• Long Term Liquidity

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• Stacking in LOB

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• Liquidity is weak
• Short Term Liquidity – might appear only seconds in the LOB

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• Pulling in LOB
• Liquidity need to be taken by an equal amount of volume = absorption
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• Liquidity act like a Catapult (Support)
• Book flipping, Spoofing, Long- , Short Term Liquidity
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• Liquidity is „thin“ and „thick“ – depends on market type
• „Thin“ markets: FDAX, Forex, CL, 6E, NQ, YM etc
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• „Thick“ markets: Bonds, Treasuries, Indices

• When Liquidity disappears (lack of liquidity) – Sit on Hands! (SOH)
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Liquidity Absorps Market Volume

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Absorption

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Liquidity Volume

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Limit Order Market Order

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• Whenever market volume and limit volume collide, volume or
,T

“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

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Volume

g
in
Market Order

ad
Absorption

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TW Liquidity
Limit Order
,T

• 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

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 61
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Not enough
Long Term Liq.
energy to trade

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Seeking new

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buyers!

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Large Volume
Cluster

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Oil Inventories Keine
No Liquidity!
Liquidität!

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Liquidity: Group Discussion

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• What is liquidity?

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• Who provides liquidity?

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• How does liquidity manipulate the price?

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• How is liquidity manipulating traders?
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• When is Liquidity reliable?
,T
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Long Term High Liquidity

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• High liquidity remains in the book

g
• Defines the auction

in
ad
• Digested by the auction participants

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• Channeling between longer term liquidity
• Act as magnet
TW
• Market can trade there – seeking high liquidity!
,T
• Understand context of the area
20

• More or less liquidity around the area?

• Tendencies to pull the liquidity?
20

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 68
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Long Term High Liquidity

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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

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• Short Term High liquidity briefly in the book

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• Creates large auction imbalances

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• New info for auction participants

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• Skews the auction – Repels price

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• Price reacts to supply and demand imbalance

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• Understand context of the area
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• Near areas of longer term liquidity
• Relationships to swings in microstructure
,T

• Relationship with volume

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Long Term High Liquidity

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Short Term
Short Term
High Liq.
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12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 75
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Long Term High Liquidity

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Short Term
High Liq.

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Short Term

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High Liq.

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Short Term
High Liq.
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Long Term High Liquidity

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Liquidity - Path of Least Resistance

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Clearly visible in Bookmap

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•
• BID or ASK side support the price move in one direction

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Real time evidence which way the market will go

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•

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• Valid until resistance or support shows up

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Bookmap™
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Part 4 - Market Mechanic
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Market Terminology
20
20
d
Syllabus

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Auction

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Practice
LOB

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Liquidity

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Absorption

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Book Flipping
Bookmap™

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Exhaustion Spoofing /Layering
Oganization and Data Quote Stuffing

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Practice
Presentation Stop Runs
Sweep

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Practice
Strategies
Data Feed
TW Correlations
Practice
,T

Adv. Analysis Tools CVD

Large Lot Tracker

Ice berg Detector
20

Volume Imbalance
POC
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Active and Passive Indicators

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Trading Indicators Confirmation Indicators

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• Liquidity • Order Book Imbalance

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• Absorption • Pulling / Stacking

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• Spoofing
• Exhaustion
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• Sweeping
• Book Flipping
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• Stop Runs • Quote Stuffing

• IceBerg
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12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 82
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Absorption

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• Absorption indicates the presence of one or more market makers
who are sufficiently capitalized to consume all orders at a certain

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price.

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ad
• Absorption meets firm resistance when the limit page of the order

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book is "recharged" or "stacked" with new volume until the entire
aggressor volume is consumed.
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• Absorption always happens at price levels with equivalent liquidity.
,T

• Volume absorbed = Liquidity allocated

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Liquidity Absorps Market Volume

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Absorption

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Liquidity Volume

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in
Limit Order Market Order

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• Whenever market volume and limit volume collide, volume or
,T

“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

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Volume

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in
Market Order

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Absorption

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TW Liquidity
Limit Order
,T

• 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

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• Market is changing his mind
• Traders has reached their target (Bussines Done)

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• Distribution and Accumulation takes place

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• Covering or Flatten open positions

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• Can happen over more then one price level (!)
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• Adding or opening new positions
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• Can happen over more then one price level (!)

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Absorption Example

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High Liquidity in order book on bid, resting for several hours

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It is far away from current best bid

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Sweep of Book

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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

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High liquidity is 1 tick away from best bid

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Sweep of Price Level

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Now High liquidity is 1 on the best bid

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Aggressive Trade is absorbed

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High liquidity absorbs remainder of 50 lot order

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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

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Entire 50 lot order is absorbed by limit orders

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30 contracts still remain at best bid

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Aggressive buyer enters the market

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Spread is 3 ticks

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Aggressive buyer lift the offer with 1 contract

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Limit buy orders on bid stops the sell momentum to downside

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Price shifts to best offer and moves 3 tick higher

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Absorption: Advanced Concepts

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Strategies: V-Bottom reversal, Pullback Setup

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Phenomena: Stop runs, trapped volume, Book Flipping

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„Energy“ absorbed

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Absorption: Application

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

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in
• It is important what happens next:

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• Short Retracement

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• Retracement up to next Liquidity Level
• Break Through TW
• Liquidity act as Support, Resistance
,T

• Absorption Reversal, Continuation

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Absorption: Pattern

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es
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Absorption – „short“ Retracement Absorption – Retracement Absorption – Break Through
Indicates strenght in the price Short Covering Massive Sell Off
movement
Small short covering
TWLiquidity above or below Liquidity = Covering
,T
Price seeks Liquidity Price seeks final Support
NO Liquidity above or below (Liquidity) or Resistance
Liquidity acts as Resitance or (Liquidity)
20

Price drops Support

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Absorption: Pattern

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Absorption – Reversal Absorption – Continuation

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Firm Liquidity on Limit Site Liquidity was absorbed

Stacking in LOB Book flipping

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LOB – Market Order are absorbed LOB reading – Market Order
indicates the strenght of current
LOB reading
TW market
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Exhaustion

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

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in
price.

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• We observe decreasing volumes.

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• Exhaustion is a price level of last seller in a downtrend and a
TW
price of last buyer in case of an uptrend.
,T
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Exhaustion Example

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Sweep of Book

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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

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Best bid now shows low liquidity of 8 contracts

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Lack of trading activity

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Best offer drops and narrows the spread

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Price exhausts on bid – no trading activity

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Sellers dry up

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Buyers lift the offer as 5 lot enters the market

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Price exhausts on bid – no trading activity

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Market buy orders transact on the best offer

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Sweeping

es
ic
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• Trading through 1 or more price levels very fast

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in
• Big aggressive market orders

ad
Tr
• Leaving unfinished auctions (Low Volume Nodes – LVN)
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• Fast and powerful refusal of prices
• Speed of price action is important
,T
20

• [Stop running]
20

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Sweeping or Big Moves

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• Fast and powerful moves are initiated (ignited) by algos at

g
exogeneous events like sudden political or economical issues.

in
ad
• Prices then sweeps through a range of prices leaving an order
vacuum in it‘s wake as time goes on.

Tr
• New orders come into the void
TW
• Large market orders arrive so fast that the queue does not have
time to equilibrate between their arrivals.
,T

• Market making programs see the orders and they seek to execute
20

them so price retraces.

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Quota Center
traded contracts=0
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Matching Engine
starts to poll
No

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in
„Polling“

ad
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

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50 lot order is now 35 lots

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Aggressive sell order hits bid againat next price level, spread widens

rv
1 Tick

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ad
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12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 131
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All liquidity taken – 18 lots trade

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50 lot order is now 17 lots

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Aggressive sell order hits bid again at next price level, spread widens 2 Tick

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12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 132
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17 of 22 lots trade – 5 lots remain on Best Bid

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50 lot order is now completely filled – Best Bid remains on current level

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2 levels of the order book are quickly swept, vacuum between BBO

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Se
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ad
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VACUUM

TW
,T
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Sweeping – advanced concepts

es
Strategies: Momentum, Pullback setup, Rejection

ic
Phenomena: Book Flipping, Icebergs, Ignition

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Trading Advice

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rv
Se
Never trade in the direction of a Sweep!

g
in
Avoid the „Pavlovian Reflex“!

ad
Tr
A sweep must be traded AGAINST it‘s direction –
TW
at the near end of the move.
,T
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12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 135
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12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 143
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Stop Runs – Stop Losses

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

g
in
absorption level to trigger stops in the immediate area of the

ad
absorption or breakout.

Tr
• Stop Runs triggers stops which are immediately executed at market
TW
• This triggers a fast counter movement, which is intendent.
,T
• It is a Slingshot Move
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• Sweeps are the most causes for Stop Runs

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Active and Passive Indicators

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Trading Indicators Confirmation Indicators

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• Liquidity • Order Book Imbalance

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• Absorption • Pulling / Stacking

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• Spoofing
• Exhaustion
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• Sweeping
• Book Flipping
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• Stop Runs • Quote Stuffing

• IceBerg
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Order Book Imbalance

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Why does the price move?

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• Indicates a change of expectations or mood of market participants

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• Why does the price drop?

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• Because there is no BID (!)
• High Liquidity on Limit Offer means more resistance

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• Less Liquidity on Limit Bid means less resistance
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• Why does the price rise?
• Because there are sufficient buyers willing to lift the offer
,T
• High liquidity on Limit Bid means strong support
• Lower Liquidity on Limit Offer indicates low resistance
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• ALL these „intentions“ are indicated by the „Order Book Imbalance“!

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Current Price trading on Best Offer

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Order Book is Balanced

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Price Moves – Transacts on Best Bid

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Aggressor hits the bid with a sell market order

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Liquidity on Best Bid is consumed

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Order Book Imbalance

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

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Supply Imbalance

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Auction is „skewed“, seeks balance through price reevaluation

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Liquidity pulled, Spread widens as Best Bid drops 2 Ticks

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Price Moves – Transacts on the Best Bid

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Aggressor hits the Bid with a Sell Market Order, with volume of 1 contract 3 Tick vacuum

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created between BBO

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Depth Imbalance: advanced concepts

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Spoofing or Layering, Icebergs

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Strategies: Momentum

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Book Flipping

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

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in
support one direction of the price

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• Mind changing

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• Gives mostly a reliable view of the price development
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Book

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Flipping

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Book

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Flipping

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Quotes Delta: Pulling & Stacking

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Confirms Absorbtion!

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g
• Bid and Ask side are managed separately according to similar

in
logic

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• Each side resets to zero whenever the best price changes
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• The Quotes delta displays cumulative size change of the
price level since the last reset
,T

• It is a simple adding and subtracting

• Because changing of volume happens fast

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Spoofing or Layering

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• Load the book in one direction and remove the orders

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in
before execution.

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• Goal is to manipulate the price action swelling the

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volume of the order book above and below the current
price. TW
• Under the 2010 Dodd-Frank Act spoofing is defined as
,T

"the illegal practice of bidding or offering with intent to

cancel before execution.”

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Channeling

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rv
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• Intent to keep the price within a price range in order to get filled on

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certain price levels

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• Goal is to manipulate the price action WITHIN the range
• Text of Rule 575 – Disruptive Practices Prohibited

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• All orders must be entered for the purpose of executing bona fide
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transactions. Additionally, all nonactionable messages must be
entered in good faith for legitimate purposes.
,T
• 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
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execution or to modify the order to avoid execution;

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Channeling

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Channeling
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Quote Stuffing

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• Part of HFT trading

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in
• 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

ad
lose time in processing them.

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• High-frequency trading in and of itself is not illegal. However, stuffing takes
place when traders fraudulently use algorithmic trading tools that allow them
TW
to overwhelm markets by slowing down an exchange’s resources with buy
and sell orders in securities.
,T
• 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
20

exchange in order to be effective.

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Excercise: Replay Bookmap™

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• Excerise Time: 30 min.

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• Group discussion

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Training exercises

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• Identify Basic Market Mechanics examples in Bookmap

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replay mode

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• Markup several charts

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• Variations of how price moved

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• Draw conclusions from the examples, noting the

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different times, markets and varying liquidity
TW
• Begin anticipating Basic Mechanics in real time
,T
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Understanding these market mechanics are critical.

This will lay a solid foundation for future lessons.

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Bookmap™
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Part 5 – Order Book
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Visualization
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20
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Syllabus

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Auction

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Practice
LOB

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Liquidity

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Absorption

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Book Flipping
Bookmap™

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Exhaustion Spoofing /Layering
Oganization and Data Quote Stuffing

ad
Practice
Presentation Stop Runs
Sweep

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Practice
Strategies
Data Feed
TW Correlations
Practice
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Adv. Analysis Tools CVD

Large Lot Tracker

Ice berg Detector
20

Volume Imbalance
POC
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Goals

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• Order Book visualization with Bookmap™

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• Why visualization?

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• Advantages of LOB visualization

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• Bookmap™ design and set-up

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• Dot, Bid, Ask
• Liquidity level
TW
• Time Slices, Macro- , Micro View
• Settings
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Data Visualization

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Data Visualization allows us to

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• Structure, evaluate and better comprehend the meaning of

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displayed data

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• Define terms for a common language
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• Develop rules based on the defined language and act
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accordingly across all platforms

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Historical Chart Structure

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Everything is relative!

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• Visualisation is relative to the selected time frame!!

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• Small Dots – small volume!

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ad
• Large Dots – large volume! (Large Volume Cluster)

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• Liquidity level are RELATIVE
• Related to the zoom level
TW
• Related to the time frame
• Density of liq. is defined by color
,T

• From light to dark(er) (high liq.)

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Traded Depth of Market (DOM)

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Historical Data
Data Limit Order Book (LOB)

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Short Term High Liquidity Volume

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Profile

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LOB

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g
Pullback
LVN

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Absorption

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LVN Pulling
Sweep

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Stacking
Book Flipping
Long Term High Liquidity
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12 December 2019 Cumulated Volume Delta

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• NEVER TRADE WITH BUT

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AGAINST BIG VOLUME!

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• Pavlovian reflex!

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• Trap for most traders at highs

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and lows.

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• Stops were hit or they must

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TW cover/flatten their positions
• This panic supports the
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counter move
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Liq. relative to

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time frame!! Date & Time

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ASK 44 at 2595.00

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Volume: 191 at 2595

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Ask

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Bid
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Date & Time
BID 42 at 2593.00 Liq. relative to
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Volume: 122 at 2592 time frame!!

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Colormap

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Heatmap and Volume Dots can

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be changed with dyn. Slider.

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Info Line has same
infos like Data Tool
Tipp
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Trading Advice

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

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ad
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You want maximum profit with just a few trades!
TW
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Bookmap™
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Part 6 - Strategies
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Syllabus

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Auction

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Practice
LOB

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Liquidity

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Absorption

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Book Flipping
Bookmap™

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Exhaustion Spoofing /Layering
Oganization and Data Quote Stuffing

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Practice
Presentation Stop Runs
Sweep

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Practice
Strategies
Data Feed
TW Correlations
Practice
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Adv. Analysis Tools CVD
20

Large Lot Tracker

Ice berg Detector
20

Volume Imbalance
POC
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Trading Advice

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• NO BIAS

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ad
• BE PATIENT

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• LET THE MARKET GUIDE YOU
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Liquidity Absorps Market Volume

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Absorption

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Liquidity Volume

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Limit Order Market Order

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• Whenever market volume and limit volume collide, volume or
,T

“energy” is taken out of the market – “Energy” is absorbed

• Less (!) “Energy” aka Volume remains in the market

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Strategy Symbols

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Reversals

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Large Volume Cluster

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Pullback

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Liquidity (Long – und Short Term)

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Correlations
Traded Volume
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Sweeps
Divergences
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Meaning of Dots = Volume

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• NEVER TRADE WITH BUT

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AGAINST BIG VOLUME!

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Se
• Pavlovian reflex!

g
• Trap for most traders at highs

in
and lows.

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• Stops were hit or they must

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TW cover/flatten their positions
• Supports the counter move
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Bookmap™

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Strategies Part 1
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Liquidity, Sweep Trades,
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Pullback
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Trading Advice

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• NO BIAS

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in
ad
• BE PATIENT

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• LET THE MARKET GUIDE YOU
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Goals

es
ic
rv
Se
• Applying strategies based on the studied market mechanism
• Active and passive indicators

g
in
• Understanding strategies and their execution

ad
• Liquidity

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• Sweep trades
• Pullback TW
,T
• Additional analysis methods in the second part
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Liquidity as Target

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• Liquidity acts as „magnet“ for all markets
• Without Liquidity no trading

g
in
• Liquidity is providing or taking „Energy“

ad
• Absorption (taking volume out of the market)

Tr
• Book Flipping aka Support or Resistance
TW
• Order Book Imbalances (Support or Resistance)
• Use Liquidity as your guidedance / orientation throughout the
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trading day
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„Energy“ absorbed

Follow Liquidity here

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Liquidity

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„Energy“ absorbed
here

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in
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Liquidity

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Liquidity
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Trade into the Sweep

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ic
Prerequisites

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Se
• Sweep

g
• Is always a 90° move !
Is always extremly fast (max. 2-20 sec.)

in
•
• Leaves always a vacuum

ad
• 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

Tr
•
• Liquidity
• Not existing

•
•
Volume
TW
Sweep to a liquidity level = Absorbtion
,T
• 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
20

• LOB shows no volume because of the speed of the move

• Chart Range Volume Profile shows no volume either (LVN = Low Volume Nodes)
20

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Trade into the Sweep – Scheme

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Se
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in
ad
90° +

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Vacuum

TW
ESH9 ESH9 ESH9 CLH9
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Trade into the Sweep – Execution

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ic
rv
• Sweep trading requires experience

Se
• Sweep indicates
• a pause in trading
• a reversal

g
• Stop runs (immediate response)

in
• Execution

ad
• 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)

Tr
• 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 TW
• To clear your position (long or short)
,T
• To tighten your stops
• End of the price movement
20

• Disadvantage
• A sweep can happen 1-2-3 times in a row (dependent on the instrument)
20

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Trade into the Sweep – Execution 1

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Sweep - Immediate Rejection

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rv
Se
Most of „Energy“ Stop Area
absorbed here Liquidity firm

g
Sweep Short Area

in
90°

ad
Vacuum

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es
Stop Area

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Short Area

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g
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Long Area
TW Stop Area
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Trade into the Sweep – Execution 2

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es
Sweep as Reversal

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Stop Area

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Most of „Energy“

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absorbed here
Short Area

g
in
90° +
Vacuum

ad
Book flip

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TW
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Stop Area

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Most of „Energy“

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absorbed here
Short Area

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in
90° + Book flip
Vacuum

ad
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Most of „Energy“

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absorbed here

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Stop Area

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Sweep
90°

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Vacuum
Short Area

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in
ad
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Sweep
90°
Vacuum

g
in
ad
Tr
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Trade into the Sweep – Execution 3

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es
Sweep – Bottom and Top Formation

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rv
Sweep
90°

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Vacuum

g
in
Most of „Energy“

ad
absorbed here

Tr
Long Area

TW Stop Area
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Book flip
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g
90° +

in
Vacuum

ad
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Most of „Energy“ Long Area
TW
absorbed here Stop Area
,T
Book flip
20
20

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 219
d
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es
ic
rv
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90° +

g
in
Vacuum

ad
Most of „Energy“

Tr
absorbed here Long Area

TW Stop Area

Book flip
,T
20
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12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 220
d
Lt
More Selling then

es
buying

ic
Stop Area

rv
Most of „Energy“
Short Area

Se
absorbed here

g
in
ad
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,T
20
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12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 221
d
Lt
More Selling then

es
buying

ic
rv
Se
Stop Area
Most of „Energy“
absorbed here Short Area

g
in
ad
Tr
TW
,T
20
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12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 222
d
Lt
Sweep – Basic Decision Table for Conservative Entries

es
ic
rv
No Wait!
Sweep?

Se
Yes

g
in
No

ad
Retest? Wait!

Tr
Yes
TW Entry on low
Volume
,T
20

Yes No
Runner Entry ok? Cancel!
20

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 223
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es
Sweep? No

ic
Wait!
Yes

rv
Retest? No
Wait!
Yes

Se
Entry on low
Volume

Yes No
Entry ok? Cancel!

g
Runner

in
ad
Tr
TW
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20
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12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 224
d
Trade into the Sweep – Execution 4

Lt
es
Sweeps in a row

ic
Stop Area

rv
Most of „Energy“

Se
absorbed here Short Area
Most of „Energy“

g
absorbed here

in
ad
Sweep 2

Tr
Sweep 1
TW
,T
20
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12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 225
d
Lt
es
Liquidity = target

ic
rv
Sweep 2

Se
Sweep 3

g
in
ad
Tr
Sweep 1

TW
,T
20
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12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 226
d
Lt
es
ic
rv
Se
g
in
Sweep 1

ad
Tr
Sweep 2
TW Sweep 3
,T
20

Long Term High Liquidity

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 227
d
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es
ic
Sweep 3

rv
Sweep 2

Se
g
Sweep 1

in
ad
Tr
TW
,T
20
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12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 228
d
Lt
Advanced Trade: Sweep Correction

es
Advanced Scalping Technique: For experienced Trader!!

ic
rv
Se
Most of „Energy“
absorbed

g
in
Sweep

ad
90°
Vacuum

Tr
~ 50% of the
Sweep
TW TIME!!
,T
20
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12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 229
d
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es
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rv
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g
in
~ 50% of the

ad
Sweep

Tr
TW
,T
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12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 230
d
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es
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rv
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g
in
ad
~ 30% - 50% of
the Sweep

Tr
TW
,T
20
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Lt
Pullback Strategy - Prerequisites

es
ic
rv
Se
• Trending Environment

g
• Pullbacks or Reversals always in a Trend

in
• Conditions

ad
• Move ends in a Volume flurry or Large Volume Cluster!!
• Absorption of Volume (loss of Energy!)

Tr
• Covering or profit taking starts
• Volume
TW
• Pullback ends in depleted volume = Exhaustion
• Divergence in Chart Accumulated Volume Profile
,T
• Liquidity
20

• Good Short Term High Liquidity above / below the volume cluster
20

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 232
Pullback: Pattern

d
Lt
es
Pullback
Pullback

ic
„Big“ covering
„small“ covering

rv
Se
Pullback

Absorption – Continuation

g
in
Liquidity was absorbed

ad
Book flipping
LOB – Market Order indicates the

Tr
Absorption – „short“ Retracement Absorption – Retracement strenght of current market
Indicates strenght in the price Short Covering
movement
Small short covering
TW Liquidity above or below Pullback
,T
Price seeks Liquidity
NO Liquidity above or below
Liquidity acts as Resitance or
20

Price drops Support

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 233
d
Pullback – Scheme and Execution

Lt
es
Short Term Liquidity Exhaustion

ic
in the LOB

rv
Stop Area

Se
Short Area
Volume

g
Cluster

in
ad
Most of „Energy“

Tr
absorbed here

TW
Divergence
,T
20
20

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 234
d
Lt
Pullback Strategy– Execution

es
ic
rv
Se
• Pullbacks happen always in trending moves
• Pullback Entry

g
• Look for Short Term Liquidity above or below the last Large Volume

in
Cluster

ad
• Let the market trade towards the Short Term Liquidity

Tr
• Remember: Price seeks Liquidity!
• Place your trade below or at the Short Term Liquidity
TW
• Stop must be above the Short Term Liquidity
• Volume
,T
• Low Volume close to Short Term Liquidity
• Exhaustion is indicated
20

• Watch Chart Volume Profile (CVP) for LVN (Low Volume Nodes)
20

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 235
d
Lt
es
ic
rv
Short Term Liq.

Se
g
in
ad
Tr
TW
,T
20
20

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g
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ad
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d
Lt
es
ic
rv
Low Volume pullback
Exhaustion

Se
LVN

g
in
ad
Tr
Break of
Structure

TW High Volume
Cluster
,T
20
20

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 238
d
Lt
es
Stop Loss above POC

ic
Recall exhaustion

rv
Set realistic limit order

Se
Stop Loss aggressive

g
Book

in
sweep

ad
Sell Volume
Cluster

Tr
TW
Target – High
,T
Liquidity
20
20

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 239
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es
ic
rv
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g
in
ad
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20
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12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 240
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es
ic
rv
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g
in
ad
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TW
,T
20
20

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es
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g
in
ad
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,T
20
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es
ic
rv
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g
in
ad
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TW
,T
20
20

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 243
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g
in
ad
Bookmap™
Tr
TW
Strategies Part 2
,T

Correlations
20
20
d
Syllabus

Lt
Auction

es
Practice
LOB

ic
rv
Liquidity

Se
Absorption

g
Book Flipping
Bookmap™

in
Exhaustion Spoofing /Layering
Oganization and Data Quote Stuffing

ad
Practice
Presentation Stop Runs
Sweep

Tr
Practice
Strategies
Data Feed
TW Correlations
Practice
,T
Adv. Analysis Tools CVD
20

Large Lot Tracker

Ice berg Detector
20

Volume Imbalance
POC
12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 245
d
Lt
es
Trading Advice

ic
rv
Se
Correlations gives an additional level of confidence in trading.

g
in
ad
Utilize this additional information in your daily trading decisions.

Tr
TW
,T
20
20

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 246
d
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Correlations

es
ic
rv
Se
• Many markets have close interdependencies

g
in
Correlations help to see and recognize the direction of a market

ad
• Correlation is a statistical measure that determines how assets move in relation to each

Tr
other. ([Link]

•
TW
Although Correlations exist, they must be always viewed in the economical context.
,T
20
20

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 247
d
NASDAQ 100

Lt
MSFT

es
AAPL
AMZN
45% VIX

ic
GOOG
FB Volatility Index

rv
INTC

Se
S&P 500

g
in
S&P 500
MSFT
AAPL
SPY
3,8%

ad
AMZN
GOOG ETF Fund

Tr
FB
INTC

DOW JONES
TW
,T
MSFT
AAPL $ / YEN
28,6%
20

AMZN
GOOG
20

FB
INTC
12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 248
Source: [Link]
Correlation: ES – MSFT - AAPL

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ad
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12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 249
Correlation:

d
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ES – YEN – SPY – VXX - MSFT – AAPL –AMZN - NQ

es
ic
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g
in
ad
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12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 250
d
Lt
Correlations – SPY vs. ES

es
ic
rv
Se
• The SPDR S&P 500 trust is an exchange-traded
fund which trades on the NYSE Arca under the symbol

g
in
(NYSE Arca: SPY). SPDR is an acronym for the

ad
Standard & Poor's Depositary Receipts, the former

Tr
name of the ETF. It is designed to track the S&P 500
TW
stock market index. This fund is the largest ETF in the
,T

world ([Link]
20
20

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 251
d
Lt
Correlations – QQQ vs. NQ

es
ic
rv
Se
The PowerShares QQQ, previously known as the QQQQ, is a widely held
and traded exchange-traded fund (ETF) that tracks the Nasdaq 100 Index.

g
in
The Nasdaq 100 Index is composed of 100 of the largest international and

ad
domestic companies, excluding financial companies, that are listed on

Tr
the Nasdaq stock exchange, based on market capitalization. Therefore,
TW
QQQ is heavily weighted toward large-cap technology companies and is
often viewed as a snapshot of how the technology sector is trading.
,T
([Link]
20
20

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d
Lt
Correlations – VXXB or VIX

es
ic
rv
Se
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

g
constructed using the implied volatilities on S&P 500 index options. This volatility is

in
ad
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."

Tr
Fear, volatility, and the index move up when stock prices are falling and investors are
TW
fearful. The index, volatility, and fear decline when stock prices are rising.
([Link]
,T
20
20

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 253
d
Lt
Correlation: USD/YEN - ES

es
ic
rv
Se
• Investors shift their capital in case of uncertainty from stock markets, indices in
Forex markets

g
• YEN is seen as the negative indicator of the S&P 500 (ES)

in
• Tight correlation between USD/YEN and S&P 500

ad
• YEN is in diffcult times the „Flight to Quality“
S&P 500 and YEN have (normally) an inverted ratio to each other.

Tr
•
This can change – see 2016
At times of high correlation, YEN is used to hedge against the S&P 500
•
• Rule of Thumb: TW
• If YEN soars – indices will drop (S&P 500)
,T
• If YEN plummets – indices are rising (S&P 500)
20
20

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 254
Correlation: ES – YEN

d
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g
in
ad
Tr
TW
,T
20
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es
Correlations: Treasuries – S&P 500

ic
rv
Se
g
in
• 30 Year Bond (ZB), 10 Year T-Note (ZN), 5 Year T-Note (ZF) correlates

ad
strongly

Tr
• Stock- and Bondmarkets correlates contrary
When Bond market soars, the Stocks are likely to fall
•
•
TW
Investors tend to shift their capital
,T
• Investors are hedging the S&P 500 market against the Bonds and vice versa
20
20

d
Lt
es
ic
rv
ZB ZF

Se
30 Year 10 year

g
S&P 500

in
ad
Tr
BUND
ZN
TW 5 Year
,T
20
20

es
ic
rv
Se
g
in
ad
Tr
TW
,T
20
20

d
Lt
es
ic
rv
Se
g
in
ad
Tr
TW
,T
20
20

Lt
es
ic
rv
Se
g
in
ad
Tr
TW
,T
20
20

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TW
Bookmap™
,T

Part 7: Trading Preparation

20
20
d
Syllabus

Lt
Auction

es
Practice
LOB

ic
rv
Liquidity

Se
Absorption

g
Book Flipping
Bookmap™

in
Exhaustion Spoofing /Layering
Oganization and Data Quote Stuffing

ad
Practice
Presentation Stop Runs
Sweep

Tr
Practice
Strategies
Data Feed
TW Correlations
Practice
,T

Adv. Analysis Tools CVD

Large Lot Tracker

Ice berg Detector
20

es
ic
rv
Se
• Trading Day Preparation
• Macro View (Tage, 60min)

g
in
• Micro View (10 min, 5 min)

ad
• Historical Chart „synchronisation“

Tr
• Cloud Notes for potential important price levels (Google
Docs) TW
• Custom Notes for ad hoc entries
,T
20
20

es
ic
rv
Se
• Analyze your instrument in daily and minute charts

g
• Y-Close (GAP), Y-Low, Y-High, PP, R-Open, Pre-High, Pre-Low, Y-VWAP, etc.

in
ad
• Transfer important price levels into Bookmap™

Tr
• Dynamically with Google Docs via Notes -> Cloud Notes
• Manually during the trading day via Notes -> Custom Notes
•
TW
Algorithmic programs trade most of the time parallel between price levels
,T

• Draw horizontal lines at Swing Highs and Swing Lows

20
20

Lt
es
ic
rv
Se
g
in
ad
Tr
TW
,T
Day 60 min
20
20

d
Lt
es
ic
rv
Se
g
in
ad
Tr
TW
,T
20
20

d
Lt
es
Daily Chart

ic
rv
Se
g
in
ad
Tr
TW
,T
20
20

d
Lt
es
30 min.

ic
rv
Se
g
in
ad
Tr
TW
,T
20
20

d
Lt
es
5 min.

ic
rv
Se
g
in
ad
Tr
TW
,T
20
20

es
ic
rv
Se
• Each market is manipulated (every day) by algorithmic

g
programs

in
ad
• Algos moves in parallel between price levels

Tr
• Mark the high and low of swings
TW
• Horizontal markings coincide with High Term Liquidity levels
,T
• In Bookmap™ applicable if historical data are subscribed
20
20

d
Lt
es
ic
rv
Se
g
in
ad
Tr
TW
,T
20
20

es
ic
rv
Se
• Use current market data to prognosticate the daily trend
• Correlations are highly reliable indications

g
in
• Look 1 day and 2-3 day back. What is / was the trend?

ad
• Mark previous daily data in your chart (High, Low, Gap(!), Open..)

Tr
• Mark important liquidity levels (Long Term High Liquidity)
TW
• Use additional technical indicators like McClellan or similar
• Use a decision table
,T

• Always be aware that current analysis can be affected by daily events!

20
20

Lt
es
Example: S&P 500 Future (ES mini)

ic
rv
Se
Indication Trend Result
Yen / USD (6J) 1 day – 3 and more days Green / Red / Neutral

g
in
Gold (GC) 1 day – 3 and more days Green / Red / Neutral

ad
Treasuries (ZB, ZN, ZF) 1 day – 3 and more days Green / Red / Neutral
Dow Jones (YM) Correlation with ES and NQ Green / Red / Neutral

Tr
Nasdaq (NQ) Correlation with ES and YM Green / Red / Neutral

Technical Indicators (McClellan)

TW
Shares: AAPL, MSFT, AMZN, GOOG [Link]
Trend definition ([Link]
Green / Red / Neutral
Green / Red / Neutral
,T
Daily Liquidity Model Long Term High Liquidity (see next) Mark it in BM chart
20

News Skew the trend !! News services: DataFlash

[Link]
20

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d
Lt
Watch for Liquidity as a first Estimate

es
ic
rv
Prio 1 Liquidity Liquidity

Se
Liquidity

g
in
Zoom out and observe

ad
current Long Term High
Liquidity levels.

Tr
TW
,T

Prio 2 Liquidity
20

Liquidity
20

rv
Se
g
in
ad
Prio 3 Liquidity

Tr
Prio 2 Liquidity
TW
,T
20
20

es
ES – YEN – Gold – 30y Bond Shares vs Treasuries

ic
rv
Se
g
in
ad
Tr
TW
,T
20
20

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es
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g
in
ad
Bookmap™
Tr
TW
Strategies Pattern
,T

Execution Summary
20
20
d
Lt
What makes a Good Setup?

es
ic
rv
Se
• Consistency

g
• The ability to clearly identify if it‘s working or not

in
ad
• Having a close stop and a far target

Tr
• High Risk:Reward (R:R) ratio
• Patience TW
,T
20
20

es
ic
rv
Se
• Sweeps are signs of liquidation, capitulation
• See Sweep chapter

g
• Leaves always an imbalanced limit order book!

in
• MUST always be traded contrary

ad
• Pattern

Tr
• Wait until sweep comes to an end
• Does the market retest price at top/bottom?
TW
• Volume retesting top/bottom must be clearly lower then traded before
• Use Divergences, ASK / BID Imbalances
,T
• Target
• Price seeks liquidity
20

• Correlation to other markets

es
ic
rv
Se
• Re-Bid means to enter market and to take advantage of it‘s direction
• Pattern

g
in
• Bullish Market

ad
• Liquidity above attracts price
• Execution

Tr
• Step in and re-bid the move
TW
• Target = Liquidity above
• Note
,T
• Stop below last low
• R:R ratio not optimal
20
20

rv
Se
g
in
ad
Tr
TW
,T
20
20

es
ic
rv
Se
• Re-Offer means to enter market and to take advantage of it‘s direction
• Pattern

g
• Bearish Market

in
• Fast price action, mostly at the beginnig of trading session

ad
• Liquidity below attracts price

Tr
• Execution
• Step in and re-offer the move (market or limit)
TW
• Target = Liquidity below
• If no liquidity below, ride the move until exhausted (Sweep)
,T
• Note
• Stop above last high
20

• R:R ratio not optimal

ic
rv
Se
g
in
ad
Tr
TW
,T
20
20

es
ic
rv
Se
• Time / Timing is the most important factor in Trading
• Price seeks liquidity

g
in
• Pattern

ad
• Bullish Market
• Firm Support at a price

Tr
• Liquidity attract buyers above
• Execution TW
• Buying dips at re-tested price level
• Target = Liquidity above
,T

• Help
20

• Draw a rectangle around re-tested price

Tr
TW
,T
20
20

es
ic
rv
Se
• Trending Environment

g
• Pullbacks or Reversals always in a Trend

in
• Conditions

ad
• Move ends in a Volume flurry or Large Volume Cluster!!
• Absorption of Volume (loss of Energy!)

Tr
• Covering or profit taking starts
• Volume
TW
• Pullback ends in depleted volume = Exhaustion
• Divergence in Chart Accumulated Volume Profile
,T
• Liquidity
20

• Good Short Term High Liquidity above / below the volume cluster
20

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 301
d
Lt
es
ic
rv
Se
Trend
Short Term High Liquidity

g
in
ad
Tr
TW
,T
20
20

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d
Lt
es
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rv
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g
in
ad
Bookmap™
Tr
TW
Strategies Indicators Part 3
,T

VWAP
20
20
d
Syllabus

Lt
Auction

es
Practice
LOB

ic
rv
Liquidity

Se
Absorption

g
Book Flipping
Bookmap™

in
Exhaustion Spoofing /Layering
Oganization and Data Quote Stuffing

ad
Practice
Presentation Stop Runs
Sweep

Tr
Practice
Strategies
Data Feed
TW Correlations
Practice
,T

Adv. Analysis Tools CVD

Large Lot Tracker

Ice berg Detector
20

Lt
es
Volume Weighted Average Price

ic
rv
Se
• 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

g
instrument such as stock or futures traded at over the trading horizon.

in
ad
• The most professional brokerage firms offer what is known as Guaranteed VWAP
execution to large institutional clients. Guaranteed VWAP is the process of

Tr
executing trades exactly at the VWAP price.
• TW
VWAP is used to identify liquidity points
,T
• VWAP spots the action of very active money pools
20
20

Lt
es
Volume Weighted Average Price

ic
rv
Se
• Daily Volume Weighted Average Price

g
• Weekly Volume Weighted Average Price

in
Monthly Volume Weighted Average Price

ad
•
Time Weighted Average Price

Tr
•
TW
,T
20
20

in
Source:
[Link]

ad
Tr
TW
,T
20
20

in
Source:
[Link]

ad
Tr
TW
,T
20
20

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 309
d
Lt
es
ic
rv
Se
g
in
ad
Tr
Monthly VWAP (NT8)
Source:
[Link] TW
,T
20
20

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d
Lt
es
ic
rv
Se
g
in
ad
Tr
Indicators for NinjaTrader 8
TW
,T
Source:
[Link]
20
20

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 315
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Bookmap™
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Strategies Part 4
,T

Advanced Analysis Tools

20
20
d
Syllabus

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Auction

es
Practice
LOB

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Liquidity

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Absorption

g
Book Flipping
Bookmap™

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Exhaustion Spoofing /Layering
Oganization and Data Quote Stuffing

ad
Practice
Presentation Stop Runs
Sweep

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Practice
Strategies
Data Feed
TW Correlations
Practice
,T

Adv. Analysis Tools CVD

Large Lot Tracker

Ice berg Detector
20

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Advanced applications
• Confluences at Setup Levels

g
• Sharp Delta

in
• Cumulative Volume Delta

ad
• Iceberg Detector
• Large Lot Tracker
Correlations

Tr
•
• Alert Settings
• Large Trade Alert
• Order Book Imbalance
• VWAP
• POC
TW
,T
• API Automated Strategies
• Training Excercises
20
20

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• Cumulative Volume Delta or CVD is a very basic indicator. It simply plots the
accumulation of aggressor volume.

g
in
• The CVD simply displays the cumulative volume of buy aggressors minus sell

ad
aggressors. Buy Volume is a positive number and Sell Volume is a negative

Tr
number. Add them together and that's your CVD output …

5 Contracts bought = +5
•
2 Contracts sold = +3TW
10 Contracts sold = -7
,T

….
20
20

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• Significant directional CVD & volume is usually correlated with
strong price movement.

g
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ad
• Insignificant directional CVD & volume is usually correlated with
weak price movement

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TW
• If the above correlations don't exist, then something is amiss.
There is a divergence between price movement, volume, and
,T

CVD. Therefore a possible trading opportunity exists.

20
20

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20

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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

g
that transacted at that price level, at that specific moment.

in
ad
• Larger Players use hidden orders or IceBergs to conseal their intent to trade at

Tr
that price level; their large limit order do not display in the LOB. Therefore,
these hidden orders do not skew the aucion imbalance.
•
TW
Can act as absorption at that price level, with lack of liquidity in LOB.
,T

• [Link]
20
20

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20
20

es
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• An approximation of the largest single pending order at a price
level if that order crosses a certain threshold based on the

g
in
adjustable settings in Bookmap.

ad
• Larger Players typically set individual large block orders in areas

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they want to deal
TW
• Can act as a spoof – puposely showing large orders can skew the
,T

auction and cancellation of these orders can create vacuum.

20
20

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• Order Book imbalance represents the ratio between the average bid order book
size versus the average ask order book size

g
in
• Volume imbalance represents the ratio between the volume generated by

ad
buying aggressors (market order transactions on the offer) versus the volume

Tr
generated by selling aggressors (market order transactions on the bid)
• TW
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
,T
out) will affect the readings of the imbalance indicators..
20
20

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Alert Settings

rv
Se
g
• Alerts when extraordinary imbalance in LOB happen

in
ad
• Be careful in areas with „many“ imbalance alerts

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• Imbalance areas
• Pause TW
• End of a trend
,T

• Reversal of a trend
20
20

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• 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

g
in
the price level where the most TPO's have printed).

ad
• A Naked Point of Control (also called a Virgin Point of Control) is a previous POC

Tr
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
TW
See also: Dr. John Keppler, Profit with the Market Profile
,T
•
James F. Dalton, Mind over Markets
20
20

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• Bookmap API allows to connect to Bookmap new data sources

g
and trading systems, and to develop custom modules such as

in
ad
automated trading strategy, indicators, voice alerts, data export
and recording, and more.

Tr
• Source: Bookmap API Wiki
TW
• Source: Bookmap Forum
,T
20
20

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• [Link]

g
?list=PLzaGy-

in
ad
3oukoRSOXWvcynCFeFRTUAz
mauD

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TW
,T
20
20

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Bookmap™
,T

Part 8 - Data Feed

20
20
d
Syllabus

Lt
Auction

es
Practice
LOB

ic
rv
Liquidity

Se
Absorption

g
Book Flipping
Bookmap™

in
Exhaustion Spoofing /Layering
Oganization and Data Quote Stuffing

ad
Practice
Presentation Stop Runs
Sweep

Tr
Practice
Strategies
Data Feed
TW Correlations
Practice
,T

Adv. Analysis Tools CVD

Large Lot Tracker

Ice berg Detector
20

es
ic
rv
• Bookmap™ can be connected to multiple data vendors

Se
• Quality of data feed differs (!)
• Market-by-Price (MBP)

g
Market-by-Price (MBP) describes a price-based data feed that provides the ability to view

in
•
the total size of all orders at each price level. MBP can describe either full market depth or a

ad
limited number of nearest Bid and Ask price levels, e.g. 5, 10, or 20 price levels.

Tr
• Market by Order (MBO)

TW
• 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
,T
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.
20

• [Link]
20

• [Link]
12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 346
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Data Feed: Market by Order (Rithmic)

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TW
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• TW
Aggregated data are good enough for candle and similar charts.
,T
• Aggregated for retail traders
20

• 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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• Because only Charts with not aggregated data are meaningful and useful!
,T
• With non aggregated data everything is disclosed and we can decide according the
displayed information.
20
20

• We see all levels available and thus we can plan and trade accordingly
12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 349
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MSFT

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20
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12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 351
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?

d
CME, Eurex,

Lt
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

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

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

rv
(Brazil)

CME, Eurex,

Se
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

g
CME, Eurex,
Yes Yes Real-time Global Yes 10 levels 2 From IB
Brokers ICE, ...

in
CME, Eurex,
Gain Yes Real-time Global Yes 10 levels 4 No From brokers
ICE, ...

ad
CME, Eurex, Ice
IQFeed Yes Real-time Global No 10 levels 3 From IQFeed Yes
...

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

Transact

X_TRADER (TT
API)
Yes

Yes
Real-time

Real-time
TW
Global

Global
Yes

Yes
10 levels

10 levels
3

4
No

No
CME

CME, Eurex,
ICE, Euronext ...
From Transact

From brokers
,T
GDAX Yes Real-time Digital Yes Full 5 GDAX Included
BitMEX Yes Real-time Digital Yes Full 5 BitMEX Included Beta
20

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
20

Source: Option Expiration Calendar

Bookmap Files recorded
Source: Option Expiration Calenda
Yes Yes Yes Historical Digital+ Sim Full 5 Any
Replay by user
12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 352
Virtual Real-time,
Digital Yes Full 5 VE Included Sep 2018
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12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 353
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Bookmap™
,T

Part 9 – Option Expiration

20
20
d
Lt
Option Expiration

es
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• Option expiration days have a high correlation with following
indices:

g
in
• ES, NQ, YM

ad
• Statistical probability is > 80% that on these days the indices

Tr
will probably correct
TW
• Mark the Option Expirations days in your calendar
,T
20
20

Source: Option Expiration Calendar

12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 356
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Bookmap™
,T

Part 10 - Trading Advice

20
20
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Trading Advice

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NO BIAS

g
•

in
ad
• BE PATIENT

Tr
• LET THE MARKET GUIDE YOU
TW
,T

• LISTEN TO THE MARKET

20
20

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• Don‘t fear to lose any opportunity

g
in
• Fully and absolutely confidence in your system

ad
• Never be boredom

Tr
TW
• No need to force a trade – wait until market speaks to you!
,T
20
20

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• Order Book reading shows the opportunity when it arrives

Se
• Bookmap™ gives you clear signals at Macro- and Microlevel

g
in
• Concenrate on your trading system

ad
• Act upon learned strategies

Tr
TW
• Good Opportunities always occur – you‘ll never miss one
,T
20
20

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• Bookmap™ is a leading trading tool

Se
• Footprint is a leading trading tool

g
in
• Accurate, non-aggregated data feed

ad
• Visualisation is of great help understanding and interpreting

Tr
the LOB and Order Flow
TW
• Be and stay a well skilled Order Book Trader
,T
20
20

es
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• Bookmap™ Historical Chart shows LOB levels in advance

Se
• Visualisation of long- and short term liquidity

g
in
• Understanding the price action

ad
• Clear trend and signal indication

Tr
• Look for easy trades
TW
• There is time for trading and time to go fishing!
,T

Trade to win and not for excitement!

20
20

es
ic
rv
• Bookmap™ Historical Chart shows LOB levels in advance

Se
• Visualisation of long- and short term liquidity

g
• Learn to control your Bias and Wait

in
ad
• Follow the market
• Bookmap™ shows you what the market is actually planning and

Tr
doing
TW
• Stay relaxed and listen to the market
,T

Trade to win and not for excitement!

20
20

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1. Always wait for the setup: No Setup – No Trade!

Se
2. THE BEST trades work almost right away.

g
3. Never take a big loss. If it doesn‘t „feel“ right – remove it!

in
4. Always perfect your craft and sharpen your skills!

ad
5. Be patient with winning trades! Imaptient with sketchy trades!

Tr
6. DISCIPLINE to follow your plan is the key to winning in trading.
7. TW
Never get emotionally attached to trades.
8. Always trade with the size that makes your unemotional.
,T

9. Keep things very simple and don‘t over-think your trading methods.
20

10. Stay humble at all times.

rv
ic
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d
d
Lt
Test

es
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rv
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• Please answer fast and intuitively

g
in
• Where will the price move next?

ad
• Price rises (up)

Tr
• Price declines (down)
TW
,T
20
20

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Google Forms

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20

Profitable Trading with
LOB and Bookmap™
Bookmap™ Masterclass
© 2020, TTW Trading Services Ltd

12 December 2019
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
2
© Copyright 2019 by TTW Trading Services Ltd.
Al

12 December 2019
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
3
General Trading Risk Disclaimer
Futures, stocks

12 December 2019
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
4
Walter Lesičar
•
Trading Futures since more then

We will use the visualization of the limit order
book to show that profitable and sustainable
trading with liquid instrumen

• How do modern markets operate?
• Who is playing the game?
• What are their motivations?
• How do they act and interact?
• H

12 December 2019
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
7
Syllabus
Absorption
Liquidity
Strategies
Correla

12 December 2019
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
8
1. Test 1
2. Part 1 – Auction
3. Limit Order Boo

12 December 2019
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
9
• All documentation, presentation, replay files

12 December 2019
© 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0
10
• Short Term Trader : Retail -, discretionary T

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