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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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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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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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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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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

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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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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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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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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

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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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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
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Traded Market

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Volume

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Volume
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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?

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• Why is price going down?

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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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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

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• 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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opportunity

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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,

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Profiting from the Auction Process

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Part 2 - Market Mechanic
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Basic Terminology
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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)

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• „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

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OFFER

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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
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Practice
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Adv. Analysis Tools CVD

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

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• 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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Market Order

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Absorption

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Limit Order
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• Whenever market volume and limit volume collide, volume or

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

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

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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?
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Long Term High Liquidity

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• High liquidity remains in the book

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• Defines the auction

in
ad
• Digested by the auction participants

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• Channeling between longer term liquidity
• Act as magnet
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• Market can trade there – seeking high liquidity!
,T
• Understand context of the area
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• More or less liquidity around the area?

• Tendencies to pull the 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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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
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• Relationship with volume

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Long Term High Liquidity

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Short Term
Short Term
High Liq.
TW High Liq.
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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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Part 4 - Market Mechanic
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Market Terminology
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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

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Large Lot Tracker

Ice berg Detector
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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

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• IceBerg
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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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• 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.
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• 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

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• 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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Market Order

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Absorption

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Limit Order
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• Whenever market volume and limit volume collide, volume or

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

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• 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)
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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.
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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

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ic
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• Trading through 1 or more price levels very fast

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in
• Big aggressive market orders

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Tr
• Leaving unfinished auctions (Low Volume Nodes – LVN)
TW
• Fast and powerful refusal of prices
• Speed of price action is important
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• [Stop running]
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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

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1 Tick

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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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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
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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.
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Stop Runs – Stop Losses

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

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absorption level to trigger stops in the immediate area of the

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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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12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 144
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Active and Passive Indicators

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Trading Indicators Confirmation Indicators

g
in
• Liquidity • Order Book Imbalance

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• Absorption • Pulling / Stacking

Tr
• Spoofing
• Exhaustion
TW • Channeling
• Sweeping
• Book Flipping
,T

• Stop Runs • Quote Stuffing

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• IceBerg
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12 December 2019 © 2019, TTW Trading Services Ltd. based on Bookmap™ 7.1.0 147