Here is a Market Delta footprint chart filtering out trades of 50 contracts or more in the ES futures (click for detail). As you can see from the blue arrows, large trades executed at the offer price were a nice indication of an upside breakout move in the making. Unable for selling to take us below the day's VWAP, we made a run for the overnight highs and took them out.
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2 comments:
I have seen you mention the vwap several times. How exactly does it factor into your trading decisions?
I found for today that a setting of >35 or >40 worked best for my cumulative delta, day session only. I plot this as a line against non filtered cumulative (total trades), day session only.
David.
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