It’s the auction and every trading day is unique.

At the start of each trading day, ask yourself one question:  Given the auction market structure before me, do I want to be a buyer or a seller?  If I want to be a buyer, I will be looking for buying pressure after significant declines, rejected back-tests in an up-auction, and initiatives in an up-auction.  (vice versa for being a seller)

There are challenges associated with the TOS platform:

  • The relative size of orders in the DOM does not match the volume profile. Assigning meaning to large orders in the DOM is unsafe; those orders get put on and pulled with such speed that they can’t be counted on.  For the same reason, assigning meaning to the HVN in the volume profile is complicated by the fact that the probability of a directional call at the HVN is 50:50.
  • Following Time and Sales data provides no edge as there is no way to know if the selling is selling to close (short) or selling to open.
  • By the time a signal paints, there is frequently a loss of upside/downside edge.