CISCO Futures
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Aurora, CO 80012
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http://www.cisco-futures.com dljones@cisco-futures.com
Buy-Sell Data
Net Buy and Sell LDB Volumes/Brackets for US 03/99 for trading on 12/03/98 __________________________________________________________________________________________________________________________ Price Volume CTI1b CTI1s CTI1n CTI2b CTI2s CTI2n CTI3b CTI3s CTI3n CTI4b CTI4s CTI4n Half-hour Brackets __________________________________________________________________________________________________________________________ 13022 528 36 204 -168 100 34 66 0 0 0 128 26 102 YZ 13021 4010 358 829 -471 189 287 -98 0 0 0 1458 889 569 YZ 13020 16656 2841 3337 -496 1138 1338 -200 0 0 0 4349 3653 696 Y+Z 13019 26296 5664 5340 324 2812 2415 397 20 31 -11 4652 5362 -710 Y+ZB 13018 19652 4959 4443 516 1486 861 625 17 226 -209 3364 4296 -932 Y+ZB 13017 13808 4140 3486 654 595 560 35 72 409 -337 2097 2449 -352 Y+ZAB 13016 24422 7090 7297 -207 694 662 32 847 549 298 3580 3703 -123 Y+ZAB 13015 22638 7313 6987 326 257 775 -518 637 365 272 3112 3192 -80 Y+ZAB 13014 15838 4745 4674 71 364 427 -63 561 148 413 2249 2670 -421 YZAB 13013 14772 4491 4725 -234 340 119 221 315 150 165 2240 2392 -152 YZAB 13012 13940 4318 3547 771 210 405 -195 160 163 -3 2282 2855 -573 YZABJ 13011 20858 5587 6142 -555 349 785 -436 466 606 -140 4027 2896 1131 YZABJK 13010 34370 10254 10512 -258 1693 1424 269 725 1048 -323 4513 4201 312 YZABCFJKL 13009 44870 13276 12234 1042 696 2174 -1478 1278 1516 -238 7185 6511 674 YZABCFGJKL 13008 45576 14192 13395 797 1241 2021 -780 723 1467 -744 6632 5905 727 OYZ$ABCDEFGIJKL 13007 59548 15724 19436 -3712 2392 1806 586 1846 1423 423 9812 7109 2703 OYZ$ACDEFGHIJKLM 13006 111426 31731 32354 -623 4079 2615 1464 2526 2913 -387 17377 17831 -454 OZ$ACDEFGHIKLM 13005 70298 21165 20676 489 2519 1780 739 1938 2890 -952 9527 9803 -276 OZ$CDEFGHILM 13004 38620 12459 11526 933 1157 1367 -210 679 1787 -1108 5015 4630 385 Z$CDEFGH 13003 31460 8359 9594 -1235 648 432 216 606 830 -224 6117 4874 1243 Z$CDEGH 13002 20246 7510 5953 1557 238 801 -563 428 392 36 1947 2977 -1030 CDEH 13001 14208 3560 4773 -1213 656 408 248 295 149 146 2593 1774 819 CDE 13000 19086 5451 4816 635 857 470 387 189 564 -375 3046 3693 -647 CE 12931 11664 3630 3187 443 393 1036 -643 106 137 -31 1703 1472 231 CE 12930 5192 1430 1525 -95 175 50 125 100 194 -94 891 827 64 CE 12929 3084 1189 889 300 0 27 -27 62 86 -24 291 540 -249 E 12928 736 365 27 338 0 10 -10 0 2 -2 3 329 -326 E __________________________________________________________________________________________________________________________ Grand 703802 201837 201908 -71 25278 25089 189 14596 18045 -3449 110190 106859 3331 Total __________________________________________________________________________________________________________________________ Legend: Price = Price in trading fractions Volume = Cleared volume for each side (divide by 2 for contract volume) Cti = Member class: 1 = floor/scalpers, 2 = commercials, 3 = members off floor, 4 = public b = buy side, s = sell side, n = net Half-hour Brackets = Market Profile (tm) Market Profile: A display of the PRICE - Volume and Half-hour Brackets. In the BS Report above, it is the Report with the CTI1b CTI1s CTI1n CTI2b CTI2s CTI2n CTI3b CTI3s CTI3n CTI4b CTI4s CTI4n columns removed.
Section 2. Buy-Sell Report Totals for the last 10 days Accepted theory is that volume shows demand. But over what timeframe? Is ten days of data enough to show directional conviction on the part of the classes of member? First one must learn what the members do, what are their functions. The floor traders (Cti1) act like a bank, buying from everyone and selling to everyone. At any particular price, the floor traders will probably not buy exactly as many as they sell (or vice versa), but by the end of the day they will come out very nearly even. Floor traders are short-term, they lubricate the trading and they go home flat. Commercials (Cti2) do not necessarily close out net zero if they have placed a hedge; however, the hedge is offset with the cash and is, net zero in terms of demand. Of course, someone else must offset actual trade net balance of the commercials. Off floor members are considered closely related to the floor members and are expected to be primarily net zero at the end of the day. The public traders (Cti4) may either be short-term (day traders), and hence net zero on the day, or longer-term (swing or position traders). Longer term trading requires buying and holding (or selling and holding). It is the holding process that creates the demand from which trends spring. If all this is true, in an up trend the public should have a net on the buy side, in a down trend the public should have a net on the sell side. An example of using Buy-Sell data in a trading situation is found in Auction Market Theory at "Whats New" on the left sidebar of the homepage. In that case, the locals (CTI1) ended the day net short a substantial amount. That set the stage for a short covering rally the next day.
Net Buy-Sell Grand Totals for Last 10 trading days for US 03/99 Date Volume CTI1b CTI1s CTI1n CTI2b CTI2s CTI2n CTI3b CTI3s CTI3n CTI4b CTI4s CTI4n 12/03/98 703802 201837 201908 -71 25278 25089 189 14596 18045 -3449 110190 106859 3331 12/02/98 590388 171482 173112 -1630 26152 23122 3030 12119 16264 -4145 85441 82696 2745 12/01/98 728196 209047 206256 2791 25788 29039 -3251 17205 16320 885 112058 112483 -425 11/30/98 669038 186136 188525 -2389 18016 21287 -3271 19936 31219 -11283 110431 93488 16943 Mar 1999 Dec 1998 11/27/98 83596 21696 21103 593 2986 2811 175 4495 3664 831 12621 14220 -1599 11/25/98 244582 66782 60547 6235 9679 13196 -3517 14860 6332 8528 30970 42216 -11246 11/24/98 515202 142814 141224 1590 23067 19704 3363 10037 11227 -1190 81683 85446 -3763 11/23/98 592886 163287 164330 -1043 29618 17889 11729 11363 12777 -1414 92175 101447 -9272 11/20/98 659678 187116 185502 1614 20832 22730 -1898 14993 22450 -7457 106898 99157 7741 11/19/98 516140 144205 142694 1511 19363 20254 -891 8594 10948 -2354 85908 84174 1734 Legend: Same as for Buy-Sell report. In the example, both the Commercial Analysis and the Buy-Sell Totals for the last ten days include data from two separate deliveries, December 1998 and March 1999. This was because of delivery month rollover. The current (front month) contract for T-bonds changed from December 1998 to March 1999 at the close of November 27. The price change across the rollover is discontinuous, although the change was not very large in this case (close on 11/27: Dec 12819, Mar 12812). Comparing the last ten days of prices with the public net trading gives this approximate picture: From 11/19 to 11/27 price was wandering and the public net was -16,399. From 11/30 to 12/03 price was in an uptrend and public net = 22,594. In this very short period, it does seem that the public net is associated with a trend. High Low Close Cti4n 12 03 98 13022 12928 13006 3331 12 02 98 13021 12925 13009 2745 12 01 98 13016 12918 12929 -425 11 30 98 13001 12812 12919 16943 11 27 98 12820 12812 12819 -1593 11 25 98 12810 12724 12809 -11246 11 24 98 12806 12703 12725 -3763 11 23 98 12822 12707 12718 -9272 11 20 98 12824 12724 12808 7741 11 19 98 12804 12717 12727 1734 If the public demand theory is correct, it has important ramifications for trade analysis. 1) If there is a trend, analysis of the public buy-sell net should show it. 2) If there is no trend, the public buy-sell net should be small and fluctuate around zero. 3) If there is a change from trend to no-trend (balance) the public's cumulative net (acquired during the trend) should dissipate. 4) If the market changes to trend, the public cumulative net should begin to grow in the direction of the trend, e.g. increase if up. An example of using buy-sell data to illustrate the above concepts, the end-of-day totals for the public are posted for T-bonds from Septermber 29 through November 13, 1998. This period shows an uptrend that ends on October 5, a down trend ending on October 23; then an up-down bump from October 23 to November 6, which starts another up move. To get a sense of the cumulative totals for the public, we have posted five day sums of the net differences. Net Buy and Sell LDB Volumes for U S T-bonds, 12/98 Price = settlements for first & last prices, and highs & lows in between Cti1 = Floor/scalpers, Cti2 = Commercials, Cti3 = Off-floor members, Cti4 = Public b = BUY, s = SELL, n = NET Sum 5 = Five day sum of Cti4n (public) Volume is cleared, each side is reported (divide by 2 to get 'newspaper' volume) ************* Public traders summary only *************** Price Volume Cti4b Cti4s Cti4n Sum 5 09/29/98 13001 517936 79113 74820 4293 09/30/98 940490 151476 145259 6217 10/01/98 1271258 184989 185279 -290 10/02/98 1072698 158256 157406 850 10/05/98 13421 1056984 160280 155919 4361 15431 10/06/98 956338 145398 147475 -2077 9061 10/07/98 1435056 218988 220750 -1762 1082 10/08/98 1306060 221912 227090 -5178 -3806 10/09/98 995676 164709 173153 -8444 -13100 10/13/98 832000 129300 118711 10589 -6872 10/14/98 772778 118916 120181 -1265 -6060 10/15/98 762898 116886 122895 -6009 -10307 10/16/98 853436 136206 131377 4829 -300 10/19/98 314838 47829 49334 -1505 6639 10/20/98 836474 135613 139710 -4097 -9047 10/21/98 404814 56823 55781 1042 -5740 10/22/98 659556 96191 96046 145 414 10/23/98 12714 585758 88914 98056 -9142 -13587 10/26/98 780374 132976 129618 3358 -8694 10/27/98 656238 105788 103736 2052 -2545 10/28/98 503186 76809 70513 6296 2709 10/29/98 12926 490326 76741 73697 3044 5608 10/30/98 724852 110193 116374 -6181 8569 11/02/98 615892 98414 100828 -2414 2797 11/03/98 570876 85925 81764 4161 4906 11/04/98 771868 120229 120538 -309 -1699 11/05/98 1015658 171399 165907 5492 749 11/06/98 12519 854022 150705 152850 -2145 4785 11/09/98 703060 121802 113321 8481 15680 11/10/98 628832 95565 96786 -1221 10298 11/12/98 617855 102026 97890 4136 14743 11/13/98 12724 582784 94142 93044 1098 10344 The Public: Using the buy-sell data to interpret the public's convictions Market trends are usually caused by the 'Public' trader maintaining an un-balanced portfolio (net long or short, as the public sees the market). If the public has no net opinion (some long, some short) their net trading over a few days will be near zero. Otherwise, one expects the public to be net long in up trends and net short in down trends. From the data, a peak on 10/05 at 13421 is followed by a null on 10/23 at 12714. During the downtrend 10/05 to 10/23, the public quickly turned negative and remained so until just past the bottom. Within this period there were some net buying days, but the bulk of the action as shown by the 5 day averages, is down. Indeed, the public showed conviction throughout the period. It is a different story for the weak cycle 10/26 through 11/06. Here, the public were basically buyers all the way. After the bottom on 11/06, public long side accumulation strengthened. So, it is apparent that the public was not swayed by the cycle. Using the Buy-Sell Data Buy-sell statistics provide another strong reference point for the trend trader. Since it is normally the public that moves markets (creates trends), the trend trader must remain aware of the net public stance. Day traders use the buy-sell data to sense the trend prospects just as the swing/trend trader. But, the day trader is also quite interested in the stance of floor members (are they significantly unbalanced, indicating potential short covering/long liquidation) as well as the balance situation of both the commercials and off-floor members. ldbreptbs.html