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by Taylor Ireland
In this article, we examine the order flow and limit order book data in the WTI futures market that provides insight into the breakout through key resistance and subsequent rally on Wednesday, April 28, 2021. Market structure and order flow provide insight into the actual transactional activity of a dual-auction's price discovery process. Analysis of this data provides real-time insight into the actions of market participants, providing a dynamic dataset to inform one's risk management process.
Position: N/A
Taylor Ireland
Sharedata Futures, Inc. provides historical data mining and visualization for the benchmark NYMEX Energy Futures Markets.
Sharedata combines structural analysis of the market generated data, dynamic systems analysis, and Bayesian causal inference techniques favored by the scientific and intelligence communities to provide a robust framework for addressing the uncertainty and risk in energy pricing.
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ENERGY
WTI Weekly: Key Resistance Fails As Rally Continued To Statistical Resistance.
05/13/21 02:35:37 PMby Taylor Ireland
In this article, we examine the order flow and limit order book data in the WTI futures market that provides insight into the breakout through key resistance and subsequent rally on Wednesday, April 28, 2021. Market structure and order flow provide insight into the actual transactional activity of a dual-auction's price discovery process. Analysis of this data provides real-time insight into the actions of market participants, providing a dynamic dataset to inform one's risk management process.
Position: N/A
| April 28 2021 The primary expectation in Sharedata's Energy Daily Dashboard for Wednesday 05 March 2021's auction was for price discovery higher. Our daily dual probability path assigned the primary expectation for price discovery higher, noting statistical resistance targets were: 64.46s/65.13s/65.81s, respectively. Qualitatively, these levels had held as resistance 52%, 83%, and 96% of recent market auctions, respectively, based on the market generated data. This data provided a buy-side framework with a probable resistance "zone" between 64.46s-65.13s. As discussed frequently, markets are probabilistic not deterministic. Within this framework, the secondary expectation was for price discovery lower. Statistical support targets were: 61.42s/60.75s/60.07s, respectively, with a probable support "zone" between 61.42s-60.75s. This type of daily framework, while useful, is more effective when using live order flow and structural analysis to confirm or negate the most probable daily inference. In this case, key resistance failed during Wednesday's Globex auction, driving price higher to the Daily 1SD High target ahead of the NY close. |
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| Figure 1. Energy Daily Dashboard 28 April 2021. |
| Graphic provided by: Sharedata Futures, Inc.. |
| |
| Heading into Wednesday's auction, Tuesday's auction had seen a structural buy spike into the NY close. The spike held as support early during the Globex auction, before a breakout through key resistance developed to 63.66s forming a Gap Higher into the NY auction. Buying interest emerged early in NY trade, confirming the Gap, before the rally continued to 64.53s near Wed's ADR High target. Buyers trapped there amidst sell excess, halting the rally as a pullback developed into the NY Close. |
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| Figure 2. Energy Daily Dashboard 27 April 2021. |
| Graphic provided by: Sharedata Futures, Inc.. |
| |
| The practice of analyzing market structure development is best accomplished with the use of order flow and limit order book (LOB) analysis. In short, plotting the buy and sell transactions of significance (in this case volume equal to or greater than 125 contracts) as well as the resting limit bids and offers allows us to see both the actions and intent of larger participants (who significantly affect price). |
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| Figure 3. WTI Daily Auction 28 April 2021. |
| Graphic provided by: NinjaTrader. |
| |
| In this week's analysis, the primary expectation was for price discovery higher. Following key support holding in the Globex auction, there was a buy-side flip of the LOB near key resistance early in NY trade, driving price higher to 64.53s, near Wed's ADR High target. Buyers trapped there amidst excess before a sell-side flip of the LOB, halting the rally. A pullback then ensued toward 63.70s into the NY Close. |
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| Figure 4. WTI Limit Order Book 28 April 2021. |
| Graphic provided by: NinjaTrader. |
| |
| The daily framework identified both statistical support and resistance targets and their qualitative potential to hold. Key support held early in the Globex auction before a rally toward the ADR High target developed. This confluence of structural, statistical, and order flow data provided insight into the auction's outcome based not on lagging fundamental data or media hype but rather structural formation and transactional behavior of significant quantity that drives price discovery. |
Sharedata Futures, Inc. provides historical data mining and visualization for the benchmark NYMEX Energy Futures Markets.
Sharedata combines structural analysis of the market generated data, dynamic systems analysis, and Bayesian causal inference techniques favored by the scientific and intelligence communities to provide a robust framework for addressing the uncertainty and risk in energy pricing.
| Title: | Founder |
| Company: | Sharedata Futures, Inc. |
| Dallas, TX | |
| Website: | www.sdfanalytics.com |
| E-mail address: | support@sdfanalytics.com |
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| Sharedata Futures, Inc. has not added any product or service information to TRADERS' RESOURCE. | |
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