Ut Prop Scalping Manual
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Transcript of Ut Prop Scalping Manual
-
UTProp Scalping
2013
-
2
, , , (S&P500 DJIA) ............ 3
........................................................................................................................... 12
(): , ECN, , ,
, , , . ............................... 14
: Limit, Market, Stop Market, Stop-Limit, MOO, LOO, MOC ..................................................... 17
: Chart (), Level II (), Time&Sales (),
. ............................................................................................................................... 19
, , , , . 22
. , , . ..................... 26
ECN, , . / ,
. ................................................................................................................................................. 28
, , . ................................................. 35
-. , ,
. , LOSS FROM TOP. ................................................ 37
, . ............................ 39
. WashTrades . .............................................. 40
. , . . / . ETF
. ..................................................................................................... 43
ETF . ............................................................................. 52
, . ..................................................................................... 54
. .............................................................................................................. 58
. .
. ........................................................................................................................................... 69
UTProp Scalping: - .......................................................................................... 72
-
3
, , ,
(S&P500 DJIA)
, .
,
.
, .
( , ).
,
.
.
:
Dow Jones Industrial Average (. Dow Jones
Industrial Averages, DJIA) ,
, .
.
.1 -
-
4
30 .
26 1896 . 12 ; 30.
, , -
.
, The Wall Street Journal.
, ,
() ().
.
,
,
30-
.
Standard & Poors 500 (S&P 500)
, .
, ,
30 . S&P 500 : S&P
500 500 ,
.
.2 S&P 500
-
5
7 .
, .
, , .
S&P 500 50 .
S&P 500 , , .
S&P 500 ,
.
100%. ,
, .
,
.
,
. . ,
,
.
. .
.
, .
.
, , ,
, , ,
. , , , . . .
,
.
,
. ,
, ,
.
-
6
, Finviz.com. .
,
, .
Basic Materials .
,
.
, , , ,
, , ,
.
,
. market movers ( )
: Exxon Mobil Corp. (XOM), PetroChina Co. Ltd. (PTR), Petroleo Brasileiro (PBR), Royal Dutch
Shell plc (RDS-B), Chevron Corp. (CVX).
: $5865.1
Conglomerates . , ,
.
(, , ,
), .
.
.
, , -,
.
.
, .
- General Electric Co. (GE),
United Technologies Corp. (UTX), 3M Co. (MMM).
: $568.5
Consumer Goods .
,
-
7
. ,
.
, , .. : Procter &
Gamble Co. (PG), Toyota Motor Corp. (TM), Ford Motor Co.(F), Pepsico, Inc. (PEP), Coca-Cola Co.
(KO), Philip Morris International, Inc. (PM).
: $2616.7
Financial . :
, ,
-.
,
. ,
, , ,
.
( 12
); ( 14
);
, ( 18 );
( 6
).
,
, . : Bank of
America Corporation (BAC), JPMorgan Chase & Co. (JPM), Wells Fargo & Company (WFC), Citigroup,
Inc. (C), Berkshire Hathaway Inc. (BRK-A), The Goldman Sachs Group, Inc. (GS), Mitsubishi UFJ
Financial Group (MTU).
: $ 111679.3
Healthcare . ,
,
, , , ,
.
, . : Johnson & Johnson (JNJ), Pfizer
-
8
Inc. (PFE), Merck & Co. Inc. (MRK), Glaxosmithkline pls (GSK), Genentech Inc. (DNA), Novartis AG
(NVS), Abbott Laboratories (ABT).
: $ 2293
Industrial Goods . (
) , ,
, .
:
- , ,
, - ..
.
, , ,
, , .
, , ,
,
, ,
.
- ,
, .
,
, ,
, -.
. , ,
(),
,
,
.
- , , , -
.
. ,
( ) , .
- ,
-
-
9
. ,
.
, ,
, , .
,
, ,
. Boeing Co. (BA), ABB
Ltd. (ABB), Caterpillar Inc. (CAT), Honeywell International Inc. (HON), Emerson Electric Co. (EMR),
United States Steel Corp. (X).
: $ 1124.3
Services . ,
- ,
.
,
. , , , , ,
, , .
, ,
( 50%).
. - ,
, , ,
. ,
.
(
), , , ,
, .. Wal-Mart Stores
Inc. (WMT), United Parcel Service, Inc. (UPS), McDonalds Corp. (MCD), Walt Disney Co. (DIS),
Comcast Corp. (CMCSA), News Corp. (NWSA), Visa, Inc. (V).
: $ 2936.7
Technology .
- ,
, ,
-
10
, .. ,
,
. , ,
, - ()
.
: , , , ,
, , .
,, -, , ,
, .
: Apple Inc. (AAPL), Chine Mobile Limited (CHL), Microsoft Corporation (MSFT), AT&T Inc.
(T), Vodafone Group plc (VOD), International Business Machine (IBM), Google Inc. (GOOG), Cisco
Systems, Inc. (CSCO), Intel Corporation (INTC), Hewlett-Packard Company (HPQ).
: $ 5309
Utilities .
, .
, , ,
, , ,
, , , ,
, , ,
, .
-
. Exelon Corp. (EXC),
National Grid plc (NGG), TransCanada Corp. (TRP), Southern Company (SO), Dominion Resources,
Inc. (D).
: $ 764.2
.
, .
Finviz.com, .
(
, ):
-
11
.3 Bank of America (Finviz.com)
1. , .
2. , .
.
3. P/E Forward P/E. P/E ,
. P/E , .
Forward P/E .
4. . -
(, S&P 500),
. ,
S&P 500 S&P
500.
5. . , .
6. . .
, , , .
7. Book/sh ( ),
,
. , .
-
12
8. Short Float
. Short Float ( 5%) , ,
( )
, , .
Short Float 20% -
.
, ,
100%- , ,
, ,
.
,
.
, ,
, .
.
.
.
. (Reuter, Bloomberg, Briefing),
(Consensus)
( ).
, , ,
.
:
(Revenue) / (Net profit) (share) Earning per share (EPS):
EPS=Net profit/Shares
-
13
.
( ),
, ..
. ,
.
, ,
.
,
.
.
.
, , . . .
, .
, " " -
Standard&Poor's, Moody's, FitchRatings , .
, .
,
, ,
. , ,
, . ,
- .
, , ,
. , , ..
,
. ,
.
,
.
, ,
, .
-
14
.
,
.
. , , ,
.. ,
, , .
- .
, ,
.
, ,
.
, . ,
(, ) ..
, .
,
.
. , ,
, FDA (
)
.
(): , ECN,
, , , ,
, .
( ) (
) .
,
.
.
-
15
Spread () (Bid) (Ask).
, ,
. , ,
, ( bid ask)
. .
. ,
, .
, ,
( ) .
,
,
. ,
, , .
: (. .4).
, ;
.
, ;
.
.
.
. ,
: ()
() (. .4).
:
( - uptrend);
( downtrend);
( side trend, flat)
-
16
.4 ARIA (),
, range
- .
, .. ,
.
.
.
, 42.00, 42.50.
3.75 5.25 .
50.00, 100.00, 10.00, 25.00 ..
- ,
.
( . 4 5 ).
Range (). ,
,
(. .4).
, Range.
.
.
-
17
, ()
, . .
.
.
,
. ,
.
, .
ECN (Electroniccommunicationnetwork); ,
, ,
, ,
. , ECN,
. ECN-, Instinet, 1969 .
: Limit, Market, Stop Market, Stop-Limit, MOO, LOO, MOC
Limit Order ( )
, , .
, . , 10 ,
(.. ) 10 .
,
. ,
. .
Market Order ( ) ,
, .
-
18
:
. ,
,
, , .
: ,
. ,
.
Stop market (-) ,
.
.
Buy Stop (- )
, Sell Stop (- ) ,
.
Stop Limit Order (- )
: . ,
. : , -,
. , , -
.
.
Limit-on-Open (LOO)
. , 1000
, $50. Limit on Open (LOO)
$50. 50
, . LOO .
Market-on-Open (MOO) , ,
.
Market-on-Close (MOC) ,
, .
MOC
() . NYSE, MOC
15 .
-
19
: Chart (), Level II
(), Time&Sales (), .
Chart ().
(chart). :
(line charts);
(bar charts);
(candlestick);
(histogram).
(candlestick chart),
, , , . ,
.
:
.5
(,
).
.
,
, ,
.
-
20
.6 ARIA Arche
, , , ,
/ , .
, ,
/ , , , , ,
, ..
Price Action.
,
. ,
,
. ,
.
Arche :
http://www.youtube.com/watch?v=fP9mroQRr_8
Level II () Time&Sales ( ) -
, ,
.
,
Time&Sales.
, .
-
21
.7 Level II () Time&Sales ( ) Arche
: , ,
, , .
, .
, ,
.
Level II ,
,
, ,
.
-
, .
,
, ,
. ,
-
22
,
(. . 8).
.8
Level II Time&Sales :
http://www.youtube.com/watch?v=m_FlBd9ergU
http://www.youtube.com/watch?v=IIYSif0OJfo
, , ,
, .
.
, -, -, -
.
// , .
-
23
? , ,
, . , ,
, .
,
. ,
(, ..).
, ..
, - PnL +/- 100
, - .
,
!
10% , ! , ,
.
, , ,
, , (
).
,
, , , ,
, . !
, ,
,
, ,
.
, ,
, .. ,
, , .
,
.
. 10 000
, ,
2000 , .
,
-
24
,
, ( ) ,
SNP500 (E-mini), Light Sweet .
-
.
, .
.
,
, ,
, ,
, ,
.
:
, ,
, ,
,
,
, ,
,
C , .
. ,
, , .
,
- , ,
, .
-
25
:
.9
:
Level II, , .
,
, .
, .
, , ,
, .
,
, ,
.
-
26
. , ,
.
,
.
:
, . -
. :
SIRI Services. - ,
. , 1
, . .
KEY , Financial. , SIRI, 3-5 .
+1, +2.
AMD , Technology.
, 5
.
NOK Nokia, Technology. -
ADR ( NYSE, )
, -
. AMD, NOK 3-5 .
S Sprint Nextel Corp., Wi-Fi , Technology.
5 , 10
.
,
. :
BAC Bank of America, .
10-25 , 50 .
DELL , .
(MSFT, INTC, HPQ) . AMD,
.
-
27
INTC Intel,
. , DELL, 20-40 .
XRX Xerox, Technology.
, 20 .
MSFT , Microsoft.
. .
CSCO Cisco Systems, .
. 20-40 .
T AT&T, Inc.,
Verizon (VZ).
.
C Citigroup, , . ,
.
. 30-80 .
JPM JPMorgan Chase & Co., , Financial.
, JPMorgan .
.
BBT BB&T Corporation, , .
,
.
MO Altria Group Inc., , Consumer Goods (
). 20-50 .
GE General Electric, Industrial Goods ( ).
, .
-
28
ECN, , . /
, .
ECN (Electronic communication network) -
- . ECN
, . ECN
. , ECN,
(), .
ECN (ordermatchingsystem),
( )
(, , ). , ECN
/ LEVEL II
( ).
.10 ECN
LEVEL II , ,
/
. , ,
, LEVEL II ().
, ECN.
-
29
.11 ECN Level II
, ECN, , , ? !
, ,
(Time & Sales), , .
? ECN, ,
, . , ,
(), ,
. .. ,
, , .
, .
,
, .. , /,
(. rebate).
:
.
(LEVEL II) , . ..
- .
, . ECN :
, . ..
.
-
30
,
,
. .
Level II ():
, (Bid) 11.60
(Ask) 11.61 . ,
. ,
11.60 ( 11.60 ) 11,61 (
):
.12
.
11.60 11.61,
.
, ,
.
, .
, . , ,
-
31
11.60 11.61. ! , .
11.60, Bid,
11.61,
Ask. , -
( , ,
). :
.13
,
? .
,
,
. , ,
? ,
, ,
. . ..
, .
.
, ,
, (. routing),
, ,
.
, ,
, , .. ,
-
32
, .. . ECN ,
ROUTING OUTSIDE THE ECN, .. , . , NYSE ARCA
ARCA 0,003 ,
, NYSE 0,0024, .. ARCA .
,
( ,
, United Traders
ECN).
,
. ECN ,
, LEVEL II:
NYSE ARCA ECN, 0,0021
0,003 ,
() ECN.
NASDAQ , ECN,
, ,
LEVEL II , BID = ASK, 0,0020
, 0,0030 .
BATS ECN, , ,
0,0025
, 0,0029 .
EDGX ECN , 0,0023
, 0,0030 .
EDGA ECN, , ,
0,0003 ,
0,0007 .
, ,
:
BATS BYX 0,0002 ,
BYX, ECN 0,0003
.
-
33
NASDAQ BX , BYX 0,0005 ,
ECN LEVEL II .
0,0018
.
CBOE CBSX ECN, 0,0015
, LEVEL II, ,
$BAC $SIRI $AMD $NOK $S $KEY .
0,0018 .
, ,
ECN . ,
, , .. ,
. , , 10 000
. , , .
, : ,
LEVEL II ECN , ..
BID ASK. 0,25
. , 0,005 ,
( ASK, BID),
1,5 (-).
LEVEL II ,
0,5 , ,
. 50 000,
250 . , ,
, , , ,
,
, .
, ECN ,
, ,
, ..
. : , ,
-
34
, ,
, , .
ECN EDGA,
(Hot Key), , .. ,
, . :
ECN LEVEL II,
, 0,0007 , , ,
, .. ,
, , NYSE ARCA.
, , .
. , ,
, Darkpools. ,
, Bats, Arca, Edgx , ,
. ,
:
.14 Time&Sales ( )
,
.
-
35
.
, ,
, .
,
1- ,
, ,
. , ,
, .
, .
: ECN ( ECN ) Level II ()
Time&Sales ( ) Arche:
, , .
level II , ,
, .
-
36
. , ECN
,
.
ECN, , BATS,
, . , BATS
$2,50 10 (1000 ). ,
, . 1 (100 ) BATS,
ECN 11 (10 ,
+ ). , -
1100 BATS ( ).
, , . -
1100 , 100, ,
, . ECN
, ,
.
ECN, ,
-. , 2.51 30 3 ECN,
10 (1000 ).
, .
, . : 2,51
ARCA, BATS CBSX, 1000 . -
500 ARCA (
ARCA ,
), ,
,
.
, .
.
, . ,
(
), ,
, , :
-
37
.15
. ,
, . ,
, ,
, .
, .
.
.
-. ,
, . ,
LOSS FROM TOP.
, - -
.
.
, ,
- -.
-
38
,
. , , . ..
, , , , ,
. ,
. , .
, , ,
, , .
. 100
300 , 20- , 500 . , 100-
, , , 15 25 , ,
20- , 30 , , ,
. , , ,
, , . :
10 , 15 , 2 ,
500 , 100. : 10 , 40
, 15 , , ,
, . -,
, , , , ,
, 70% .
( , , , .
$FSLR , $BA, ,
, ,
.)
? , ,
,
. Loss From Top.
Loss From Top .
, , 50 70 , ,
20 , ,
. .
. 3 ,
10-15 . ? 4-
-
39
, 3- .
, .
4 , 10. ,
, .
.
, . ,
.
,
.
, ,
, , .
, , .
.
. , ,
.
, /.
, ( (
), , , ..),
, ,
/ : ,
LEVEL II Time & Sales. ,
. , ,
, .
. :
? ,
. , .
. 50% .
, / -
-
40
, . -, , ,
. , ,
. ,
, .
.
, , ,
, . , ,
, , , ,
. , ,
. WashTrades .
,
.
:
FINRA (Financial Industry Regulatory Authority)
SEC (The United States Securities and Exchange Commission)
CFTC (U.S. Commodity Futures Trading Commission)
SEC FINRA, CFTC .
SEC (The United States Securities and Exchange Commission)
, ,
.
SEC 1934 , .
, ,
,
. ,
, .
SEC ,
. , ,
-
41
, 1934 . SEC
, , .
,
.
SEC:
,
.
.
, .
, ,
.
,
.
. ,
,
, .
SEC :
.
spoofing ()
,
.
wash trades ,
.
.
- .
-
42
.
FINRA (Financial Industry Regulatory Authority) -
,
. FINRA 4500 , 167
, 637 .
FINRA ,
, ,
.
, 20
.
: 73
, , , .
FINRA ,
2003 ,
.
FINRA:
/
,
. New York Stock Exchange (- ) ,
NYSE Arca, NYSE Amex, The NASDAQ Stock Market, International Securities Exchange
,
FINRA,
-
43
,
FINRA
, FINRA :
,
,
. , . .
/ . ETF
.
, .
,
( ),
( , ).
(,
) ,
.
:
, ,
. :
, .
, . -
.
()
,
-
44
,
.
,
, -, .
NYSE NASDAQ , -
.
, . ,
, .. ,
( ) . -
, . ,
/: ,
SNP , ,
- . ,
, , , ,
. /.
.
. , ,
, , . .
, , , , ,
, . , ,
.
, , ,
: ()?.
, -
, ().
(
):
SNP 500 , ,
,
, . ( ),
, , , , ,
-
45
. , ,
( ) .
Light Sweet , .
, ,
, ,
, . .
( . ) -,
, ,
: , 100 , , -
. .. , (!) ,
. ,
, , ,
. ( ) .
,
,
/. ,
( , ,
, , , ,
. ,
.
, ,
/ /,
. , $C (Citigroup) ,
,
, $JPM $BAC, $BBT $PNC,
, $FAZ $FAS , ,
. . $PNC -
,
, .
, $PNC , ETF $FAZ ($FAS),
($PNC) ( ) ,
, , $C $BAC, ,
-
46
, , , .
, .
ETF, . ETF (Exchange Traded
Fund) , ,
. F
- , . ETF
(XLK, XLF .), (SPY)
. S&P 500 ETF
S&P 500 SPY.
, ,
,
:
: SPY SPDR S&P 500 ( ); C Citigroup, Inc.; JPM JPMorgan Chase
& Co.; BAC Bank of America Corporation; GS The Goldman Sachs Group, Inc.; BBT BB&T Corporation;
PNC PNC Financial Services Group Inc.
- .
. $UAL $DAL $LCC, SNP 500
DJIA, , ,
-
47
, , . ,
, ,
, , ,
. ,
, .. (), SNP
500, , $LCC
, ( $USO):
: SPY SPDR S&P 500 ( ); UAL United Continental Holdings,
Inc.; LCC US Airways Group, Inc.; DAL Delta Air Lines Inc.; USO United States Oil
, ,
,
, , , , ,
, , / ,
, ,
. .. (, ), ,
, ..
, 2000 :
-
48
: XLK Technology Select Sector SPDR; XLF Financial Select Sector SPDR; XLP
Consumer Staples Select Sector SPDR; XLE Energy Select Sector SPDR; XLV Health Care Select Sector
SPDR; XLI Industrial Select Sector SPDR; XLB Materials Select Sector SPDR; XLU Utilities Select Sector
SPDR; XLY Consumer Discret Select Sector SPDR; SPY SPDR S&P 500 ( )
SPY . , ,
, 2012 :
, , ,
, , .
, , :
-
49
,
, , (14.09.2012), ,
,
.
: SPY SPDR S&P 500 ( ); T AT&T, Inc.; VZ Verizon
Communications Inc.; XLK Technology Select Sector SPDR
-
50
, SNP 500 ( ,
, ETF SNP 500, , , ).
, :
: USO United States Oil; XOM Exxon Mobil Corporation; SLB
Schlumberger Limited; CVX Chevron Corporation
, , :
: GLD SPDR Gold Shares; NEM Newmont Mining Corp.; KGC Kinross
Gold Corporation; ABX Barrick Gold Corporation
-
51
, , (LEVEL II + Time & sales)
(, $SPY, ). ,
, .
, ?
, , , -
, , -
, , ,
3-4 . , , ,
, ,
() . , ($USO)
, $SLB (ASK),
, , (BID). ,
, , ,
.
,
.
( ):
,
,
,
,
, ,
():
, ,
( , , $TCK)
, ,
.
:
-
52
( ), ,
( )
( ), (+
)
, /
ETF .
ETF . ,
. ETF :
XLK Technology Select Sector SPDR ( : AAPL, IBM, MSFT, T,
GOOG, ORCL, VZ, CSCO, INTC)
XLF Financial Select Sector SPDR ( : JPM, WFC, BAC, BRK.B,
C, GS)
XLP Consumer Staples Select Sector SPDR ( : PG, PM,
WMT, KO, KFT, MO, CVS, PEP, CL)
XLE Energy Select Sector SPDR ( : XOM, CVX, SLB, COP,
OXY, APA, HAL, APC, DVN, MRO)
XLV Health Care Select Sector SPDR ( : PFE, JNJ, MRK, ABT,
UNH, AMGN, BMY, LLY)
XLI Industrial Select Sector SPDR ( : GE, UTX, CAT, UPS,
MMM, BA, UNP, HON, EMR)
XLB Materials Select Sector SPDR ( : FCX, DD, DOW, MON,
NEM, PX, APD, AA, PPG, NUE)
XLU Utilities Select Sector SPDR ( : SO, EXC, D, NEE, DUK,
FPL, AEP)
XLY Consumer Discret Select Sector SPDR ( : DIS, MCD,
CMCSA, AMZN, HD, F, DTV, NWSA, TWX)
-
53
ETF .
? , ETF . ,
.
ETF .
( (),
). ETF :
: XLF (Financial Select Sector SPDR) , BAC Bank of America; JPM
JPMorgan Chase; WFC Wells Fargo & Company
, ETF ,
,
.
.
, ETF
. ETF :
-
54
: XLK (Technology Select Sector SPDR) ; INTC Intel Corporation;
MSFT Microsoft Corporation; DELL Dell Inc.
ETF ( ,
, , ),
( ).
.
.
, .
Time&Sales Level II , . ,
, ,
.
,
.
,
.
, . :
-
55
day-high ( ) day-low ( )
()
(52-day high low)
( )
, ,
,
:
( ).
() 5.36,
(day-low). , day-low
( ).
5.36:
, ,
. 20.20 20.30
-
56
, .
(, , )
. 20.20, :
- (day-high),
. , 137.00
( ).
137.00:
-
57
, .
Level II Time&Sales.
, ,
.
.
. :
-
58
.
, . ,
(+), ,
,
, , . , ,
, , ,
, Size
Ripping. ,
, , ,
.
?
, . ,
(), (LEVEL I), ,
, : , , ..
, .
Arche.
, , :
( , .) ,
,
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