Алексей Боровков – Scalping: The Art of Microscopic Profits. A Complete Guide for Traders (страница 3)
4. Stability: The platform should not "crash" during periods of high volatility.
5. Cost: Usage fees (if any) and data fees.
3.4. Data and exchanges: what to play?
· Liquidity is your everything. Trade only on the most liquid instruments: futures on indices (RTS, MX), on stocks (GAZP, SBER), on currency (Si, BR), blue-chip stocks, major currency pairs (EUR/USD).
· Why? A narrow spread (the difference between buying and selling), high execution speed, large volumes in the cup, which allows you to enter and exit with minimal slippages.
· Avoid: Low-liquid stocks, exotic pairs. Spread and slippage will eat up your microscopic profits.
3.5. Broker: your strategic partner
· Technical support: 24/7, by phone. An order problem at 10:01 should be solved by a call at 10:02.
· Rates: Key point. You need a special rate for active traders (algo trading) with a fixed commission per contract/trade, rather than a percentage of turnover. Consider: 100 transactions per day with a commission of 5 rubles per transaction = 500 rubles per day, 10,000 rubles per month. These are your fixed costs.
· API Access: For future automation or the use of third-party add-ons.
· Gateway stability: The frequency of "disconnections" from the broker's servers should be zero.
3.6. Workspace Setup: Ergonomics of Victory
· Chair: Ergonomic chair with lumbar support. You will spend hours in a static, tense position.
· Desk: Spacious, so that the monitors are at a comfortable distance.
· Keyboard: Compact mechanical keyboard (e.g. 60%) for quick access to all keys. Place it so that your right hand is on the mouse and your left hand is on the enter/exit keys.
· Mouse: Comfortable, with additional programmable buttons that can be assigned functions.
· Lighting: Does not create glare on monitors. Dim, neutral light.
· Silence: The workplace should be isolated from household noise.
Check list before the first launch:
· Two monitors are connected, and the resolution is set up.
· Wired internet, ping to the broker < 10 ms.
· The terminal is installed, and the hotkeys are set up for your hand.
· The speed of sending an order is checked on the demo account.
· The broker's tariff plan matches the scalper's activity.
· The UPS is turned on and charged.
· All notifications are disabled on the phone, and the door is closed.
Remember: In scalping, you're not only competing with other traders, but also with robots located in the same data center as the exchange. Your goal is to minimize your technological disadvantage. Investing in the right tools is not a expense, but rather a starting capital for this business.
In the next chapter: Once you have the right tools, it's time to learn how to read the market. We will dive into the microstructure of the market: we will learn to read the order book, the trade tape, and understand what the volumes actually show.
Chapter 4: Fundamentals of Market Microstructure: Order Book, Time & Sales, and Volumes
4.1. Behind the Scenes of the Chart: What the Candlestick Shows You
A five-minute candlestick tells you, "The price opened here, was here, closed there." It's like a news summary. But a scalper needs a real-time transcript of events. Who, with what volume, and at what second, moved the price? The microstructure of the market provides the answers by studying the very mechanism of making trades.
4.2. Order book (Level II, DOM) – a map of strength and intentions
What is it? A table of all active limit orders for buying (bid, Bid) and selling (ask, Ask), indicating the price and volume. This is not a history, but the current intentions of the participants.
How to read (basic principles):
1. Real-time support/resistance level: A thick "wall" of large buy orders at a certain price is dynamic support. A sell wall is resistance.
2. Market depth: Total volume at the best prices (Top of Book) and several levels below/above. Low depth = fragility, and the price can move significantly with a small market order.
3. Imbalance: If there is a total volume of 500 lots at the bid level and 100 lots at the ask level, buyers are more aggressive. There is a high probability of an upward breakout if this imbalance persists.
4. "The Fence" (Iceberg): One large application disguised as many small ones at the same level. It indicates the intention of a major player not to show his true size.
5. Cat and mouse game (Spoofing): A large order appears to create the appearance of support/resistance, and then is quickly removed when the price approaches it. The goal is to make other traders react and execute the order yourself
Scalper's tactics at the cup:
· Stop-loss removal: You see a cluster of small limit sell orders just below the clear low. This is a trap. A big player can push the price down so that these stop-losses work as market sell orders, and then turn around and buy cheaper.
· Level break: The price approaches the sell "wall". If you see the volume in the wall start to melt (bids are removed) before the price touches it, it is a strong signal for a breakout. Someone knows that the resistance is weaker than it seems.
4.3. Tape of all trades (Time & Sales, Tape) – the pulse of the market
What is it? A chronological list of executed trades in real time. Each line: time, price, volume.
How to read (the art of Tape Reading):
1. Speed and color: A fast stream of green (up) or red (down) trades shows momentum.
2. Large trades (Print): A trade with a large volume that exceeds the average. It is important where it passed:
· At the ask level, a large volume is an aggressive buyer taking the offer.
· At the bid level, a large volume is an aggressive seller dumping into the buyer.
· In the middle of the spread, it often means an internal trade or position transfer, which is a less significant signal.
3. Clusters of volumes at the same price: If the price is "stalling" at the same level, absorbing large volumes, it is an accumulation/distribution zone. Someone is actively accumulating or selling a position.
4. Inconsistency: The price is going up, but large prints are going down (selling on bid)? This is a divergence, a signal
4.4. Volumes (Volume) – gunpowder for movement
Volume confirms strength. Price movement on low volume – suspicious and reversible.
Types of volume analysis for scalper:
1. Cluster analysis / Delta (Footprint):
· Shows the distribution of volume within the candle by prices.
· Delta (Delta) = Volume for purchase (by market) minus Volume for sale (by market).
· Signal: A strong green candle with a negative delta (sellers are more active at each price within the candle) is a weakness. Large players may have sold to retail buyers during the rise.
2. Volume Profile (VP, Market Profile):
· Shows the prices at which the most active trading took place during the selected period (hour, day).
· Key levels:
· Point of Control (POC) – the price with the maximum volume for the period. The main balance.
· Value Area (VA) – the range where ~70% of the volume has passed. The "fair" price zone.
· Scalping at POC/VA borders: The price that returns to POC often finds support/resistance. A breakout of the VA border with volume is a strong signal to follow.