Native Stop Run

Definition #

A stop run is a sequence of consecutive stop orders in the same direction.

A native stop run is an order book event. Based on MbO data, we have developed a unique algorithm that recognizes the stop runs in the order book. A symbol and description will appear on the chart in real time.
The appearance happens when the TTW-TradeFinder algorithm detects and analyzes the data event as a stop-run. Technically, a stop order is usually a market order.

Strategy #

When a Native Stop Run occurs, market or limit stops are executed immediately at the current market price.
The trading suggestion is to wait until after the native stop-run event.
Two probabilities are at hand:
a.) make a direct countertrade after market orders occur in the opposite direction (look at the Price Dynamics Plot)
b.) wait for the re-test. Look for divergences. By divergences, we mean to look for fewer buyers (in the case of a Buy Stop Run) or fewer sellers (in the case of a Sell Stop Run).

License #

ULTRA

Stop Order Characteristics #

The Stop order type is an order that, when accepted, does not immediately go on the book but must be “triggered” by a trade in the market at the price level submitted with the order. There are two types of Stop orders: the Stop-Limit, which goes on the book as a Limit order when activated, and the Stop with Protection, which goes on the book as a Market order.
Source: CME Wiki

Scheme #

In this example, someone placed a market order of 300 lots (the „trigger“), which increased the price by 2 ticks.

The price movement triggered the first two stop orders, so they were executed as market orders of 30 and 70 lots.

This pushed the price further up by 1 tick, which triggered the third stop order of 10 lots.

During this stop run, 3 stop orders with a total volume of 110 lots were triggered.

TTW-TradeFinder Settings (Version 3.7 and higher) #

The “Native Stop Run” Signal is a part of TTW-MarketExplorer module.

Enable

Enables the “Native Stop Runs Signal” function.

Trigger Volume

The trigger volume defines the minimum stop volume which must be transacted or executed to be depicted on the chart.

Please MIND!
Every Instrument trades with its volume and liquidity. Volume and liquidity changes along a trading day. The ETH volume is different than the RTH volume. 
You must be aware of the current volume to get the best signals. Please see our LiquidyTracker explanations and recommended settings.

Price Range [Ticks/Cents]

The price range defines the minimum price range in ticks or cents (see brokers’ specific instruments increments descriptions) a volume stop must trade “through”.

In the above example, 4 ticks for ES means the stop run must trade through at least 4 ticks or 1 point to be displayed on the chart.

Visuals #

Visual setting for Native Stop Runs

Signal Settings for Buy Stop and Sell Stop Signal

Design

Customizable from Symbol Only, Compact, Advanced, Professional

Symbols

Arrow, Triangle, or Flag gives the signal a link to the event.

Color

Different customizable colors.

Transparency

Defines the symbol transparency on the chart. Makes it easier to spot crucial signals on the chart

Layout

Different Layouts are possible by dragging the slider to the right.

Position

Position the symbol on the chart to avoid interference with different symbols.

Size

It makes the information within the symbol box readable by enlarging the characters.

Blue Colored Sweep #

See as well: https://ttwtrader.com/docs/ttw-tradefinder-stop-sweep/

A blue colored Sweep represents a

  • Single Stop Run! as a Sweep

Several blue-colored sweeps can be single events or will appear on the chart with a Native Stop Run.

Blue Colored Sweep with a Native Stop Run!

Example #

The example above shows a real-time Native Stop Event on the chart.

The Buy Stop Run includes the following real-time information

  1. Buy Stop Run or Sell Stop Run
  2. Executed at a price of 3613.50 ES.
  3. 521 lots were executed market
  4. Stop run took 7 Ticks
  5. 27 orders were traded to execute 521 lots at market
  6. The transaction took 106 ms to finish the stop run

Blue Sweep #

1 single stop order was executed with a size of 450 contracts.