What is tape re ading?
用学术语言：
Tape reading is the art of studying pure price action in real-time, based on the data fields in the Level II box. Using the tape you are able to gauge player’s psychology and imbalances in supply and demand to formulate trades.
大家都在说indicator, Tape Reading 是最好的Indicator: it analyzes current: bids, offers, and volume transacted at a given price.
Why is tape re ading important?
Because it gives you an edge, an additional tool to improve your entries, exits, and trade management.
What can you se e on the tape that you can’t se e on the charts?
Bar/Candlestick charts depict a range of price action defined by the open price, range, and close price, over a specific interval of time, or in the case of tick charts the price action over a specified number of transactions. What the individual bars don't tell you is how bids and offers acted at a given price, or the specific volume transacted at a price, within the time-frame (or transaction count in the case of tick charts) of the individual bar. By reading the tape you can see the active buyers and sellers and see what levels they are participating at by watching the supply and demand they seek. You can follow a certain buyer and recognize the pattern in which he is accumulating the stock. The same goes for sellers. With tape reading you can feel how the market is taking your orders and have a sense as to whether a certain stock is weak or strong. For example: if a stock looks weak on the chart but it is very difficult for your bid to get hit then that is a clue that there is not that much selling happening, so the stock might not be that weak after all… but more on this later. Finally, charts are showing you past data... granted charts are valuable, but when you mix tape reading and technical analysis you will have an edge many intraday traders do not possess.
举一个例子：
在这张图上你可以看到GMCR有一个大爆发，接着还有几次跳跃，你的进入点在哪儿？
your entry would have been long at $34.15 when it broke the high or even $33.96 when it broke the mini range. By using the tape to find an entry you would have noticed there was a held bid and accumulation around the $33.50 level. You could have gone long at $33.51 with a stop at $33.44 (or when the bid dropped and offer held below 50c). That would have been a great entry and tighter risk using the tape instead of getting long at $34.15 or $33.96 risking about 50 cents. Also, your risk reward ratio is heavily skewed in your favor using the tape.
再看一个例子：
Below is an example of lowering your risk while finding great entries and exits:
ASTM was in play after a trading halt, and subsequent re-opening, moving down sharply, we don’t usually play stocks that are/were halted but this presented a great risk reward situation to enter a trade. Although ASTM is a cheap stock (we don’t usually trade sub $10 stocks either) there was a great opportunity to trade it. ASTM opened up after the halt and dropped sharply. We looked for a great entry to short while keeping our risk low. ASTM bounced and started to hold an offer around $3.60. Also, when the offer was being held another big offer showed up. You can't see that on the chart, but you can, if you know what you are looking for, see it on the tape. We got short and waited for the offer to get filled to get out. Our risk was about 3c if we saw the order decrement quickly we would have hit it also and not waited for it to get filled. Some of the order got filled but not quickly then the stock dropped. The stock kept dropping and the offer kept stepping lower. Finally the remainder of the order was filled around $3.15 where we exited. Not a bad trade risking a few pennies to make about 45 cents.
LEVEL2系统讲解 （参考第一张图）
左边是bid, 右边是ask. 每行是一个order. 包括MM的代码, 价位, 和手数. 同一价位的单子用同一颜色来表示. 哪边同样的颜色靠下, 哪边的单子下得多, 一目了然.
Island的数据类似. 但是没有MM的代码, 却有数字在左右栏下面, 说明除了列表内的单子, 还有多少下单.
我总是也只能用最苯的方法来观察, 但还是要综合起来考虑:
1. 如果哪一边的单子多, 说明哪一边的力量大. 这是self explain的.
2. 但是要看每一笔的手数. 单笔单子数额大, 更有可能是大户或庄稼在出货或吃货. (观察单笔成交)
3. 还要看单子数目的变化. 如果一边单子多, 但另一边在增加, 说明看多或看空的人逐渐在增多.
4. 如果卖单多于买单, 不论单笔手数多少, 但价格并不下降, 而且缓慢攀升, 说明有人在吃货, 后市看好. 反过来则看跌.
5. 如果下降缓慢, 但有迅速拉高, 特别是在几秒钟内在某一价位(比如$30的股票, $30~$30.50)的单子全部被吃掉, 即便今天不涨, 转天必定跳空高开.
6. 如果成交缓慢, 而且bid/ask之间价差(spread)较大, 要等. MM还没决定何去何从.
7. 骗线. 如果卖单里有一笔超级大单, 卖单也很多, 但股价下跌并不多, 而且当买盘逼近这个卖单的时候, 这个单子突然被撤掉了. 往往是庄稼的"盖板". 货还没吃够. 往往这时候股价会上一台阶, 然后再照此办理.
8. 但小心如果这个大单是被逐渐吃掉的, 买力很强而股价变化不大, 是庄稼出货.
9. 结合实时图表, 可以互相辅助判断是骗线还是真实形态.
10. 通过MM代码可以观察从某一MM的进出情况. 但肉眼不容易判断. 从同一个MM出来的单子不一定都是机构自己的, 如果MM是broker, 会有其客户的单子. 但机构的单子往往会比较大, 要结合单笔成交来判断. 最好是有程序.
以后有时间的话将继续写第二部分
