Interview noteThis page restates a public interview in new words. Dollar results, win rates, and payouts are claims made by the speaker or the host. They are not this desk's record, and they are not a result to expect.
Marco is a former institutional trader, from a private asset-management firm, and the retail system he shows the firm is the one he says he has lived on for years. The host's frame is five-figure gains and winning trades scaled into tens of thousands of dollars. Marco's own frame is smaller and more mechanical. He traded hundreds of contracts. He saw sums worth millions. A retail click is in and out, and it cannot push the market. An institution that needs something like 10,000 contracts will move the market if it is careless, and that is a firing offense. The strategies are not a different species. There is a bid and an ask. You buy or you sell. The institutional difference is liquidity and time. The best fill might be five points higher or five points lower, and that is acceptable because the position is thousands of contracts, built over two or three hours or, depending on the firm and the size, a week. He used VWAP then. He uses it now. As a retail trader he is in and out in a minute or in five. As an institution he would still be entering an hour later. Nothing in the session is a promise. The rule he repeats is to sit on his hands until someone large has already pushed.
The tape is the timing. The bubble is the tape on the chart.
Institutional size cannot hit the market. An iceberg showing ten or fifteen contracts, with thousands behind it, gets filled when other people trade into the limit. A market order for that size might move the market ten points. He waits for someone else to hand him the liquidity. On the bid, a market short or a limit buy is what fills him. Retail, now, is the reverse job. He does not hunt liquidity. He hunts the participant who is already moving the market, and he goes with them, long or short, because he cannot move it himself. Level two, level three, and the market-by-order data are hints. A limit can be placed and deleted. He needs to see the push. He is not with them. He is a few seconds after them. Most people try to trade before the institution. A mathematical approach with something like a 55 percent win rate might do that. A scalper or a day trader trying to make a living is on the edge of the market, and the easier trade is the one that waits for the push.
The tool is the tape, times and sales, which he thinks of as the American name for it. He has read the tape since 2010, including his institutional years, and he has not stopped. Since 2019 the same prints sit on the chart as a big-trades indicator. It is a number from the list, drawn at a price and a time. A big bubble is more size, one participant or many, hitting hard. Red was traded on the bid. Green was traded on the ask. Only a market order moves the market. That is the mechanic he treats as fixed. Green is a market buy matching a limit sell. The seller on the ask cannot move the price. Red is a market sell matching a limit buy. If 280 contracts, and he also reads the same idea at 218, hit the bid and the market does not move, he asks who he is to believe he can move it. He prices 218 contracts at about 30 million dollars, or maybe 50 million. A participant trying to put something near 50 million into the market with a market order, and failing, is a warning. Another cluster he adds as 153, 40, 42, 122, and 100, about 700 contracts, which he calls about 200 million dollars, also fails to move the price. Someone is absorbing them.
Absorption and accretion are the whole method. A buyer who actually moves the market is accretion, and he goes long. A buyer who cannot move the market is absorption, and he shorts. Bid, ask, market buy, market sell, limit buy, limit sell. Tick by tick, that fight is the auction. A print he reads near 1,000 contracts, which he prices at 250 million or maybe 300 million, is accepted and the market shoots. That participant was not absorbed. It can be someone exiting a short. It does not matter. Market buys on the ask pushed the price, and he wants in. The stop goes under the big trades, because that is the participant protecting the position. Marco's five contracts cannot hold the market if that participant cannot. In the example the stop is about seven ticks, and the target is the first standard-deviation band, about 26 ticks.
The indicator is not one person slamming 1,042 contracts. Institutions feed an algorithm, a few contracts every few microseconds. The version he uses bunches the tape, for example over 500 milliseconds, and draws the zone. Half an hour into the session, 9:00 a.m. Chicago time, the day is still red and the market is fighting back toward unchanged. Someone hits with 231 contracts and cannot push. That is a direct short. The stop is over the print. The target is the next VWAP level.
The size of the battle is set in the first half hour
Not every print is a trade. People ask whether the filter should be 50, 100, or 300. It depends on the day, not on the name of the weekday. Month-end ETF rebalancing, the example he gives is a 60/40 portfolio, produces very large prints, and he looks only at the large ones. Around the 10th, the 13th, or the 15th, the middle of the month, the battle is often more like 100 or 150 contracts. On the S&P he may leave the setting at 100 and then watch the first half hour. If they are fighting with 500-contract prints, a 100-contract print does not move the needle. If they are barely fighting with 100 or 200, he sets the filter around 150. Zoomed out, the chart is dots. He ignores the small ones rather than changing the number every hour. He is doing the same thing on the Nasdaq at the same time.
A beginner should turn the VWAP off and use ordinary price action. Anticipate a buyer or a seller. A trapped seller is a long. A trapped buyer is a short. In a rising market, big participants who push, or big participants who get absorbed while trying to sell, are the long. He trades after them. Sometimes the delay is a few seconds. They win or they fail. If they win, go with them.
A red bubble in a long trend that does not move the needle by even one tick is the textbook case. An experienced trader can enter immediately. Another can wait for a small break in the structure. He is aggressive. The seller tries, the market holds, the seller tries again and cannot, and price rises. He enters long, stop below the battle, target at the high, because the scenario is price action. The print he is looking at is about 210 contracts. It tried for about seven ticks and could not go lower. Other traders see the failed short and squeeze. The last failed push is the entry. A range chart is what he is comfortable with. A 10-second chart, which he likes, a 15-second chart, or a tick chart with a heatmap will show the same battle. The easy version is price action plus the prints. The located version uses the VWAPs. Price action, he says, can be learned in a week if someone does not already have it.
The target is not one programmable line. VWAP is the first, because those lines usually hold. A price-action level that sits on or near the VWAP is the second. A new battle between buyers and sellers is the third. On the trade in front of them, the second and third standard-deviation bands are on the chart, and price usually cannot travel much further than the third, because it is too far. He is also in front of an old intraday high. The trade is about 58 ticks, which he calls 725 dollars a contract, and the risk is not worth holding for nine more ticks. Sometimes enough is enough. That is discretion, and he says it will not survive being programmed, because the market is different every day. A mechanical VWAP target would not have been the high, and he would still have closed at the high because it was the high of the day.
Above VWAP, the short-term sentiment is long. He looks for green prints that are winning, and for red prints that fail to push, which means they were absorbed, and he goes long on both. A short is available and he does not recommend it. Go with the flow. He will scale. A first buy, a second, a third, and the exit, with the stop tucked so the risk is small and the reward is the point of the style. Not every trade wins. He needs the large winners. The stop is not a price-structure ritual. It is the institution that can protect him. In one example that level is 17 ticks, which he calls quite high. When he enters directly, the stop can be very small. He was on the other side of this. Sitting on his hands, with 5,000 contracts still to buy, he would defend the position if price came back. They called it loading the boat. Icebergs work the same way. His stop goes below that person, because that person can hold the market and he cannot.
Two VWAPs until the volume shows up, and no trade in the middle of a noisy week
He runs a VWAP for the whole day and a second for the American CME session, which starts when the market opens and which he treats as stronger. For a cleaner chart he often starts at the CME open, the line where the option flow and the participants arrive. Before 8:30 a.m. Chicago, not much volume trades, and the options market is not open, so a lot of the flow is missing. The session VWAP is the one with the volume behind it, and it is the one price is holding in the example. By the end of the day the two are similar for mathematical reasons. The session VWAP starts later and is traded more heavily. In the first hour and a half or two hours, the session VWAP is the one that matters. A trader in European hours should use the European or the daily VWAP. A trader active in the US session should use the US session VWAP.
A good-looking bubble is invalidated by the macro and by sentiment, and he does not mean a technical oscillator. A post from Donald Trump, a new release from the Federal Reserve, a Fed week. Monday, Tuesday, and the Wednesday before the speech are days he would rather not trade, or he needs a measured trade that is far enough out to justify it. That part is hard to teach. About 60 percent of the large institutional money, he says, reads what comes across a Bloomberg terminal. The other 40 percent read Reuters. A headline there moves the market. He could still watch the prints, and he remembers that every bubble contains both sides. A red bubble is participants who tried to sell and were bought. When the day is clearly long or clearly short, the prints work. When the macro has made the direction unclear, he trades only the extremes, and the VWAP shows him what is expensive and what is cheap. A battle at the second standard deviation, in a range whose direction he does not trust, is a trade he wants, whether the bubble is a clean green push or a large red failure. In the middle of that same unclear day, he does nothing.
He would also leave behind the idea that institutions hunt retail stops. A stop can be run into by accident. If he needs to buy 5,000 or 10,000 contracts, one retail contract does not matter, and nobody is moving the market with 500 contracts to collect it. A CFD trader is not even in the market those orders live in. Fair-value gaps and order blocks are names he says nobody uses on an institutional desk. A sweep of the book is real. A candle with no wick, or a footprint, or a heatmap, can show that someone swept the offers. A fair-value gap sometimes points at that sweep and does not explain it. The information is the sweep and the size behind it. Below VWAP, at a price he considers good, someone who wants 1,000 contracts will sweep. Learn the auction. Bid is the aggressive sell, market short against passive limit buys. Ask is the aggressive buy, market buy against limit sells. Only the market order moves the price. From tick to tick, that is the mechanism, and the English name he reaches for is auction theory.
Then, he says, learn options, because they have taken over. In 2010, and still in 2015, nobody around him talked about options as a real influence. COVID in 2020 is when it pushed. He thinks option flow was 10 or 15 percent of the volume then. Now he puts it at 55 or 60 percent of the volume, every day. Six years ago, price action was easy. It can still be traded. The more reliable flow, because institutions and market makers use it to hedge, is the options market.