During the day, I like to look for where the market is facilitating trade, and where trade is shutting off. I find the Market Delta charts especially helpful in that regard.
Note (blue line at right) how we failed to facilitate trade above the 1137 area in ES through the morning. At the same time, as we moved on in time (green line above), we can see that less volume was being transacted around that 1137 price. That was a good indication that we would not be able to sustain price above VWAP (red line above), negating my earlier idea of a transition trade to the upside.
This is a nice example of how you don't have to wait to be stopped out of a trade by adverse price action to get out of an idea that isn't working. If trade is not facilitated in the direction of my trade, that's good enough reason for getting out. If you're not getting killed on commissions, you can always return to your idea and re-enter the position should trade flows shift your way.
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