AgeKay

Pulled orders, little depth on one side or huge depth on another side.

Or help them make more profit. To beat them, you would have to detect and execute these trades faster than they do it. If you are just a little slower than they are then you would actually help them (while still being able to profit).

Thanks for the answers UrmaBlume, but I think you misread my questions. I wasn't questioning your use of constant volume bars since they make total sense to me. My first question was with regards to a comment you made on the trade intensity thread: When I read that comment, I thought you were looking for trades that have constant trade sizes in the trade intensity calculations. For example, I 1000 lot trade being choped up into 10 trades with 100 contracts each.

It seems that you don't want to get more specific on how you calculate your indicators. But could you at describe the logical reason behind the calculations that you do? For example, why are you looking for constant trade sizes in your trade intensity calculation, is that because these automated trades are stupid enough to make them all the same size, or is that a misunderstanding on my part? Or why don't they just drop a 1000 contract order when they see it bid or offered in the order book? Obviously, they have a problem both ways. If they chop it up, you guys see it, if they don't everyone else sees it.

He is working on two trading books (and a few poker books). I don't know when they come out, but I know their titles: - "Practical Short-Term Trading - Techniques & Technologies" - "Practical Technal Analysis of Price and Volume in Today's Markets" "Pratical ..." seems to be his trademark. His poker book also uses that in it's title. I doubt that he will organize seminars. He does not seem to be that kind of guy (from reading his threads and listing to a few poker interviews).

What is tick intensity / TradeTickometer? Looking for no visible bars on that TimeHistogram seems to be pretty good at predicting turning points.

I think this is a mistake since you treat trades that come very quickly like a trade that came after exactly 1 minute (if your time unit of intensity is per minute).

I found this post on "How Does This Compare to Your Approach" interesting and have nominated it accordingly for "Topic Of The Month January, 2009"

I did not mean the latency of your internet connection. The latency of your internet connection only determines when you get the data, not when the individual actually trades occurred. Maybe I used the wrong word. I think the problem lies with the data provider. What I mean is: If the feed provider cannot process the data it receives from the exchange fast enough or uses outdated technology (bad programming or slow hardware), then for them the trades will in fact occur at the same time so they distribute the trades with the same time stamp. What you really want is time of the trade at the exchange but the feed provider might not request this from the exchange to save on bandwidth and then set the time themselves. Or it's NinjaTrader that replaces it with the local time of your computer. Or you might even be responsible yourself since you said you use 'DateTime.Now.Ticks' which will use the time of your computer, not the time when the trades actually occurred. Does NinjaTrader provide a way to access the time of the trade at the exchange? If so, you should try using that.

Have you tried setting the time span to the latency of zen-fire in that case instead? What I mean is, if the smallest time difference of zen-fire trades is 10ms between every trade, then you should set the time difference to 10ms if you get 0 since the time difference must have been lower than this threshold/latency. This would be a good approximation until you get a feed with no latency.

So what do you do with the time differences of zero since you can't divide by zero? And what do you mean by FTSE? Is that the sample output of the UK FTSE 100 stock index?

Had all of these trades the same size?

UrmaBlume, thanks for chiming in. Do these program trades always chop up their orders in constant sizes? Seems rather dumb to me if they want to disguise their intentions. What do you mean by trader commitment?

BlowFish and honvly, thanks for posting, very cool. What feed did you use in that case with NinjaTrader? BlowFish, what calculation did you use for your indicator? Something similar to my interpretation? honvly, what do you with the 3-7 ms differences with regards to the formula I posted?

Oh, I forget to mention that I don't just look at 'delta' but also at the total volume. A delta of +500 is less significant for me when there were 5000 contracts traded than when only 600 contracts traded.

Completely agree. I don't even think the way that delta is presented in MarketDelta makes much sense. In my experience (which is not great, mind you) it really depends on the market. Yes in the ES this seems to be true, but in many correlated markets like the FESX this is not the case. The problem with how most people look at delta is that they put it on the wrong type of chart and/or periodicy. What was yours? I haven't seen the chart type I use implemented in any commercial software. Also the delta is not going to help you predict the next 10 ticks, but it's good for the next 2-4 ticks. I also found delta to be the most helpful at certain support/resistance prices. You can't just go "oh, a lot of aggressive buying here" and buy when it's just about to reach a resistance. I guess, it's best combined with price action. It's effectiveness also really depends on the market. Example: Works very well on Bund, but it is a lot less reliable in the Schatz. It also works ok on the FESX, but there is a lot more 'noise'. Can't commend on the U.S. markets because I have not researched them enough with regards to delta. I have created a DOM that shows this but I have not hooked it up to real-time data yet. The problem I suspect though is that the DOM is less helpful that it was years ago because there is a lot more algo trading that is responsible for much of the order pulling which might not necessarily mean anything. Even Paul Rotter, the god of DOM reading, said a few years ago that all those computers in the Bund made his job a lot harder. That's why I am so interested in how UrmaBlume is using the tick data differently to determine 'buying' and 'selling'.

Of course, it's not as simple as that, and it completely depends on your approach and market. But based on my personal testing I have found that in the very short term in certain markets, market orders are responsible for 80%-90% of the movements. This varies significantly though for different markets.

I know of a U.S. broker that currently has the following margins and commissions: Contract | Commission per round trip | Intraday margin | Overnight margin FESX | <= 2.5€ | 800€ | 14700€ FDAX | <= 2.5€ | 3500€ | 3300€ FGBS | <= 1.9€ | 100€ | 400€ FGBM | <= 1.9€ | 200€ | 800€ FGBL | <= 1.9€ | 400€ | 1400€ FSMI (not available) PM me if you want to know the name of the broker.

Dude, chill out. So far this guy has not tried to sell anything and his ideas make sense compared to the bullshit (sorry, but that is my opinion) that is generally discussed on trading forums (I think that's what he meant by 'bleak technical discussion'). And why the hell do you get worked up on a user name? ('Blume' in German means 'flower', by the way and his last name sounds German, so he might know a little German.)

Can you please point out these flaws? (I am genuinely interested because I am using the same designation in my trading) P.S.: It would be very appreciated if you could describe your approach on designating 'buying' and 'selling' volume.

The Sharpe ratio that is mentioned in this article has one big flaw that many people do not consider: It penalizes big profits. So if you make 10% profit in a day where 1% is standard, the standard deviation will be huge and therefore the Sharpe ratio rather low. There are much better measures for consistency, but I don't want to get into that...

I was specifically asking UrmaBlume to comment on his terms since many people mean different things by them (as evidenced by your definition). The bid/ask delta that you are talking about was made popular by MarketDelta.com, which has much better visualisations of this information than the product you mentioned. I don't think it is fair to say that this is superior to UrmaBlume's approach since he has not explained yet exactly what it is.

Hey UrmaBlume, sorry for posting in all of your threads, but I find all of them very interesting. Please clarify the following for better understanding: What does 'buying' and 'selling' in the current order flow mean in concrete terms (since the every trade represents a buy and sell)? When you talk about 'buying and selling', 'buying and selling strengths', 'buying and selling power', 'buying and selling surges', are you always talking about the same concept or does each of these terms mean something different? What do you mean by order flow? Time & sales or the changes in the order book? The reason I am asking is that many people use some of these terms but they may mean something completely different.

I think UrmaBlume is onto something real here, but unfortunately your chart and vague descriptions do not get the concept across of what you are doing. Please don't understand me wrong. I do appreciate you sharing your indicators and that's why I want to understand them. Your effort of writing these threads is wasted if no one understands what you mean exactly, so please define the following terms that you used in your first post: 1. Selling power and buying power. What does ... power mean? 2. Buyer is in charge and seller is in charge. What does being 'in charge' mean? 3. Buying and selling volumes. What are buying and selling volumes? Volume on the current bid or ask? 4. What volume inputs exactly? All I am aware of is the trade size and whether the trade was on the current bid or ask. How do these relate to each other?

Hey UrmaBlume, thanks for sharing this indicator. I am not sure whether I have correctly understood how you actually calculate 'trade intensity', so can you please correct me if my interpretation is wrong on how you calculate this: - You calculate the time span between to the current trade and the previous trade (that's why no latency is so important) - You then divide the number of contracts of this trade traded by this time span. For example, 40 contracts were traded after just 0.0001 minutes (=0.06 = 60 milliseconds). So you do 40 / 0.0001 = 40.000. That would mean that the 'trade intensity' would be 40.000 contracts per minute. What I am now wondering is how you you summarize this information for all trades that occur in 1 minute. Do you have one bar for each second that is the average of the 'trade intensities' in that second?