UrmaBlume

boom, Cheating? You have pestered me with pm's and emails for weeks and I have responded to most of them. I have tried to explain that I get requests/demands like this everyday and don't have either the bandwidth or the inclination to respond to such, especailly at this low level of concept and granularity. You are doing some good work. Thanks for what you have shown me and for the kind words. I will not write your code for you and I will not test, prove or disprove every thought, suggestion or situation that comes to the mind of every 1 lot trader here. Almost none of the posts on this board are about the poster's original concepts or technologies. They are almost always about what someone is saying about someone else's work. Almost all of my posts are about our own, original, in-house development. I enjoy posting here and am grateful for the hundreds of thanks, pms and emials I have gotten thanking me for what I have shared. Some have taken the hints I have provided and gone on to develop their own tools and they report improvment in their trading results. Others don't get enough to finish on their own and still others don't get it at all. Unlike those that are ill-equipped to handle a discussion of the topic at hand, I spend zero time stalking and bashing those I disrespect the most. As I said I greatly enjoy the conversations I have on a daily basis with TL members, thank them for the thanks I have gotten and have even taken some TL members on as traders. I post here for 2 reasons 1) To try and get the brightest here to think about outside the box and 2) to try and spot talent. UrmaBlume

Well said Mad. Some other reasons the S&P is tougher than some other equity futures are the cross currents that come from international hedging. Because it is the most liquid of them all hedgers from around the world hedge their equity portfolios with this future. When the holder of a portfolio of DAX or FTSE stocks wants to hedge with ES he does the transaction based on prices and values on the DAX or FTSE and not on ES current prices which creates the same noise as US commercial arb trades. cheers UB

We collect data from 7 different time frames, store it in global variables and then call those variables and pass that data as inputs to intelligent agents operating on the chart where we execute as described in This Thread. There is a wide range of development workbenches and other tools available for the creation of such genetically optimized, rule based intelligent agents capable of operating at tick speed to produce signals such as the ones below. Friday was a very good day for us and here are the four charts and the precise signals for entries, stops and scalps that made it such a good day. Blue + is a long entry, Red + is a short. Small red dots are stops and small blue dots are scalps. When there is a signal text appears on the charrt with precise recommendations for entry, stop & scalp prices. Gray bars signal No Trade. None of our traders trade these signals the same. Some hold for the length of the signal, some find several scalps in each leg and some add to their position as the stops move up. This first chart is nothing but blue and all buys right up to the top. The gray bars are NO TRADE bars This secon chart only captured the last leg of the down draft and the last two thirds of the following updraft This market is a little choppy in this chart and shows a couple of stopped trades This final chart shows a very profitable last hour where we were able to capture more that the vertical range of the hour.

Sure. Here is a shot of the signals given by the intelligent agents described in the OP from just before the local extreme at 0707 until the recent new high. Gray bars - NO TRADE, blue TradePoints, Long - Red for shorts.

Boomerangas, All you have to do is read the strong buy intensity spikes that were right after the open and look at the first chart below which nailed the entire run up. There were specific entry points (all buys) by our agents for the whole move up. The 2 charts below show the formation of the top. Buying from 3 mins after the open until the very top at 0707 when a sell was given as demonstrated in this post.

As of this writing the ES top of 0707 PST Today 05/21 has been good for 14 pts and shows a definite change in sentiment. The 2 charts below reflect some of the ways we read the formation of extremes in real time. The first chart shows a strong negative divergence between the balance of commercial trade and price. The second chart shows the huge intensity selling spikes that formed the extreme at 0706one minute BEFORE the absolute high price. Spikes in Commercial Intensity (Selling)

It is an absolute fact that some technical traders can indeed "actually determine who is buying or selling - then you are kidding yourself" and it is also an absolute fact that some others can not The chart below is based entirely on our determination of the balance of trade by commercial traders. You will notice net commercial trade is going straight up. You will notice only blue bars and no selling signals at all. The + is a recommended entry point, the red dot a stop and the blue dot a recommended scalping point. The text suggests the TradePoints for entry, stop and scalp for the current bar and is updated every tick. When there is no recommended trade as when the bars are gray then "NO TRADE" is posted. This chart is from today's open at 0630

If the chat software allows it, posting realtime screen captures could add value to the conversation. cheers UB PS I still have an issue with searching for keywords tied to a username, currently it only shows one post when I know of almost a 100 posts from a particular user that have that keyword.

We run a series of hybrid propshop/hedgefunds and only hire traders with demonstrable poker skills/understanding as per the lower left paragraph on the back cover of the book as shown below.

Certainly size can show you that the commercial is present, i.e., the 2 lot trader never trades a 100 lot. The issue with the efficacy of this approach is that you need to differentiate between commercial spec trades and commercial permium aribtrage. The commercial who trades for premium capture doesn't care about price, he only cares about the ROI offered by the current permium level. The commercial spec trader cares nothing about premium. My head of technology has had 3 offers from 3 different hedge funds in the last 6 mos to build technology to disguise just such entries. cheers UB Size alone is useless for this work. PS Does anybody know what's wrong withthe search engine. I can search usernames but not keywords.

Acrobat Now has both a free and a paid service that supports live screen sharing, chat, voip, document conversion to pdf and more. The free service allows live chat & screen sharing with up to 3 participants and a limited amount of free document conversions. The paid services offer increasing limits on the number of particpants and the number of conversions. The free service has worked quite well for me over the last couple of years.

Today's (04/27) action in ES has offered better trading opportunities than we have seen in that particular contract in some time. In This Thread I discussed the practical applications of some of the predictive agents we use in our trading. These agents receive inputs from time of day normalized percentage of normal commercial participation and bias as well as a host of bias inputs calculated as described in This Thread. This information is stored in global variables and processed by the agents working on that particular chart. The agents then auto-post TradePoints or NoTrade recommendations. We define a TradePoint as a particular point in the Price/Time/Volume continuum where a specific action is recommended. Here is a shot of some of today's action showing such a recommendation. These texts are updated every tick and are for the current bar. The smaller red dots are stops, the small blue dots are take profits for scalpers and the + is a recommended entry price.

Moon, The short answer is a bit of all of the above. We call the frequency done by both our bots and our point and click traders to be "higher" frequency trading as opposed to the uber high frequency trading done by some. Our point and click traders usually adjust their entry orders to the time/volume/frequency they are trading. In the faster time frames where the whole trade might just be a couple of ticks they generally use Limit orders. Where a tick is not as important as getting onboard as in the slower/higher volume bars charts they are free to use either limit or Market if Touched entries. At all times in all time frames they have the benefit of auto-posted text that eigher recommends "No Trade" or posts precise TradePoints for the current bar as shown in the graph below. These TradePoints are updated every tick for each of the 7 time frames we track for each market. cheers

AgeKay, Thanks for the kind words. There is indeed a dearth of original material on this board. After receiving hundreds of requests to buy different bits of our technical base I find that virtually all of my detractors and stalkers fall into one or both of two categories; 1) people who have tried to buy our gear and were refused and 2) people who have never posted any original work, can't deal with the technical discussion so they get personal and those whose posts are mostly knocking other people's posts. I post here for 2 reasons - to try and get the brightest of the up and comers to think outside the box because that's where success is found and also to try and spot talent. We have just started another trading entity which is a hybrid hedge fund/prop shop and almost all of its traders are members here. They came to us because of the distinctions you noted between some of our trade decision support technologies and those mentioned in other threads. Each of these traders operate from a workstation that drives 8 monitors and none of those screens contain anything from threads like VSA, candles, profiles or Wyckhoff. I have worked in London and always enjoyed it. We used to trade from a desk in Finsbury Circus but that was 25 years ago. Anyway, AgeKay, thanks again for the support and the kind words and if there is ever anything I can do for you, I am usaully up on Skype or I have direct lines to Europe and I would be happy to give you a call. cheers UB

Some can see a very direct impact from accelerating markets. Certainly there was an impact felt around the world from the downward acceleration we saw in the equity markets just over a year ago. Further evidence of mass is that the impact is greater the greater the acceleration. The mass is the money/equity/resource that each share/contract represents. cheers UrmaBlume

Yes, indeed - welcome to TL. I have played a few hands myself. There are certain dynamics at work in the markets that make it much better than poker: The markets are like a heads up game where your opponent can never bet, never fold, never raise and must call your every bet. The trader can bet or not bet whenever he wants, fold whenever he wants and even raise his own bet whenever he wants. There is no ante, only a very small rake and only when you decide to play a hand. While it is indeed the "Big Game," you can sit in for any stakes you want. And maybe best of all, the game doesn't get any tougher as the stakes rise. If you can beat ES for a 10 lot, you can beat it for a 100 lot. As in Poker - Information = Equity At the poker table everybody has access to the same raw data. All players can see the community cards, the pot size, every other player's stack size and the actions and reactions of all the other players. The players who can best calculate drawing odds, pot odds, implied odds, EV, an anticipation of the other players' actions and reactions and furhter process that raw data into action decision (bet, check, raise, fold, check-raise) support information is the favorite to see an increase in equity. In the markets trade decision support information is derrived from ticks. Everyone has access to ticks and the trader who can best processe those ticks into higher quality trade decision support information is the trader most likely to see an increase in equity. cheers UB

Without Mass there can be no acceleration because there is nothing to accelerate. In this case The Mass is the Margin - How efficiently a large money stake accelerates is indeed an indication of the condition/balance of the market. No mass in the financial markets? - lol. If there is no mass in the markets, how is it that they have such effect/impact? cheers UrmaBlume

Here are Today's TradePoints: The + indicates entry price The small blue dot is take profit The small red dot is the stop

Donald, How well done and what elegant understatement, cheers. Also congratulations on where you live. I love Vancouver, think it is the best city in North America, one of the world's most beautiful ports and in the old days I even worked a couple of IPO's on the old VSE. As to Nate, from his join date, tone, style and lack of depth I think I recognize him as an old shoe with a new username. Anyway, again, welcome aboard and thanks for the benefit we can all get from your experience, understanding and even-tempered rationale. cheers UB

Oh well, at least I have a book, have 2 more on the way plus enough like the book so that my publisher is smiling and I get regular checks and since you mentioned it - you have to admit it does have a cool cover. Could we see a reference to your book? Or your name or any credible anything you have ever done? I doubt it. As to "these morons," we disagree. Maybe somewhat un-schooled in the more state of the art methods and technologies, but not morons or they wouldn't be here trying to learn. As to the Asian crack - that's all yours.

Nate, What a great post. Thanks. All of our posts are about what you call point & click trading and that is done from TradeStation. We have never posted anything about the concepts, applications, data and server location that we consider valuable in HF Algorithmic trading and probably, like everybody else, including you, never will. Your view of the markets is of a perspective that is born of both experience and a great understanding of state of the art protocols and technologies and all here can benefit from that. thanks cheers UB

Maxima, I have scanned all your posts and have no surprise that this post of yours conveys such a complete mis-understanding and over simplification of our work. As to one of your previous posts which asks "Guess who lost more," I now have an opinion. None of our work is about statistical arbitrage in pair trading it is all straight spec trading. As to time there is indeed a way to use time in TS - it is just that most don't understand how to access a more granular level of time than the 1 minute stamp available in TS. We do and have discussed it elswhere. Our indicator of trade intensity and the velocity meter on the HUD are both calculated in the millisecond time frame. For those with your level of technical understanding - I was in recent conversation with the development team at TS and they say that TS 9 will be out this summer and will include a millisecond time stamp and some much awaited changes to order placement and the trade manager that will help with the development of higher frequency trade bots. UrmaBlume

The intensity spikes are just one part of the inputs that we collate and weight to produce a trade decision. These inputs from seven different time frames are stored in global variables, compiled and weighted and accessed from the operative time frame as described in this thread. The information from these global variables is further procesed by intelligent agents and rule-sets as described in this thread to produce charts in those same seven time frames as shown below: Cheers UrmaBlume

CornHusker, First, thank you very much for the kind words. I tried to post this same message on the futures arb thread, but for some reason my post will not appear..So here is that post (it was directed at you anyways, so maybe a PM is better. Hey UB, I just want to say I've taken a couple hours and gone through most of your posts, you are brilliant sir. Your trade intensity indicator is what I've been looking for, for a long time. I'm not one who wants to buy it or anything like that, but the evidence it offers is priceless. You have succeeded in unearthing decoding, as it were, hidden flows by big money. As most of us know who have been around for a while, there is no good reason to enter until the flow is on our side and most will never come close actually being able to verify this (or even grasp it's importance). TA is really illogical in most of it's forms. But what you're doing is the most objective example I've ever seen for coming up with a good or real reason for entering the market. Thank you again, kind sir. I really liked your example of the statarb trade you identified with your flow indicators. When you saw the spike in consumption on three markets at the same time you probably inferred it was arb, but would you or do you enter directional trades on just one of those markets because of that spike? No, the intensity indicator is just a small part of a whole range of algorithms we use to meter/measure the state of the price/time/volume continuum in any give market. If you will refer to this thread you will see a chart with dots, graphs and text which give precise trade recommendations which we call TradePoints. We take information such as trade intensity, velocity and other measures from seven different time frames, store that information in global variables and then in the timeframe to be traded, access, process and run rule sets over that information to get the auto-posted text and trade points shown in this chart: This may be a dumb question, but how many of your net flow change based entries turn into trades that have the potential to run for long periods of time? Do you let any of your trades run? Again, this idicator is just one part of the information that we collate to come to a trade decision. Also, another silly question. Have you ever identified possible causes (PA, TA Setup ect.) that induced one of these automated trades? The evidence would be somewhat anecdotal and hard to prove, I'm just curious. I know the brains behind these things are probably far beyond mundane price/volume patterns. We don't care about the why of the transactions, we care about the fact of the transactions. We never know what model gave the indication for the trade or even whether the trade was an opening or closing transaction. We just care about the fact that there was out of sequence buying or selling at that point. One more thing. Are you confident that you'll be able to find the new places these automated entries start hiding when the current methods change? Have you already had experiances like this? Yes, because these guys that drive the market are greedy and they almost always do enough size, velocity and produce a big enoug imbalance so that they give themselves away. We are aware and track the tactics used by some operators to hide/disguise this action but the fact still remains that they have to get a lot done to make a lot of money and they can't hide the fact of the transactions. Sorry for throwing everything at you at once..Keep up the great work While I welcome private communications, I prefer broader questions such as these be asked and answered in the room. Since you have indicated you intended to post this anyway, I will post your questions and my answers in the intended thread. Thanks again for the kinds words. cheers and good luck UB

The same intelligent/predictive technologies that track missiles in 3 dimensions at mach 2 can be used to look at least a few minutes into the future of the price/time/volume continuum that describes today's world financial markets. The chart below demonstrates the implementation of some of these technologies in an application we use to teach and trade what we call "Scalping with an Edge." The charts and text below will describe the process required to build such an application as well as some of the tools used in its construction. As an example of the application of intelligent agents to processed market data the shot below is of 30 minutes' trade in the ES on 3/18/2010. Times are PST. The bars are 2k volume bars. Each bar represents about one thousandth of average session volume. This makes them about 24 second bars. The color of the bar represents the dominant bias in that particular time/volume frame. In the chart below you will see gray bars (no dominant bias), red bars (sell bias) and blue bars (buy bias). We define TradePoints as those points in the price/time/volume continuum where a specific action is recommended. In this case the blue and red + is a recommended entry price. The small red dot is the recommended stop and the blue a good point to scalp. The text defines those points for the current bar. Both the text and the TradePoint dots are automatically posted at the first tick of the bar and updated every tick. When there are no recommendations, as it is with much of most days, the auto text posts "No Trade" as is the case in the second chart below. The middle sub-graph shows a calculation of net new trade by commercials over a multi-session time frame. The bottom sub-graph shows a collection of weighted biases from 7 different time frames. The yellow is cautionary, the red - sell bias and the blue - buy bias. The percentages to the right of the current bar indicate how close the bar is to completion as well and the percentages of both buying and selling volumes within that particular bar so far. In the graph below we have just come off of a Buy signal and the recommendation of "NO TRADE" is posted. Note the bars are gray - no particular bias and the absence of TradPoints indicates a lack of power to follow through. Data Pre-Processing This is the most important of all. Whether the agent is a neural network or regression machine it does much better with well prepared inputs. For the development of these models outliers in the "seen" or training data are removed. Also the input data is scaled to resemble the target data. This is where the output of some fairly traditional algorithms are normalized to match target data. An example of this is time of day normalization of the of average volume into percentages as is done on our Market Heads-Up Display (HUD) and also described in this thread here on TL Modeling Process Today's Quants have a range of tools and algorithms available to them to aid in the development of their models. One site that can be very helpful when selecting or trying to evaluate these tools is the KDNuggets site. There are neural networks, Bayesian Networks, Genetic Algorithms, Rough Sets and routines that implement Fuzzy Logic. Generally we use MARS (Multivariate Adaptive Regression Splines) from Salford Systems in San Diego. It has scored very well in the annual competition at the KDNuggets site, is very easy to use and we have built a script/application that automatically converts is ouput function to Easy Language so that with a cut and paste the models can begin to function on line and make their predictions in real time. Rules Generation The output from the various models is sent to one or a series of rules generation technologies. We use genetic algorithms, decision trees, CART from Salford Systems and a rules generator with the improbable name of WizWhy from WizSoft to optimize and to generate the rules that generate the trade points shown in the charts above. The chart below shows trade during the first hour of Friday, 3/19/2010. While this chart shows better than average results, it does indeed also show the kind of accuracy that is possible with the help of well constructed intelligent models and other predictive technologies. Good Luck Cheers UrmaBlume