UrmaBlume

SoulTrader, Thanks for the kind words. Not at all like the responses I got from one of your other, less informed, moderators. You are right about volume analysis - it's all that really matters. After all it is volume that motivates price - Price doesn't motivate price and the passage of time does not motivate price, it is the occurrence of trade (buying and selling) that motivates price. Knowing that it is not the passage of time but rather the occurrence of buying and selling that drives price makes one wonder why anybody would ever base their trade on indicators with price as the prime input (EMA, Bollinger, RSI, Candlesticks, Stochastic, CCI....) and to further compound the error, apply those indicators to time constant data vessels. Three decades ago I was taught that the best indicators of future price don't have price as any part of their calculation. As I have mentioned I run a small PRIVATE trading and technology company and the first thing I teach our new traders is that it is buying and selling that drives price. That none of our intra-session charts are time constant charts and almost none of our indicators have price as ANY part of their calculation.

The ultra short term bursts of uber intense trade that often establish local intra-session extremes is never shown as resting orders it is auto-executed in a series of orders separated by only a few thousandths of a second. The chart below shows a spike in trade intensity but while this high volume of trade was being executed it was never shown at any level as a resting order by market depth. This trade was auto-executed. While commercial traders CAN successfully hide their method and whether the trade was an opening or closing transaction, they can't hide the fact of their transactions.

The chart below is our calculation of cumulative net commercial trade. Selling by commercial traders took out the low from November in the middle of January and has increased dramatically since then - foretelling that the November low was in Jeopardy. It is our estimate that these longer term commercial traders do about 20% of the total volume. We KNOW that they go to great lengths to disguise their participation via such means as intense series' of automated orders separated by only a few miliseconds. It is often these bursts of intense trade that form local intra-session highs and lows. See a post on how we detect and trade these spikes in intensity http://www.traderslaboratory.com/forums/f34/trade-intensity-5277.html

I am about done with jerk offs like u that know nothing and contribute nothing. So tell your boss to ban me or let him know that I ask u to f*ck off dummy.

Your observation must be through some kind of blinders: None of this is abstract as almost every thread I have started contains enough information to reverse engineer the work. Especially this thread. Nothing is sealed. Take a real read, if you can handle it. I have made no mention of any system anywhere on this forum and none of my posts contain the slightest mention of any system. If you don't get the purpose of my posts leave them alone, others like them just fine. As to what I sound like to you, how much do you think I care? My comment about size was more about the difference between retail trade and commercial trade. And from reading everybody's posts, including yours, it is pretty easy to divvy the posters up into - commercial traders/private traders/wannabe traders without seeing any statements. My guess is that it is something like in poker where the guys that offer the least to the community and are the most critical are the lower level of the private trader/wannabe spectrum. Not that size matters all that much, it is the pretension I dislike. My experience is that guys that give themselves names like Trade Viper usually have the same kind of results as guys that call themselves Poker Stud. As to unprofessional - I am sure that my 30 years of experience in various corporate and private firms isn't the same as whatever experience you have had. From reading the posts of u nay sayers I also bet my trading day is pretty much different too. And again, how much do you think someone like me cares about what someone like you has to say? I get nothing out of these posts except some very useful conversation with the few on this board that seem to be operating on plane similar to mine and, oh yea, a lot of grief from guys like you.

Why? None of this is about automated trading and many different ways to calculate these indicators have been discussed here. Except for you and one other strong anti-intellectual my posts have received a very warm reception from your most astute and prolific posters. What have you got against new material that is well received by your members? Why don't you see if you can find the integrity to put up a poll about my posts? If most want them gone, I assure you they will not appear again and if most want them to stay - what would be the problem? I can't help but wonder what it is that is really bothering you. Your most astute posters have found value in what I have posted and my posts have received as many views and thanks as any recent posts. I would think that would be attractive to a site whose revenue is dependent on its content attractiing members. Wait until I have done something before you convict me on your limited life's experience with the markets and those who trade them. You don't know anything about me and my bet is you have never once traded a 100 lot of S&Ps or the equivalent.

Some contribute to these threads and others are just takers. You have never been thanked once for anything. Besides I wouldn't want to arouse your "suspensions" as you mentioned in another post.

Darth, I am humbled by your words, thank you. As to poker, there are more than a handful of, mostly young and tech savvy, players who have "gamed" the game of online poker and make well into 6 figures each year playing it. Some at home listening to loud music and one guy I know doing it from a coffee shop on a canal in Amsterdam. The point for you is that I don't know any of them that have a bacground more suitable to the task than yours. If you could bring yourself to think of what you call flaws as opportunities to out game it, you would be a killer. cheers

With regard to trade intensity, because of Trade Station's limitations we calculate trade intensity outside Trade Station and can report it on any kind of time or volume bar. As to constant volume bars - they are our standard. We don't use time bars as price is not motivated by time it is driven by volume and we don't use tick bars because they weigh all transactions equally and we think it is important to know and reference whether a transaction was for a single contract or a thousand. cheers

Thanks for the plug. The poker book is "Practical Poker Math." The 2 I am working on now are: "Practical Short Term Trading - Techniques & Technologies" "Practical Technal Analysis of Price and Volume - A New Era" As to lordbinder's suggestion about seminars we have the material but its like AgeKay says - we don't have the inclination. As of now none of our work is for sale and while we have done some one on one full imersion training in high frequency trading we don't really know what all we will do going forward and are open to suggestions. Thanks for being so nice guys, my initial reception here was a bit cool.

Sorry, no. But it might be of interest that Peter Steidlmayer was a very infulential mentor. Its a shame Peter never advanced his work to take advantage of today's data and technology. His principles hold true even today and the posts I have made concerning trade intensity and other all come from his teachings that the answer to it all can be found in the order flow. In the days when open outcry was the only way, the trader in the pit had a huge advantage. There was no online volume data for futures but all the trader had to do was look towards the phone banks, if he saw many backs of hands he knew there was a wave of buy orders hitting the floor and if he saw palms he was seeing a wave of selling. Thanks to everybody for the kind words and with a couple of early exceptions, the friendly welcome.

With a simple dll and some easy language you can export anything from TS. We create arrays so that we can not only export inputs but offset price differences which serve as targets to models. The dll allows us to export any data in any format to any sql compatable db including MSAccess. We also use similar dlls and easy language to support applications such as our Market Heads-Up Display shown below. This data is exported tick by tick in real time.

What we do aside - measure the time for a block of a constant size and extrapolate to cpm. We take this a step further so that our work not only reveals intensity but also the degree of trader commitment.

Any interval can capture intensity - the point is that it must be measured outside the bar and imported. As shown a 1 minute or 30 second bar could very easily show normal volume yet contain a huge spike in intensity. When using ticks you must remember to consider the size of the tick and not just the number of ticks. Using a 100ms timer and volume flow could definetly produce a useable measure of trade intensity. We measure this intensity via 3 different algorithms. cheers

Bill Chen wrote a great book but most without a math background find it to be a bit tough. My book, and since you ask, "Practical Poker Math," is a much more basic work. It is aimed at the broader market of beginning and semi-pro players. It gives a brief introduction into the concepts of game theory in poker and is the only work I know of that presents a complete workup of the odds in Omaha as well as Holdem. I must take small issue with your points on optimal play - Just because Gus did it doesn't make it optimal as eveidenced by the fact that many player have learned how and when to come over the top of his bets. Also be assured that in the real poker world play money strategies get killed in real money games.

Atto, Thank you, I appreciate the thought that goes into your posts. This post, however, still misses the essence of measuring trade intensity. Very short term time charts would just show a succession of trades - no spikes as most of this trade is broken down into small sizes anyway. The same would go for constant volume bars. During a 1 minute bar trade intensity may spike to 100,000 contracts per minute (and does several times per day) even though only a few thousand contracts were traded during that minute. Volume in this bar did not spike, intensity did. This concept scales both up and down with either time or volume. In the emini S&P trade averages about 5 - 6,000 contracts per minute during the day session. This trade is not evenly distributed throughout the day. For the sake of this example - We have 2 charts - a 1 minute chart and a 5k contract bar chart. Without regard to price, trade is flowing at a steady 5k contracts per minute. Volume Bars are all even, all averages of volume are flat. Now if 2k of the 5k contracts traded inside one of these bars trades at a very fast rate then there will be a huge spike in our measure of trade intensity but no spikes in any other traditional measure of volume. As soon as Trade Station and other packages achieve better time granularity traders will be able to plot a host of more relevant indicators of trade flow and we know of no better indicators or motivators of price change than the flow of trade.

The volume histogram would of course look the same but a histogram of the intensity/rate of trade would not and this calculation requires more granularity of time than is avialable in TS.

Below are 5 screenshots taken at different times during Today's trade. The times on the charts are PST and there were about 50 such signals on Friday.

Every thread I have started and most of the posts I have made include examples on intraday charts.

I appreciate your references to game theory jargon. I wrote a book on odds, probabilities and game theory in Holdem and Omaha, have done consulting for one of the major online players and I must say your point is wrong about optimal strategies in play and real money games because the play is different. The near "all in all the time" strategy some use in play money games won't work at all in real money games and further is not even the optimal strategy for play money games. There are million dollar tournaments every week, 6 figure tournaments every day and cash games with hundreds of thousands of dollars on the table and you call that boring? As to the tournaments being flawed, certainly some are structured differently from others but the complete player should know these differences and be able to compete in all of them. Though with 50 bucks in your account and plainly not much knowledge about the game I can see where you miss both the action and the point.

I think you are missing the difference between a spike and volume and a spike in intensity. You should know that Trade Station does not have the ability to measure time with enough granularity to do this work. We call certain dlls that do this work outside tradestation and then import and graph the results.

The point is not about how well someone might be able to hide information but rather about what indications there are about such hidden information is available to everyone at the table as well as the more obvious inputs - Main point is that it is the superior processing of raw raw inputs that give the winning player better information and we believe that information = equity.

ZDO, How astute, good catch. Transaction size as a measure of cash commitment. While the indicators I have posted here do not include this consideration, others we use do. From a macro prospective what we, as micro short-term action junkies do, is try, in a very precise manner, to locate out of sync commitments of cash to the market place. Again, Good Catch ZDO - In many very diverse markets, immediate knowledge of large/out of sync cash commitment can spawn profits. Regardless of time frame, there is almost always high intensity trade at the extremes. cheers

BlowFish, Thanks for more kind words. It says mostly Europe, lucky you. I miss it. Used to trade from an office in Finnsbury Circle, London, did a bit of consulting for a poker site in Gibraltar and, ever since my days as a sailor, have alway loved Amsterdam. cheers

I do all the training for a small, closed, private group of traders. Those trainees that do the best are almost all online poker players. In poker everybody at the table has access to the same information. Each player can see the amount of money bet or raised, the amount in the pot, the amount in front of each other player and the physical actions and reactions of everybody at the table. It is the player who can best input and analyse all of this to make timeley, strategic moves that will win the most over the long haul. In the markets all technical information is derived from ticks. No matter what technical work we are talking about - it is all formulated from some combination of tick data. Everybody has access to this same tick data - it is the processing and trading protocols that separates the winners from the others. My best trader is a young man from Denmark who, when he is not trading, plays in 10 short-handed no-limit holdem games at the same time. That is close to 1,000 hands of poker per hour. On a busy day he will make close to 200 round trips in the S&P day session. We find that the shorter term the projection the more reliable the projection and that the best place to trade is just one notch above where order decends into chaos. This threshold is different for everybody. Long-term successful intra-session trading is not about instinct, divine inspiration, spontaneous intellectual combustion or any other human quality. It is about method and data processing. Every transaction creates a particle of data - the tick. All technical market trading information is derived from these ticks. Ticks are the atoms of information about the technical condition of the market. Each tick is composed of the sub-atomic information particles of time and date, exchange, price, bid/asked and the size of the transaction. These atoms are combined into such familiar data vessels as a single bar on a 5-minute bar chart, a profile of the market or a candlestick. For a 5-minute bar all of the ticks during a given 5-minute period are combined into a data vessel and present such molecules of information as the open, high, low, close, total volume, up-volume and down-volume for that particular 5-minute period. Further, these molecules of information from data vessels such as the 5-minute bar or the 500-share/contract/tick bar are combined and manipulated into countless indicators over time frames that range from the tick to years. The sums of all these particles of information represent the price/time/volume continuum that is the essence of every market.