UrmaBlume

In this thread different users of the TPS Indicator Pack will post graphics of signals they have found useful. As the thread develops you will notice that reagardless of the market or the time frame, how these singals all have the same look and how often they repeat themselves at ponts of opporutnity. Today, 10/06, in ES the best trade of the day was on the low and the low as perfectly demonstrated by positive divegences between price and V94Window. This positive divergence was present on the low several time frames - the chart below shows the low and the positive divegence in a chart displaying 8k volume bars. Please click to enlarge image We welcome your queries and are available by email, Skype or phone here. Cheers UrmaBlume

TradePoint Software has developed an Indicator Pack which is a set of indicators, functions and workspaces that run in TradeStation. The Indicator Pack is offered on the basis of a yearly lease/subscription at a price of $1,400/yr and is not designed for beginning traders. The User Manual contains Installation Instructions and a more detailed description of this software and is viewable/downloadable for free here. The End User License Agreement is available here. Below is copyrighted text taken from "Practical Short Term Trading - Techniques & Technologies" that is reproduced here with permission from the author. "Free trading liquid markets trade in a Price/Time/Volume Continuum that conforms to certain basic dynamics, three of which are defined here:" "As Price changes or not and Time passes Volume happens/accumulates. As Time passes and Trade/Volume happens Prices change in Direct Proportion to the degree to which that Trade is Imbalanced. As Time passes and Trade/Volume happens Prices change in Inverse Proportion to the degree to which that Trade is Balanced." The indicators in this pack are designed to reflect that the prime motivator of price is the balance of trade - a great imbalance to the buy side in total trade volume is more likely to motivate price to the upside than the downside. These indicators provide a view and quantification of Net motivated trade over time - The Balance of Trade A more sensitive moving window of net buying and selling - Order Flow An indication of the sudden bursts of the kind of commercial trade that often turns the market A smoothing of price plus pivot and other price reference points Below are text and charts that describe the 11 indicators currently in the TPS Indicator Pack. Of note is that below are linked more detailed descriptions of these indicators and that the charts below have been "cherry picked" to reflect both technologies and techniques in the most demonstrative light possible. The Intenisty/Velocity of Net Commercial Trade The Intenisty/Velocity of Net Commercial Trade is displayed using 3 different indicators, all plotted on top of each other on the same chart: .!TPS.TradeVelocityUp – This indicator graphs the velocity of buying volume in the micro time frame and with a time granularity of milliseconds. This value is graphed as a blue histogram. 2.!TPS.TradeVelocityDn – The velocity of selling volume is calculated as above and graphed as a red histogram. 3.!TPS.TradeVelocityTV – This track of the velocity of total volume is graphed as a blue line. The spikes in the charts below are often seen on significant local and even session extremes. In the more liquid markets where there is also significant hedging and arbitrage activity there are also a number of "false" spikes. One way to differentiate these activities is by referencing some of the other indicators in this pack, NNT & V94, in different time frames for either confirmation or divergence between price and order flow. This chart shows the blue topping spike in the velocity indicators in the middle graph which is confirmed by the negative divergence between price and The V94 Window in the bottom sub-graph. Please click to enlarge image Sometimes this activity is precisely coordinated across all three major equity index futures. The chart below demonstrates the intense commercial activity at a session high. Please click to enlarge image Below is a low indicated by both a bottoming spike in the Intensity/Velocity of commercial trade plus a positive divergence between price and V94Window. The indicators in this pack are designed so that readings in one can confirm indications in another. Please click to enlarge image Balance of Trade Volume Harmonic Most indicators that carry the word "Harmonic" in their titles are based on pice. This indicator is based on trade volumes, and price plays no part in its calculation. One definition of simple harmonic motion is that the acceleration causing the motion a of the particle or object is proportional and in opposition to its displacement x from its equilibrium position. As buying and selling displace each other in harmony (the graphic) so is price displaced. The caveat with this indicator is that it is very sensitive to both settings and the size of the volume bars on the chart. When these are all in synch the indicator looks like the chart below: Please click to enlarge image Net New Trade !TPS.NetNewTrade calculates the cumulative net/balance of buying and selling volumes in the market. The Indicator Pack comes with both a beyond the day time frame indicator and an indicator designed from intra-session work. The longer term version of NNT can be useful in spotting loger term divergences. The chart below shows an intermediate term high in ES in late Feburary 2011 and a high in NNT. The following May showed a higher high in price with notable divergence between price and NNT. That divergence continued over the next couple of months leading to a precipitous drop in price. Please click to enlarge image The shorter term, intra-session, version of Net New Trade can indicate sluggish price when it has no apparent direction. It can indicate trend/continuation with a series of higher highs and higher lows as shown below or it can indicate a regime change by demonstrating divergences. With NNT in the lower graph this chart shows continuation: Please click to enlarge image Divergences between Price and Net New Trade can often signal a change in regime as shown below: Please click to enlarge image The V94 Window !TPS.V94Window is an indicator designed to report a moving window of net buying and selling volumes – a moving window of the balance of trade. This indicator is more sensitive than NNT and can be used to indicate confirmation, continuation or a reversal. In this chart the small departures below zero and the large amplitudes above zero indiate a big imbalance to the buy side and indicate a long continuation. Please click to enlarge image Divergences between Price and V94 can indicate a change/reversal as shown below Please click to enlarge image 5 Day HiLo Oftentimes the high or low of previous days will become areas of price support or resistence. !TPS.5DayHiLo plots the current day’s open, high and low plus it can also plot both the high and the low for the 4 days previous to today. It was selling that formed these highs and buying that formed the lows. Sometimes that buying or selling will reappear at the same price and sometimes what was resistance will become support and vice versa. The user can elect to see these highs and lows from any or all of the most recent 5 days including the current day. Please click to enlarge image Price Center Stripe This indicator: Smooths price by plotting a custom MA, _DX2MA, of the mid points of the price bars Plots standard Pivots as "RDots" - the user can adjust the strenghts of these pivots Plots Special Reference "S" Dots that can be useful in strongly trending markets and misleading in choppy markets !TPS.CenterStripe is to be applied to price on volume bar charts. The small red and blue dots are the midpoints of each price bar smoothed by DX2MA. The channel that contains these price dots can be expanded to channel the bulk of price activity, not just the dots. The RDots are the round dots posted above and below pivot highs and lows. These are the standard TradeStation pivot points and their strength setting is one of the inputs to this indicator. These dots plot after the fact. The SDots shown as “fat” + signs in the graph above are special reference dots. These dots reference price, price pivot points and Net New Trade and can be very useful in a strongly trending market as shown below and be very expensive if acted upon in noisy sideways markets. SDots are plotted in real time. Please click to enlarge image %Bar Complete & %Bar Bias Please click to enlarge image !TPS.%BarComplete is a ShowMe indicator that when applied to volume bar charts plots the percentage of completion of last bar on the chart. This figure is plotted in blue opposite the midpoint of the bar. The “7.9%” displayed above shows that the bar is only 7.9% complete and has just opened. If this were an 8k bar and 4k contracts had traded the reading would be 50%. !TPS.%BarBias is a ShowMe indicator that when applied to volume bar charts plots the percentage of buying and selling volumes so far in that bar. In the bar above the red 52.3% indicates that at that point 52.3% of the volume, so far, in that bar is selling volume and that the remaining 47.7% is buying volume. This information can sometimes give a bit of a lead when contemplating an entry or on the formation of local or session extremes. Strongest Indications These indicators speak loudest when they confirm each other and do it across more than one time frame. The first chart below shows a 1k volume bar chart with a strong bottoming spike confirmed by positive divergence between price and V94Window. The second chart confirms the first with positive divergence between price and V94 in the much higher time frame 8k volume bar chart. Please click to enlarge image This second chart confirms the indications of the first with the same positive divergence but in a much higher time frame. Please click to enlarge image Service & Support We support these indicators with service via email, phone or Skype by contacting us here. Time permitting we will also support installations in real time via screen sharing and phone or Skype. We invite your queries

TradePoint Software, Inc. is a developer and seller of trade decision support technologies. The company also will partner with other software firms to resell and further support tools and technologies to develop intelligent agents, rule sets, decision trees, Bayesian Networks, Neural Networks, genetically optimized parameters and other data mining technologies. The company website is located here. In this sponsored forum we will discuss the tools and technologies that we have developed in house as well as certain intelligent agents and data mining technologies that we will be reselling and supporting on behalf of some of the strongest developers and vendors of that genre. Also, in this forum, we will produce and present multimedia articles and webinars on such topics as: The Price/Time/Volume Continuum Order Flow The Dynamics of Price The Practical Use of Intelligent Agents and Data Mining in Trading Smart Financial Market Data Visualization, Now and in the Future Our Mantra is: "Success in the markets is not about instinct, divine inspiration or spontaneous intellectual combustion. It is about intelligent data processing, sound method and the management of risk and resource that is both effective and adaptive to change." Our Mission is to make available and provide support for the tools and trade decision support technologies that will allow traders to reach their full potential in trading the world's financial markets. We hope that TL subscribers will find value in the content we will produce for this forum. We welcome your questions and you will find contact information including phone and Skype available here. Welcome to our forum. Cheers, Pat Dittmar

Some shots from my screensaver file (click to enlarge): A shot of Bora Bora - The Y shaped structures are black pearl farms: The Sound Barrier A very young valcano on the Kamtchatka Peninsula Mountain Climber Big Leap Big Caught Snake Some Cool Dogs

Yes, we have been using and developing in TradeStation since long before it was TradeStation.

http://www.youtube.com/watch_popup?v=MZ35SOU9HTM

No - there would be too many bars. If you will note the chart is a 1k volume bar chart with about 180 bars that cover only 28 minutes of a 405 minute day session. Even without the nite session, a chart with that particular day's trade would have to show over 2,600 bars - even if the software could draw it, there would be no resolution to the indicators. cheers UrmaBlume

You are correct in that a Moving Average system would have caught the trade. What is misssing is that a MA system would not have caught the verificcation of the trade offered by the toping spike in the velocity of commercial trade and the divergence in order flow shown by V94Window as shown below. Both a moving average and the chart below caught that trade - the difference is that the MA system would have caught a whole lot of noise trades that the method below would have passed because of the lack of verification by the divergence in order flow and the indication of intense topping activity by commercial trade. It is true that structure is interesting but my notes from several weeks during the 80's at Peter Steidlmayer's ranch studying profile theory from the man himself reflect that 2 points that override structure are the quantification of orderflow/balance of trade and the presence of strong/intense commercial trade (also reflected in the chart below and missed by an MA system). Please Click to enlarge image cheers UrmaBlume

Wells said WrbTrader. The points that differentiate this forum from the others is the quality of the content and the lack of negative personal and off-topic bashing that drives content from the forum. The vast marjority of the posters here and on every other forum lack the ability to create indicators, methods and protocols on their own. Whether these come in the trading platform, tutoring or as add-ons, most buy them and come here hoping to supplement them. Knowledge of available products and services gives everybody more access, more choices and a better unerstanding of the state of the art in both technologies and methods. After all - "Success in the markets is not about instinct, divine inspiration or spontaneous intellectual combustion. It is about intelligent data processing, sound method and the management of risk and resource that is both effective and adaptive to change." Of all the forums, James was first to recognize that posts from vendors can add value and as long as the posts were not too spammy not only allowed them, he encourged them - to the benefit of the forum. That enlighted view seems to continue. Bashing a post or poster just because the poster is a vendor creates the same kind of content desert that is ET. If there is an issue with the product or service address that - vendor, content and format over substance forum Police do far more harm to the forum than any vendor post. UrmaBlume

Tams, First, I have no equity in the room and if I did, how would that matter? Next - OP asks for room recommendations. I recommend the room and figure that most thinking individuals would judge my recommendation by the quality of the content in my posts and judge the room by the quality of their product. The rest is form over substance and getting a little anal about all this vendor biz. I greatly respect your posts that help with programming. I have no respect for sarcastic 2 liners with no representation, understanding or relation to the topic. The topic was a request for room recommendations and this post and your post couldn't be further from it. These posts should be about rooms and what we think is good or bad about them individually, not what you do or don't like about the individual. So, again - I recommend Trading Addicts. This post notes Eric Utley of Trading Addicts to be one of "The 10 Traders Who Influenced Me the Most." The poster is another vendor who like me has no equity in the room. Let content and on topic rule - the rest of this content Nazi business doesn't aid either flow or sharing. UrMaBlume

Brownie & Tams, I do, indeed, recommend TradingAddicts as a trading room. It is true that they run their room using my software. I don't recommend the room because they use my software, there are others - I recommend them because I beleive they offer better than fair value to their subscribers. Neither of you have any knowledge of their product or its value. The height of form over substance and an exhibit of a complete lack of intellectual integrity is to attack the person without any knowledge of the topic/product. You guys should check out the room before you bash me for recommending it. That I have long since been outed as a vendor does not mean that I can neither make recommendations that might have value or that I might add content of value to the forum. UrmaBlume

There is a very good, very inexpensive, very friendly room that trades the ES using trade decision support technologies that denote precise order flow in several time frames. They trade currencies, ES and crude. The room is inexpensive and they offer a $5 5 day trial. Trading Addicts shows real time charts and the moderator shares his trades with members. UrmaBlume

As a tool market profile is maybe not dead but certainly is outdated and has been replace by new and more effective trade decision support technologies. Market Profile as a theory, however, lives on and has spawned many innovations in technology, method and protocol. My notes from weeks at Peter Steidlmayer's ranch in Norther California back in the 80's state again and again that the most important goals of Market Profile are to define order flow/balance of trade and locate strong/intense commercial trade. Nothing in the profile can quantify balance or imbalance and nothing in the profile can identify sudden, very intense bursts of commercial trade. The middle panel in the chart below shows a topping spike in commercial intensity. This indicator takes measurements in the millisecond time frame and reports activity that is too fast for any human or group of humans to have conducted. The bottom sub-graph shows a moving window of the balance of trade that shows the balance of trade at the peaks and valleys in precise numbers of countract imbalance. In this graphic you can see that at the point of the spike in commercial topping activity there was also a negative divergence between price and the balance of buying and selling volumes. The date on the chart is 09/09 and the times are PST. The trade was good for 20+ points in a little over an hour. The answer is that the Profile is dead as a tool but lives on as a concept. Please click to enlarge image UrmaBlume

Intra-session when NNT makes new lows and price is sideways it is usually a warning that new lows in price are soon to come: Given that the current formation is a horizontal consolidation and that they are most often formations of continuation rather than reversal and as an odds person - I put the odds at 2 to 1 in favor of a 100 point decline below the current formation over a 100 point rise above the current formation. Todday's session NNT was a minus -57,299 contracts for another new low in NNT. Please click to enlarge image cheers UrmaBlume

Wow, the way you say it, it's like the bid and asked desn't matter. The more and more you interfere with a market or information flow - the less it is Laissez-faire and the less valid/relevant it becomes. Why not let us all, see all, and decide all for ourselves? If it gets crazy MadMS will take care of it. p

What's more important - the content or the tag. The two reasons content is richer here than on any other site is that 1) personal attacks are not tolerated and 2) Content is given the benefit of the doubt. Why not have the richest possible content and let members decide for themselves. As of now I can't play online poker because some "others" have decided for me. Laissez-faire is the source of our economic strength and the more it is diluted or regulated the less our collective or individual economic strengths. Information = Equity and I would prefer to filter it for myself. If I can't tell gold from shit - I shouldn't be in the game. Where has more regulation/rules ever made it better? cheers pat

You must have migrated here from ET where negative and content free is the rule. Here at TL friendly/non personal, positive and content rule. Not all vendors are a joke, some offer value and worthwhile products and services, some don't - that's what makes a market. Here a little stealth marketing is tolerated because sometimes there is enough concept, content or stimulation enough to give it value. Without any of it, content here would be as bleak and meaningless as it is on ET and others like it. Here the members decide for themselves what is buschwa and what is not. The value here is that the content is richer and the tone more positive than any other board of similar ilk. You come here as a stranger, make 2 posts and both of them are content free, negative and bashing long term members about whom you know nothing. Bashers and one-liners don't add content or value- they drive it from the site. Instead -if you can, why don't you show us a piece of something that you authored or originated that is relevant to trading any market in any time frame and we will talk about that rather than your own personal, negative biases. If you have something/anything to say that is relevant to trading the financial markets - by all means, start a thread and share it with us. UrMaBlume

Again - while our experience has not much to do with longer than the session time frame, recent market action seems to be screaming clues for every time frame. Yesterday's NNT made lower lows. Friday's open was straight up. At one hour into the session, classic top signals by commercial trade and certain other indicators nailed what would prove to be the session high and from there price action produced a reversal day down and further new lows. Here is the graph that nailed Friday's High: Please Click to Enlarge Image Further lower lows in the longer term Net New Trade, as of Friday's close, are demonstrated here: Please Click to Enlarge Image cheers UrmaBlume

Cory, To some degree, here, we are starting to talk about both apples and oranges. Scanset 2.0 is more about target/instrument selection than it is about trading protocol. The operative terms when talking acout this application are Relative and Normalized. It takes an unusual commitment of capital to produce unusual relative relative volume and it takes unusually imbalanced trade to produce unusual relative price volatilities. To make these calculations relative they must first undergo a process we call "serial normalization," that is normalized for instrument, time segment and time of day. Since all of the target instruments are normalized under the same process then changes in the longer term market becomes irrelevant as the results are relative rather than absolute. 200% of relative volume still compares the same way to an instrument with 80% of relative volume regardless of the time/days considered. This kind of processing is an essential part of preprocessing inputs to the development of intelligent agents and data mining operations. cheers pat

Cory, We think that of the time/price/volume continuum, time is by far the least important and is given practically no weight in any of our calculations. The only time based chart we ever use is the daily shown here. The only place where time motivates price, that we know of, is related to premium decay in certain derivatives. The passage of time does not motivate change in price, it is the occurence of trade that motivates price. More specifically it is an imbalance in that trade that is the prime mover of price. cheers pat

While we seldom play in these higher time frames, a new low in Net New Trade within the session usually foretells a new low in price. Today's day session trade in ES summed to -87,575 contracts which produced a new low in the longer term NNT as shown below: Please click to enlarge image cheers UrmaBlume

We do not trade longer than the session and usually consider reference to longer time frames more of a distraction than a help but the magnitude of late in the divergences between longer term price movemtments and buying and selling volumes is historic. On the second of May we made an intermediate term high in the S&P. At the same time, as reflected by the chart below, there was a huge negative divergence between price and our indicator of Net New Trade. For the next 2 months price clung to the areas of this high while NNT continued to reflect an increasing divergence between trade volumes/order flow and price action. Price broke and made a bottom on the 9th of August. The S&P then rallied for about 40% of the total drop into a zone of consolidation. During that rally of 109 S&P points NNT rose by a total of 87,082 contracts. Of note is that in mid April there was a smaller rally of 83.25 points and the attendant rally in NNT was 350,829 contracts. This divergence could prove to be as significant to pice as the divergence that spawned this most recent break in price. While this sort of notation is way beyond the time frames of consideration of the intra-session trader it is useful background for traders of any timeframe. Of note also is the old TA axiom that as a rule a horizontal consolidation is a formation of continuance, not reversal, around 2/3 of the time, and that further the move out of the consolidation is usually in the same direction as the move into the consolidation and of equal or greater length. For the trading done by me and mine this is an observation of a time frame that is of the LEAST importance but the nature of the formations and the size of the divergences are hard to ignore. Please click to enlarge image Cheers UrmaBlume

The basis for any price movement in any market is not a price formation but an inbalance between buying and selling. Order Flow. I think the biggest loss in trying to apply the theory of perfect harmonics to the markets is that it is most often applied to price and price only. Price is not a cause but is a result. The graphs below show an algorithm that runs on the balance of trade volumes and does not consider price or changes in price, yet, mirrors price and in most cases LEADS price. Certainly the shapes are in perfect harmony as to the expansion and contraction of butying and selling and at the same time most of the changes lead price changes. The algorithms designed to demonstrate a perfect harmonic should be applied to the CAUSE of the price movement, not the price itself. Please clidk to enlarge image cheers UrmaBlume

Orderflow, Thank you. The last one was entitled "Trading The Extremes." We have found a pattern that repeats itself at least once on most days and multiple times in periods of very high volatility. The pattern involves divergence between price and order flow in a higher time frame as well as the same divergence in a lower time frame PLUS a spike above the "threshold of significance" in machine placed orders by commercial traders. During this last period of super-high volume and volatility this pattern was present on almost every session high on the big down days and every session low on the days with reversals up. The pattern was also present at several intra-session extremes - some of them good for more than 15 points. When I do the next one - I will post notice here. Thanks for your interest. cheers pat

At 7.9% the bar is no where near completion. Your original questions was about inside the bar analysis and this shows % of bar completion, current % buying volume and current % selling volume. What else where you looking for?