UrmaBlume

Brownie, Thanks for the tout. Yes, after years and hundreds of requests (you were one of them) we have started leasing some of our retail products. If you had been one of the hundred people who attended a webinar today on locating session extremes using our gear and had heard the praises and brags from our users, your questions would be answered. Forget about precise orderflow analysis and pinpointing the kind of intense commercial activity in the millisecond time frame that forms local and session extremes and stick to those candlesticks. UrmaBlume

Here is a lot easier way. This software works on volume charts and is part of a package. The middle percentage is how near the bar is to completion. It 3k have traded in a 6k bar the number would be 50%. The top red number is the percentage of the volume that has already been done inside the bar that is selling/on the offer and the blue number at the bottome is the percentage of buying volume in the bar so far. cheers UrmaBlume

No worries Cory. There will be another one and a recorded one and if you give me a call sometime after the close and towards the end of the week, I will give you a private one. cheers pat

My pleasure. There will be a Webinar on "Trading the Extremes" on Tuesday 08/09 at 0830 PST - registration opens at 0800 PST - limited to first 100. Plenty of time to "Ask Urma" after 15-20 minute presentation on how to locate local and session highs and lows using order flow and locating intense commercial activity http://bit.ly/n9XF9D cheers pat

I believe there is a 5k minimum for futures accounts at TS. Clones are actually new accounts with different account number but with the same CustomerID.

If you only have 6k in your account and you are asking such questions - you probably should be trading on the simulator.

TradeStation will "allow" you trade any number of strategies on any number of symbols in any number of accounts. The issue is that if you are trading the same symbol with more than one strategy in the same account - then entries from one strategy can offset positions from another. The answer is that in TradeStation it is very easy to clone your account and then link the different clones to the same platform and then you can have as many "independent" positions as you have clones. I have six linked accounts at TS so I can have 6 different strategies all trading the ES and each is independent of the other. I run all 6 accounts from the same TS platform running on the one workstation. Did you really think that you could be both long and short in the same instrument in the same account? UrmaBlume

We have been working on this and other issues under the topic of "The Physics of Price Movement." One thing we have discovered is that the amount of divergence in Net New Trade is often indicative the magnitude of the move to come. Over the next couple of days I will be posting an article and a video article about the power of volume/order flow based divergences as opposed to time/price based divergences when trying to locate extremes in real time.. cheers pat

DOH - Obtuse to the max. The freeze itself didn't do anything more than produce the buyers when created an imbalance in trade and it was that buying that drove prices not the fact that it was cold in Florida. If an orange juice producer from anywhere in the world received a huge order and he decided to secure his profits by buying in the futures market - if he bought enough certainly it was supply and demand and in this case buying produced by demand that drove prices. To say that buying and selling imbalances don't push prices to me is a huge non sequitur. UrmaBlume

Not me. I don't believe the passage of time influences price except in the case of premium decay. I believe that changes in price are not motivated by the passage of time but rather are motivated by more buying that selling or vice versa.. It doesn't make sense to me that becasue a certain amount of time has passed that prices must reverse themselves. Every single trading day I can demonstrate instances of where as buying volume increased prices rose and vice versa. I chanllenge you to show me a unit of time that changes price in the sub-session time frame on any consistent basis.

Divergence on price based indicators such as RSI, MACD and Stochastic on time constant charts do not carry the weight or are not nearly as effective/useful as divergences demonstrated by volume/order flow based indicators run on volume bars. There have been significant divergences from such indicators on volume bar charts on at least one of the session extremes in each of the last five trading day sessions in ES as shown below: Just click to enlarge any of these graphs to see txt, time & dates Price makes a poor input to predict price and the passage of time does not motivate price. It is the occurence of trade that motivates the movement of price and more specifically it is an imbalance between buying and selling in that trade that spurs price. Cheers UrmaBlume

Exactly and it is demonstrated every day. As to news forget it, you don't need it. Understanding and the money behind it will always have the dominant position and they, mostly, can't hide the fact of their transactions. We scan 400 stocks and 35 commodities every day for out of sequence volume (which take out of sequence money commitment) and out of sequence price volatility which takes very imbalanced trade and make those scans available to the public here. The point here is that you want to know more when there is unusual volume or local price volatility that is not associated with news that when it is. Somebody always seems to know and if you can track their transactions they you, in essence, know what they do. cheers UrmaBlume

From reading all of this and from reading the post below - I can only say that, maybe, and with all due respect, you are overthinking it. If we must get mystical - think that out there - where price is not - there is a force stonger than local trade or retail traders' 2 lots and that as soon as they get price anywhere near his sweet spot - he strikes and drives price THROUGH all of them to new profitable extremes (for him). This has happened on at least one extreme on most days for years - here is today. What more do you need? click to enlarge image cheers UrmaBlume

Yes indeed. The Indicator Pack I mentioned supports both reversal and continuation trades. But, with regard to extremes and reversals, it is noteworthy that today is the third day in a row where the commercial longer term/value trader has been active on the highs with a very strong negative effect on price. The charts below, again, show the divergence in the higher time frame and the topping spikes w/divergence in the micro time frame. Note the very strong activity at today's highs: Just click to enlarge the charts to read text or dates/times PST cheers pat

Cory, Thanks for the very kind words. You have made a very perceptive observation about the dynamics of the formation of session extremes. As we described below - trade consists of a diverse brew of participants, motives and methods. Discovering the trade that forms these extremes is not just about either volume or velocity it is also about detecting certain ratios of the mix of buy/sell/limit/mkt orders that combine in the millisecond time frame to establish these session extremes and that these special indicators detect. Thanks again Cory. cheers pat

The point is, as demonstrated above, that it doesn't matter what the market maker does, it doesn't matter what the public does, it doesn't matter what the HFT operator does. What matters is what the participant that drives price does. Both the pulic and the market maker never lead price, never turn price they only chase price and the longer time frame/value operator is almost always ahead of price because it is his action that so often turns price. UB

To work down to the answer to your question of "The question is, how does he know the price level?" we must first define the main market participants, their volume of trade and their impact on price. In markets like ES and to some degree in most US equities most of the actural trade volume is done by traders who both enter and close their positions during the same session. This group includes retail traders, what used to be called "locals," commercial scalpers and the HFT group. While they, collectively, do up to 80% of the total volume, their impact on price in minimal. They merely run price up to and down to the waiting longer term, value trader or strong commercial operator. While this participant usually is responsible for only 20% of total volume, he is the player responsible for the establishment of many if not most session highs and lows. He is able to form these extremes because at the moment his, mostly machine placed, orders are bigger that the market and stronger than the momentum that brought price to that level. At the moment price runs into this immoveable force the intensity and the velocity of trade show big spikes. The measurements required to record/demonstrate these spikes must be taken in the millisecond time frame. In the ES these spikes can often reflect a rate of trade of over 300k contracts per minute. That doesn't mean that 300k contracts traded, it means that for a few seconds or parts of a second it traded at that velocity of trade. The last four days of trade in ES have demonstrated such spikes at one extreme or the other and ther are shown below. Of particular note is that value/longer term/value buyers are not usually present in the same session as longer term/value sellers and vice versa. During the last 4 days this traders was only present on one of the 2 session extremes and that was the sentiment that dominated the trade for the session. The first graph shows yesterday's high and the presence of this spike and the stronger value trader on the high and not the low and it was a very strong down day. The 26th was another strong down day and again these spike appeard on the the high and not the low. On the 25 we had a day with a mostly up sentiment and he was on the low as the chart shows. The 22nd was a reversal day up with both the open and the close near the high and again these spikes were on the low. The dates are on the charts below which you can clidk to enlarge and the times are PST. We use only volume charts and ignore price based indicators. The indicators that help us spot these extremes are a part of this package and you can download the manual for these indicators here. The answer is that he knows the prce from models that input both fundamental and technical market data and acts accordingly. Just click on the image to enlarge to read text and dates cheers UB

There is a set of indicators, available to the public, that do an excellet job of spotting session extremes in real time. The strongest extremes are formed when machine placed limit orders are replenished at a rate that exceeds human capability and exceeds the momentum of the market as plainly demonstrated below. In the longer term there is a divergence between balance of trade indicators and price and in the millisecond time frame by spikes in trade velocity so strong that it can only be done by machines. Below are sceenshots of extremes from today and the previous 4 days -the extremes are labeled by date and the times are PST. In almsost every instance, at these extremes, there is the divergence in the higher time frame and velocity spikes in the fastest time frame as shown below. Just click to enlarge any image to read text and see dates & times Bottoms are made by a bid bigger than the market and tops are made by an offering that is bigger than the market and the momentum that got price to the highs. At least one of these signals happens almost every day as you can see happened in each of the previous four days. cheers UB

Thanks for the kind words. The software/indicators are not part of a system but they are part of a package of indicators that is described here. cheers UB

When one component of the harmonic does the exact opposite of the other component and does it in the same amount then you have a balanced harmonic. In this case it is a balanced harmonic of order flow or the balance of trade. You will note that when selling is increasing, the red line moving up, that buying is decreasing, blue line moving down, by the same amount = a balanced true harmonic - one component is a harmonic of the other. My small group endeavors to explore what we call the physics of market information. The harmonic of trade flow we have shown is designed as a leading indicator of price without any inputs from price. The net of order flow as shown in the graphic is the force and price is the particle or object. As buying and selling displace each other in harmony (the graphic) so is price displaced. The definition of simple harmonic motion is simply 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. Below are shots of two different algorithms that produce true harmonics of buying and selling volumes that, as the graphs show, often lead price. Please click to enlarge image cheers UrmaBlume

Thanks. Maybe one day if I am lucky enough to visit the Maritimes we could have a beer and I will tell you the tale. cheers

The document is very old and comes from the days when I did some work with companies trading on the old VSE. During those days I spent considerable time in Vancouver and to this day it is my favorite city in North America. The document is on my wall because it is associated with a very funny story that is best not told in public. cheers UrmaBlume

Wow, what eyes. Yes indeed it is a Canadian document.

MacDougal, I am not sure which document or picutre you are talking about or even which post. If you are referring to the list of fields in the post above - that is the output of one of the trade analysis routines in TradeStation. cheers UB

Whether it's poker of the markets it is impossible to have an idea of either expectation or variance without an adequate sample space. In trading that sample space has nothing to do with time, it has to do with the number of transactions just like in poker where it has to do with the number of hands. Most all traders are accutely aware of such statistics as win/rate, expectation and drawdown/variance. Just to give you an idea of the stats available online after every trade or during any number of trades or during any time period, most trading software makes online, real-time, in depth analysis of one's trades instantly avialable and even the most basic systems include the fields shown below: UrmaBlume