cunparis

I know this is an old thread, but you can find a free ninjatrader version here: Pace of Tape Indicator Trade With The Flow you can see the source so it can be ported to other charting applications. Except tradestation, it's timestamp granularity of 1minute is too large.

This makes a lot of sense. I am using IQFeed for Market Delta charting and Zen-fire for Ninjatrader for the DOM. I don't know if it's the Market Delta software or the IQFeed but when I compare the ninja DOM to the Market Delta Time & Sales and charts, the Ninja DOM moves faster. There is maybe 1/4 to 1/2 second lag in Market Delta. This is why I think it's important to keep an eye on the DOM.

The DTN MA is only available for Investor RT. It requires the IRT software so you can't use it with any other platform. IRT has negotiated a really good partnership with DTN for this service. IRT bills for it and you can add it simply by checking a box. It was very nice. I forget what I pay for DTN IQ but I think it's around $100/month. So with Market Delta the DTN MA is $25 so I figure it's worth the extra $75 to have IQ realtime and avoid the data problems shown in my previous post.

Fascinating post there BlowFish! As you know, Tradestation doesn't have bid/ask but has uptick/downtick. I do use uptick/downtick on my tradestation charts but since I have been trying Investor RT & now Market Delta I've been putting more confidence in the bid/ask delta. I've done a lot of comparisons by showing just delta on both platforms. In many cases they're very similar and then now and then they'll differ. Sorry but I don't have any screen shots to illustrate this. These small differences really add up when summing the delta as in cumulative delta or the volume breakdown "delta momentum" indicator. You raise a good point about bid/ask in that is it really worth it to have bid/ask instead of the more reliable uptickd/downtick? For now I have found IQFeed very reliable when I compare it to the time & sales of tradestation. I use TS's T&S simply because I can get it historically so it's easy to go back and check. Here is a ladder comparison between Ninjatrader with GOM Ladder & Zen-Fire & Market Delta with IQFeed. Look at the circled area. IQFeed & Ninja have totally different results. Interestingly enough, the price above and below they are almost the same. This kind of error could cause a trader to enter or exit based on incorrect information and just one mistake could cost more than the subscription to Market Delta & IQFeed!

Investor RT offers "DTN Market Access" which is historical only data from DTN for $15/month. I used it when I was trying out Investor RT and it works great. I was using zen-fire & transact as my primary data feeds and I would periodically reload the data with DTN data. That's when I discovered how different zen-fire & transact data was from DTN. Often I'd see divergences that would disappear when I reloaded with DTN. And often I'd see divergences form too. So that's when I decided it was worth the money to get IQFeed. The same service is available with Market Delta but it's $25. I guess MD takes $10/month and then IRT takes the $15 and splits it with DTN. That's why MD is so expensive btw because you pay for IRT + the MD add on, which I find worth it for the software but for the DTN MA it's a bit extra cause MD adds no value there. IQFeed participates in the CME exchange fee waiver program. I am paying the basic service plus Eurex exchange fees and I get all Globex (Nymex, CME, & Comex) free. That saved me around $180/month.

I'm using Ninjatrader & Market Delta (and Tradestation but not for anything related to bid/ask). So far I've seen a lot of discrepancies in bid/ask data between ninja with zenfire and Market Delta with IQFeed. In a few cases the ninja volume ladder was missing 6% of the volume, in other cases it has more trades at bid than ask for a particular price level when market delta has the opposite. When that happens I've looked at the tradestation time & sales and determined that Market Delta was more correct. I'm not sure if it's the ninja software that has problems, the zen-fire datafeed, or both. The platform can send the bid/ask changes independently but only if the datafeed supports it. I am under the impression that IQFeed sends them together.

From what I understand we only get the update message on each trade. Let's say first trade is at 150.05 on the bid and we've never been higher. Then the bid goes 150.06 but there are no trades. and now you get an update message with bid 150.07 ask 150.08 and a trade at 150.06. we wouldn't have 150.06 in our dictionary? If the bid/ask changes were sent independently of the trades then everything would make a lot more sense. Please forgive me if I'm missing something really simple.

I understand your example and I understand the algorithm of your code, but I don't see how (or when) your code will know that 123.22 went bid. are you programming to their API directly? Is their API C#?

For ES & YM do you include the overnight volume in your VWAP & histogram? I agree with you that the effect of the volume would be completely overshadowed by the volume at the open. But I see traders using 9am for crude (and 9:30 am for ES) for the beginning of their session and I'm puzzled by that. I guess it makes charts cleaner because the overnight session is a bit disorderly.

Hey guys I hope someone is still watching this thread. I have been learning about market profile over the past few months and I stumbled upon this thread which has been very interesting for me. Before I continue reading I want to make sure I have the basics down. I do have a question: I trade CL from 9am to noon NY time. Do I use the overnight session for the volume histogram or do I only use the data starting at 9am? This makes a difference in the vwap & PVP so I'm not sure. Thanks

Was there news at that time? I stay out around news times and I only trade from 9am-noon german time. After noon things get slower and more volatile. Today I stopped around 10:30 because it was very dead and then all of a sudden would get very volatile. I couldn't trade it. I'd enter and then the market would just sit there. So I spent my time observing the dom and reading a market profile book. Check out this spoof I saw on the dom. The images were taken about 1 minute apart but the market was dead so there were not many trades executing, certainly not 50+. The market eventually broke out to the upside.

To expand on my current challenge, here are two CL trades. My 3rd target is +10 which I will bring in if price is stalling. On the first trade I got out and missed the huge move. on the second I got out just in time. I am coming to the realization that trade location is really important and I'm trying to learn when to take 10 and when to go for a bigger move.

I trade dax for the european morning and then I switch to CL for the US morning. For both I really focus on a low-risk entry and I use a 6 tick hard stop but I try to be out with -3 ticks or better. It has taken a lot of practice but I'm getting a lot better. My main concern now are commissions. I'm currently trading on simulator and when I factor in commissions they really eat into my profits. So I'm working on my exits and would like to stay in for some of the bigger moves. I trade 3 contracts and I'm out of the first at the first sign of hesitation. Stop goes to -2 ticks. Then the 2nd I'm aggressive too and when it is out stop is BE and I try to get 10 or more out of the third. Have you traded dax? I'm curious how the bund compares. I'm used to high volatility markets such as Dax & CL so when I look at bund or fesx it's hard for me to adjust so I just stick with dax & cl. But maybe bund is better for scalping I don't know.

I am slowly coming to the same conclusion about the stop. My current goal over the past few days is to limit my losses to 3 ticks. I'm curious if you have an automatic stop in at -2 or if you use a mental stop? I'm currently using 7 tick stop on my DOM strategy but I try to cut it at 3. I'm debating if I want to move it to 3. Sometimes I am totally wrong and the market hits my stop very fast and I don't have time to get out. But other times it'll go -5 or -6 and come back to -3 and I bail at -3. So I'm trying to find the best way to do this. Also are you scalping? What kind of profit do you get? I'm currently going for 5-10 ticks and once I get that consistent I want to try for more with my 3rd target. Many people tell me 3 tick stop is too tight but once I started doing that I started doing much better so I think I'm on the right track. Learning to swallow my pride and accept a 3 tick loss was (and still is sometimes) very difficult for me so I feel like this is a major step for me. Thanks for sharing.

I use the Ninjatrader DOM for trading. I'm not sure if there are any issues with it.

I read a resume of Ney's ideas on the web, it was really interesting. I've known the specialists had a huge advantage but didn't really understand to what extent. I took a mechanical stock trading system that I trade and I ran a backtest for Nasdaq & NYSE. Surprise, the NYSE results were not as good as the Nasdaq results. The nasdaq stocks had a higher profit factor and much less drawdown. Not only that but in my real trading I've been observing terrible fills on the NYSE stocks. For example a stock gaps up and I have a limit order to short at yesterday's close. The price will come down, fill my order (closing the gap) and then go back up. I know the specialist isn't really after my tiny order but I'm sure others have orders like mine and he's filling them at the worst price for us. I seriously consider just trading nasdaq stocks. I also think if these specialists have such an edge we should be able to detect their activity and trade with them, profiting from their manipulation.

I've been wanting to study this example for a while now and finally got to it. It's a great example and I thank you for sharing it I wrote it out on paper so it's not easy to share but at the end I have: DOM --- 200 --- 200 --- 800 200 --- Ladder --- 600 200 600 200 --- So the delta for the ladder is 400 sold and 1200 bought, which is in agreement with what you said. I'm happy to have gotten that right since I'm still new to the delta concepts. You distinguish between a large & small trader. Anyone can put any size on the book so I think the only thing we can know for a fact is the trades that executed. In your example the small trader was more aggressive when buying 600 at the offer which is why the delta shows a net of +800. The delta is showing that the buyers are more aggressive and that seems to be what happened. I think the logic is ok here. If I understand you correctly, you said the logic is flawed here but I think that depends on how one uses the delta. A positive delta doesn't necessarily mean price is going up. There is the fact that your larger trader is prepared to sell more and you imply that this is bearish and in contradiction to the delta which is relatively bullish. So I agree with you that in your particular example there are more aggressive buyers yet price isn't likely to go up. This is something I've observed in my trading. If I see buyers coming in on the footprint and price is going up that means those buyers are buying into supply and if the price is going lower that means the supply is cutting off the buyers. This is indeed bearish and it's a setup I've been practicing. I then look for aggressive shorts to hit the bid and that's when I enter, knowing the supply is behind me protecting my stop. Is the logic flawed? I think that depends on how one is using the delta. In this example the delta is showing an accurate depiction of what happened. But one has to interpret this delta in the context of the current price movement to know if this is bullish or bearish. I'd love to hear more about your suggestion to study the book. The challenge I have here is there are fake orders on the book that get pulled. I understand that is designed to trick people into leaning on these orders and then the orders are pulled while the trader (sometimes called "flipper") goes short. The unsuspecting trader leaned on orders that weren't really there and is taken out. I've been observing this lately but it's not easy for me to know when there are fake orders and when the orders are real. To be honest so far I find the DOM more of a distraction but I'm determined to learn more about it and how to see through the tricks. If you have any suggestions or resources for doing this I'd be very grateful. Thanks for your example, it was fun to think it through.

Sorry I missed this before. I actually programmed this for another trader so I prefer not to talk about the specific pattern. To update the thread, my strategy is currently in drawdown. I don't think this is due to curve fitting but rather a change in the market. I believe this because I started forward testing in early december and it worked great and then I started trading with real money and it continued. However sometime in January it started failing miserably and had a drawdown bigger than any it had experienced before. I pulled the plug in January and ended up breakeven. Had I started in January I would have lost a lot, as I ended up giving back what I made in December. I'm now monitoring it and when the equity curve makes a new high I'll consider trading it again. It has to prove it can make it out of the biggest drawdown.

Realtime $100+ Historical with Investor RT $15 (or $25 with Market Delta) that's the only reason I see. the new exchange fee waivers from IQFeed do make it much more affordable than it used to be.

That's what I'm doing now. When I reload the data which loads it from DTN, the delta bars change. Sometimes divergences will appear and sometimes divergences that were there will disappear. It's quite frustrating. I'd rather pay for DTN data and not have to do that.

I saw a trade take place between the bid & ask on the Tradestation time & sales.

Can you explain why the cumulative delta is incorrect with zen-fire? I've been comparing CD with Transact, Zen-fire, & DTN. Transact was not very accurate. Zen-fire seems to be pretty close to DTN. I cannot say for sure that DTN is more accurate but I do trust fulcrum trader who has examined the DTN feeds and claims they are most accurate. What I'm interested in is knowing how zen-fire falls short. I'm not sure it's worth it for me to subscribe to IQFeed. AgeKay & Blowfish - your discussions are respectful and very informative. I'm learning a lot. Thank you both for sharing. In fact thanks to everyone for a great thread.

One problem with tradestation is it uses minutes for the timestamp. It doesn't even go to second. For bid ask I think Investor RT or Market Delta are really the best.

Depends on how discretionary and complicated you make it. I'm trading a semi-mechanical method and it's really simple. I get 0-5 setups per session (I only trade mornings). I surf, read, watch webinars, chat on skype, etc. while patiently waiting for a setup. When I get it I click the DOM to enter and that's it. either stop or target is hit. trading doesn't have to be complicated. I'd love to automate this but I trade off chart patterns including divergences which are not easy to automate, and I was a professional software developer. Maybe some day I'll try to automate it but I fear that I'll spend more time automating it than I would just trading it. Plus the markets constantly change so if I do it manually I'll gradually change with them. My take on automation is that it's possible but you sacrifice your performance. I haven't been able to get higher than 1.5 profit factor on automated systems. The drawdowns are too high. I've wrote hundreds of strategies and none of them work as well as my discretionary trading. So I gave up on it. The edge is in our brains. If it were possible to just program an automated strategy.. well goldman and the big companies have lots of programmers working on that sort of thing. if it were possible they'd be doing it. you have to use your brain and focus on what cannot be automated and that's reading price action, volume, order flow, etc.

The problem is I don't know exactly what type of market is making this work. I'm still trying to figure it out but I really can't explain the drawdowns or the fact that it started working towards the end of 2007. this isn't the first time i've had a strategy not work before mid to end 2007 and then work well after that (even curve fitting). i guess that's when they became more volatile.