paolfili

This is a really important issue. What does it mean a good connection? Do you think the re-syncing of the line is the most important parameter? A re syncing of line determines the lack of some packets? I think will be really interesting determining a reliable test (I can do my via hping scripting). Can you suggest me any other meaningful test to do a network connection to determine the goodness in high frequency trading context? Thanks

You can do it using the OS call managment on IP (Stevens books docet...anyway I prefer C). But TCP has several other goodies and is always an "observed object" (from the academic network community). What about syn-flood like,Initial Sequence Number attack like ,etc in a your custom IP protocol? Moreover the hardware (router/bridge) and software(kernel driver) are nowadays very tight to standardized protocols. (Why reinventing the wheel?) Changing approach to the problem I think the Future in the feed world are the FIX oriented protocols. The present (for retails as we are) is for now learning the datafeed nuances.

The UDP design on ZenFire data is not reliable on high volume data distribution. (from ZenFire desk). Can you mention some reliable UDP protocols (in the sense of packet sequence number and frame reconstruction) that is better than TCP in the trade-off packet_lenght/information? The "reliables" UDP protocols are used when (for some reason) you couldn' t use TCP connection.Otherways TCP is the way. If you have a very high-quality link to the UDP data provider probably your packet loss percentuage will be very very low. But it depends from the kind and the number of symbols and type of data. The same issue is for you "elaboration unit" (Pc, cluster,mainframe,etc..) .It' always a trade-off problem. The main difference between ZenFire(Rithmic)/DTN.iq feed framework is the quantity of data. Any Platform (NinjaTrader/Inverstor RT/etc) relies on API from the feed provider. From what I' ve seen the DTN API can offer only BEST_BID/BEST_ASK, and cumulative VOLUME_BID/VOLUME_ASK. Zenfire API can offer all level bid/ask change.This is a lot of data (more than DTN). If the Zenfire book information will be reliable you could explore in very depth way the futures DOM (probably some quants are doing this now). But probably the "price" for the possibility of this huge amount of data is the UDP design of the feed. Another possibility is to re-organize the design of the feed. (Any Zenfire guys hearing ...? )

1)TCP is a lossless protocol.(wikipedia/google is your friend). 2)The timestamp issue a well know problem (for quants). If you have a high quality link to Exchange you can timestamp the data and then spread to your customers.(As every timestamp feed provider does)

Hi Fulcrum. Can you help to see clearly in the question? 1)Now we assume Zenfire Bid/Ask sequence lies on the type of trade.(observing the API I can confirm the taotree suggestion on the broken order of the timestamps). So GomCD is unusable from the ZenFire feed.("Ticker plant" absence) 2)The DTN.iq feed for NinjaTrader can be ok with GomCD. But why there 's the need of a good newer PC with very good internet (cable modem at a minimum)? The DTN.iq data is TCP flow (insted of the ZenFire data that is UDP and TCP only for orders) so I' don' t see the need of a performance PC and good internet. (I' ve got a 7M adsl). The only problem is some latency in the arrival of the data while the order must be preserved also in a slow connection. IMHO the only important thing is the correct syncronism in TRADE and BEST_BID/BEST_ASK flow. Another different kind of problem is the weight and the manipulation of (big amount of) data from the NinjaTrader platform. So the limit here can be not the liability of CumulativeDelta offered by GomCD , but the number of charts you can manage with NT. Please,correct me, if I'm wrong. Thanks P.S. I think NinjaTrader is (for me) a very good platform . So is important to undestand where is the problem and see if NinjaTrader/DTN.iq (without the 4 weeks historical from the InvestorRT/DTN.iq) can be a serious way to look a the Cumulative Delta (using GomCD).

Fulcrum do you think that this kind of "tricks" (in smaller volume sizes best hidden in the tap) can ,in some way,invalidate your Grab Inventory Strategy to read "The Market"? In the last weeks do you confirm your methodology principles or there is some basic change In The Market microstructure? Do you think there is a way to "track" this kind of events to eventually "sanitize" the data? Thanks

i)Anytime the auction changes from bid to ask (and v v) (or to some cases of neutral / balanced), What is your limit to assume a change in the buyers/sellers waves? (i.e. I' m using a similar setup on a 2k volume chart , and my signal is the 2second bar of reversal after steep bid/ask waves) ii)‘Trades’ not on the CurrentBid or Ask are ‘proxies’ for market order type participations. Interesting.Do you think that there' s a way to track market_order/limit_order from ZenFire feed?Any existing Ninja DOM indicator customized? iii)‘Sustainable’ price moves seem to have both extent and an obviously close balance / ratio of ‘mkt’ order participation with (/ just under) ‘limit’ order participation. ‘Crap’ moves seem to skew a preponderance of one or the other, including but not limited to one summing to positive and the other to negative. Many terminations show swing level negative divergence between price extents and indicator extents ( but I haven’t run stats on that phenom and rarely use that information…) Mkt_order/limit_order dynamics. tape order not changing DOM volumes? Thanks zdo

Can you detail a little more? i)what "market condition" are you speaking of? ii)Price pivot are min/max of a swing?(So you are postulating a change in behaviour of CurrentBid/CurrentAsk tick assumption from up/down swing ?)

FulcrumTrader, from what I' ve understood ,you are talking (about OFA methodologies goodness) for the *short* timeframe setups(the "when"), while the "inventory grab" method shows the direction for longer time_frame setup (the "where"). Can you confirm? Thanks

FulcrumTRader, can you make an example of : "the BEST ability to hide their order entry and exits through automation". Thanks

BlowFish I think you are one of the most sharp and interesting posters in TL forum and you are one of the 3 nick I follow regularly. Anyway I think that to TRY to explain some dynamics in Cumulative Delta (even if it may be a waste of time) can be profitable in the long period. I think that this can be a real interesting direction of investigation. It' s not a pre-compiled solution.But can be an important edge (for MY personal style of trading). On the specific point of the top/bottom of reversal (with an illogical(?) huge sell in bottom and huge buy at the top) I think that It can be a subject for a detailed study,but,for now, we have just hear some "suggestion" on this event from UrmaBlume. Probably in next week/month I will post some detailed analysis on the phenomen.

I think it is difficult learn together. We have very different (opposite) opinion on using the Cumulative Delta. Anyway the recovering (as you immagine) in area 1094.5 is very weak compared with the sell in area 1092 and I don' t share the "Order Flow Analitics" hypothesys of a market ALWAYS guided by the "2 point stop" tricks of Market Maker. Occasionally It may be in this way ...but the dynamics is more more complex. What to say.... We have different point of view on same events... Is difficult to find a common language.

Ok. You open another direction of investigation. You said the equities buy/sell programs leads the future till the price is touching one "zone of resting inventory". And in your experience is TRIN (as I' ve seen in some of your video) sufficient to infering something on the buying/selling activity of the "Big Boys" box? A more complex instrument (involving also the Volume and the Value of the Whole - or the main part - of the equities market) can be more useful, IYO? Thanks

?????? First of all I' m following a daily CumalativeDelta analysis.(and in a longer timeframe this analysis can be completely wrong). 1)I disagree completely from your analysis.I don' see any logic in what you said. In my vision of the Market, Volume leads the price.What do you mean when said: Upon seeing this accumulation of short positions where price couldn't go to expected range, predatory entities (market maker, institution, any firm big enough to move price around) may step in to run the market up and cash out of long positions as the sellers stops get hit ? After the reversal following the grey lines (I' ll call a microdivergence becouse is relative is a 100.000 volume timeframe and the slope difference between the lines is not so high) you don' t see any spike in volume that recall any short covering of the group of "your seller" in the up front of the reversal wave.Remember that seller want to defend his position, and on the up front there are little buyer. 2)As you said : "same condition" 3)Ok.And based on the premise you indicate that "more long positions were sold than entered and short positions were accumulated" can we state something on the following part of the chart?It will be (with a favour probability) up or down? I thinks is reasonable talking about other events (grab inventory) to try to interpret the dynamics of the Market, but CumulativeDelta is ALL about more buying or more selling.

I' m looking for an electronic symbol where the buyers/sellers cannot send wrong signals to the market buying on one side (ex. electronic) and selling more on the other.

I agree. IMHO (and from my observation) Liquidy drive (futures index) markets. FESX in the EU Morning. ES (and son) in USA working hours. Asian index futures in the EU night. Anyway I think is important to share different observation.

What is in your opinion the electronic instrument where is less present "arbitrage" activity? ex. ES may be arbitraged by "Big" SP traders.Currency Futures may be arbitraged by "Spot Market" orders,etc.... Thanks

FulcrumTrader can you add some words to my questions? i)Can you confirm FESX leads UE morning Market? ii)An "inventory grab" event is more important than a persistent divergence of a different sign? Thanks P.S.Please ZOSO let the Vendor and the Buyer continue the conversation.

FulcrumTrader, I' m following your posts from months. With UrmaBlume' s posts I think you express some of the more interesting ideas of the last months in TL forum. Anyway in yesterday (as in some other days) market dynamics from a CumulativeDelta only prospective there are a lot of question mark.(from MY point of view). Let' s try to open a little the timeframe view for the ES. You talk about a grab inventory event in the UE morning. Probably I' m on a wrong assumption, but I' think in UE session begin the FESX leads the Market till the 13.00/13.30 CET when (usually) ES take again (in term of $/timeframe) the leadership. I think that +5k in the ES night session (institutional market) cannot balance the FESX Cumulative Delta persistence in the morning. .. probably I need to use renko 0.75 bar visualization and buy your delta course ....

In Intraday prospective (the only I can manage ...) some divergences seem not respected.

UB can you suggest if the velocity considered in Harmonic Indicator are changes in volume domain (ex. in per constant volume bar sell/buy quantity) or time domain bar (ex. changes in sell/buy quantity for timeframe considered)? Thanks Paolo

The picture is almost complete when you can consider that some (big) "anxious" partecipant can be an insider between the "patients". From the rest (in the price) after some big blocks transit I suspect that sometimes the "active" buyer that hit the "lazy" seller are the same fellow, also with different size in the tape (but similar trade intensity).

Thanks a lot to you UrmaBlume. Your post always spread light on some interesting high frequency trading aspects. A new question arise from your words. "The intelligent agents capable of sorting all this" (apart from any trade intensity indicator) in a (impossible?) "perfect feed world" is a kind of a DOM analyzer? i.e 10000 limit buy on 7000 first level asked lift bid on 3000 remaining with (more or less) the same (milli/micro second) timestamp on contract and DOM bid uptick?

The 2° method is the right one for the definition of asked/offered ( on hypothesys that the price and bid/ask feed are syncronized). Your post let me suppose that you consider the two feed unsyncronized (by most data vendors that use the 2° method). Am I wrong?

Hello. Can anyone suggest me one VIX,VDAX,VSTOXX,etc **REALTIME** data feed provider? Thanks Paolo