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UrmaBlume, You always mention entrances in connection with this indicator. Do you use it at all for exits? I ask because today there was no reason to exit that move starting ca. 11:29 until ca. 12:46, when there was a smaller but clear intensity spike indicating an exit or reverse was in order. Unfortunately I lost my internet connection for a while and my version of the Intensity indicator vanished with it, but you can still see the spike fairly well in the 'standard' velocity histogram in the attached. Thanks again for the pics, and for the ideas. This definitely helps me 'carve the turns' at times.

Addressing dkm's question, in the chart in question, there are clearly faster fractals than what is being called a tape here, and those faster fractals meet the definition of tape provided earlier by Spydertrader. Thus it appears that "tape" is being used as a label for more than one level, so that "tapes" at the fastest level (on the basis of 2 bars, as in Spydertrader's original example) can construct larger tapes, not only traverses. Perhaps someone could clarify this point?

Yes, but if you're using dominance / non-dominance to determine the direction of the volume gaussians, what are you using to determine dominance / non-dominance?

Thanks for the pic. Mine's getting there, I think ... but it didn't entirely pick up the secondary spike on the actual low.

The trouble with this is that volume also seems to be interpreted on the basis of channels. So we see increasing volume gaussians drawn while the volume bars are actually decreasing, and vice versa. Establishing the correct context seems a matter of judgment rather than rules.

Thanks for the response - I don't have trouble with creativity, but my programming skills are very ad hoc! I had understood that the API wasn't available to retail clients, so I've written to my Mirus rep for more information.

Yes, but without an API, how does one gain access to the ZenFire data before it is processed by NT?

2) For a given block of volume --- say 4000 shares -- do you divide the buying/selling activity based on activity on the bid/ask, the last trade vs previous trade, or some other way? None of the above it is the EXACT balance of trade in both percentages and number of contracts for the most recent trades that total that amount. UrmaBlume, Just to be clear, are you saying that you do not use any method to divide ticks into buy and sell ticks? I.e., you determine "balance of trade" by some other means altogether? TIA

Yes, probably. I have noticed lately, though, that NT's T&S window will sometimes drop trades if they occur too quickly (this is a filtered window > 99). Also, the T&S window trade direction sometimes disagrees with the direction of the trade according to their own bid-ask volume indicator. I have yet to investigate this thoroughly, but I suspect it's something in the T&S window itself rather than their basic tick processing. Interestingly (btw) in intense periods indicator script appears to be processed immediately, while drawing the charts lags, and T&S lags even more.

I just read through this thread - some interesting threads, though it sure started with a lot of struggle over the code. Interested NinjaTrader users who don't know of it should download the GomCD indicator from the NT forums. It prints cumulative delta bars, has 3 different calculation methods, a volume filter, and records the data on the hard drive so you have a historical record and can see cumulative delta across multiple sessions. Delta Buy/Sell Volume - NinjaTrader Support Forum

Richard, I've started working on this as well (and was going to post about being 'late to the party' too!). My first step was to measure n volume over time, currently using a static value for n. On some days this alone produces useful signals, more often far too many signals. Step 2 (which I'm just starting) is to measure tick velocity, with some sort of size filter, and see how that corresponds to and interacts with the first method. UrmaBlume refers to a strange dynamic at the extremes; it seems that those spikes are often marked by huge disparities between bid/ask hits, with the relation opposite to what one might expect. Many contracts are hitting the offer toward and at the high, but the offer is being replenished. Once the buy orders are exhausted, price starts to drift down, and gradually picks up speed...but I think there's more to it than this. A good deal can actually be seen on a volume chart with a standard velocity histogram (1/(t2-t1)), but keeping the measure independent of the bars means provides more precision, and makes it independent of the particular chart used for display. UrmaBlume, thanks for your post, and please feel free to correct or comment on mine!

Just a quick revision for NT- haven't tested it live, but I think this should do what you want. However, UrmaBlume's work in this area seems considerably more promising.... VolumeSpikeMA.zip

Thanks for posting that - very interesting in the light of recent developments in Iran. Those TED talks are wonderful - and great listening when the market is moving slowly. Also (and more generally), I've only just started exploring this site seriously, and came across your various threads over the weekend - thanks for those as well, they contain a lot of very suggestive material. I've been trading for some time with volume bars, a velocity histogram, and cumulative delta, and have been searching for ways to measure and exploit more precisely what I've been observing. Having the computer beep when large lots are hitting the bid and the ask can alert one to all sorts of interesting activity, but quantifying it is something else. You've indicated some interesting directions...