phall

most exchanges require all "off floor" trades be reported in a timely manner. the trouble is that this can be be out of phase with the current action. so if a large block trade is negotiated "upstairs" it will only affect the marked when it gets reported. this is part of the trouble with watching big trades only; they are not necessarily in response to other large block trades. also, the big trade has to respect all orders between the reported price and current so it will have the effect of firing off orders in the order book between the reported price and current. the large trading desks spend alot of time making sure it's not too expensive for them for a detailed description, i would recommend Larry Harris's book: "Trading and Exchanges"

amen, brother just to remind everyone using the VS_MACD4, the MACD method compares two trendlines to look for a divergence in the separation to indicate strengthening or weakening. to look at just the "absolute" trend behavior, you can modify the last calculation in the code from value1=xaverage(MACD(avg,length1,length2),MACD_Length); to value1=xaverage(avg, MACD_Length); the MACD_length input will now be an EMA length (rename it an remove the other two inputs if you want it clean) and will now plot an EMA of the net change bar to bar. this will tell you the past direction of the big traders and can be used to look for divergences off this central tendency

i had this problem too. if you upgraded from the last version you will have problems. i found that if you remove all prior versions of TS from your machine and then download 8.5 it works really well. not sure why. make sure you save workspaces from all versions because TS loves to mix up MyWork folders between versions, if one is not attentive. phall

does tradesignal provide the ask/bids synchronized with the ticks? if they are not, as in tradestation, this will run wild... they only provide a "snapshot" quote field, which is why the blowfish4 doesn't work properly in TS interested in which datafeeds do support synchronized bids/asks if anyone can provide guidance phall

sorry, saw that you already responded to my last question. would love to confirm that you were using the 6,10,3,99,9999 settings the results are interesting; it makes sense to me that version 3 stinks the lack of large difference in versions 2 and 4 is interesting. Remembering that V2 only compares the big trader closes, it suggests that you can treat them as a separate group. seems odd, but maybe if they are trading actively enough it works. i think what would be interesting is to compare the v2 to v4 in low volume situations, to see the behaviour in the case that RT mentioned earlier about price being pushed around during long times between large trades. phall

thank you what were the settings? i am assuming the are in order top to bottom? 2 the highest, 4 the bottom? p

ok, that case the existing doesn't handle (by design); but let's go with the assumption that the 800 in your example is a buy.... i put the pseudocode into the latest and greatest, version 4: VS_MACD4 so in summary: VS_MACD2: only counts blocks on big trade close changes VS_MACD3: counts blocks on all close changes VS_MACD4: remembers last tick change and adds/subtracts subsequent blocks (RT can you skim that i coded it right; it's been a long day...also thank you for your ideas and involvement) Anybody want to test? phall VS_MACD4.ELD

the attached has the VS_MACD with the closes considered every tick, as RT suggests. i have moved the "LastClose=Close;" statement outside the block comparison loop so it will compare the close of every tick. name: VS_MACD3 please give it a try! phall VS_MACD3.ELD

RT: interesting point on the close update every tick; the funny thing is that there are so many variants of the compare algorithm that everyone can make something different.... that's where the real action is in my opinion. i also use a methodology that is much more complex than the simple posted in this thread; my intention is (and has been, see prior posts) to help folks get started using the basic concepts and let them build from there.... phall

yes; but how do you know the direction of the subsequent trades at the same price? are they biased up (buys), biased down(sells)? this is the age old problem with these methods; even when using bid/ask you don't truly know whether to bookkeep the trades as buys or sells.... after we realized that the bid/ask was asynchronous, i went back to closes and made the assumption that what we needed was something that looked like Pressure up/Pressure down. i concluded that the most probable(but certainly not guaranteed) of all the options in bookkeeping a trade as a buy or sell was to assume that if the price moves up on a big trade, that's a buy (and vice versa). I ignored the rest as it's hard to assume that they are anything more than randomly distributed buys and sells.... this basic "engine" generates a OHLC information for the period of this "close pressure". the idea is/was to apply this delta "pressure" to whatever technique the user thinks is appropriate. As i'm sure you appreciate, beauty is in the eye of the beholder; everyone will like to modify it to what they think it describes... this was just my take. phall

RT: yes you are reading correctly; the same blocks are ignored in this original version because we were interested in the delta's like Blowfish4. if you want the absolute totals, absolutely it must written as you say. BTW, this is why the "Simple MACD" works best on share bars, as it forces the delta onto a fixed block of shares every bar for averaging in the MACD. on time charts with highly variant volume, things don't work as well... phall

Hi AK: Thanks for the feedback; it's nice to hear other points of view... Please don't take this negatively; but if you could elaborate a little on what you specifically think we're missing in the VS approach that would be alot more helpful than generalized observations. phall

Tasuki thank you for the testing, your points about tick/vol charts, and for the kind words about the indicator approach. couple comments: 1) The difference in Versions 1 and 2 look minor on the oscillator, but I can tell by the slope that the second VS_MACD that this is counting more accurately. definitely use this instead of version 1. it will be more important as you move up in time fractal 2) the upthrust behaviour is the big traders running stops. they generate a temporary volume spike and get folks to panic. you can watch this using the relative volume of the larger traders. it may or may not cause a divergence to form in the MACD ; depending on the setting of the MACD averaging lengths relative to the timing of the behaviors 3) the divergences you are seeing are the ones that are within the MACD timeframes; that is why some of the turn divergences appear so clearly. This is the big issue with all averaging approaches; since the MACD is just the difference of two average lines the same care must be taken. to Pimind's point; there are a million ways to display the basic information generated by the "block engine"; let's think up something novel phall

hi wlbw: No. this, like the VS_MACD just compares the closes relative to each other at each tick for the block range of interest. Order information is not included. What you are describing would need to be based on Level 2 information, and involves following the order book

Tasuki: if you watch the volume, you should be able to decipher/explain the difference in VS_MACD performance between the 1min and ticks charts you saw in the charts from this post. if you could shed some light on the performance of tick charts vs. time charts for the indicator that would be awesome phall