phall

here is the ELD using Blowfish Code there are two indicators in the file; one plots bars, the second, candles. (it doesn't have the startup improvements, but these only matter if you're interested in absolutes) Vol_Split_OHLC Vol_Split_Candles just import into TS and look for the above names I personally like to plot the candles under the price candles and watch for divergences.... For those that want a trendline on it, calculate the average price of the candle (DeltaH+DeltaL+DeltaCu)/3, average it and add a 5th plot For MACD (which is what i think the EOT indicator is), calculate 2 trendlines, take the difference between them, and average a little. (standard MACD) phall VOLSPLITBLOWFISH.ELD

Thanks Blowfish; i agree that the share bar charts would take care of it and that this is all about the back end processing. I have spent a little time looking at the normalisation; it does help but i found that the 100+ crowd pretty consistently has 40-50% of the volume so it doesn't change that much. I still have to watch during high vol. turn situations to see if the ratio changes, in which case it might make a big difference. what is your guess of the Oscillator approach the EOT guys use? It looks alot like a super smoothed MACD since the higher lows/higher highs (ROC) appear pretty often. what has me stumped is the reduction in lag that they've got.... p

Thanks a million for all the posts with the EOT version of the Splitter. Does anyone have a chart that shows the EOTVolSplit, the Blowfish4 and the volume per bar all on the SAME chart? I have been thinking that the difference between the two is that a correction is applied to the Blowfish "Net Difference Counter" methodology based on the total volume traded in the bar. For example if the net change for the 100+ Contract group is 1000 contracts during a bar (which would be the real body of the Blowfish indicator) that traded 3000 contracts, that is alot different than a change of 1000 contracts when 10000 contracts were traded. In other words, the net change as a percent of the total volume traded might be what's important. i think if we could get a set of data as described above, we could pull it apart and see what the correction might be. Just my two cents Phall

Thanks everyone for the great feedback. Has anyone tested which feeds are best for keeping up with real time ticks? I am using techniques that are similar to the Volume Splitter methodology that BLOWFISH sent out in that forum, (looking at ticks and binning them) and wondering which feed is the fastest/most reliable etc. i appreciate that all of these methods suffer from the tick aggregation problem, which i think i can live with; however a poor datafeed would cause alot of erroneous analysis and this is what i'm trying to avoid. Currently on TS with the TS datafeed it does alright, but there's got to be better. Has anyone ever used CQG? i have heard numerous times that their data is awesome.... Another recommendations? phall

hi Blowfish any feedback/advice on using multicharts with IB's data feed? (mainly Es intraday and swingtrading equities) i need to duplicate a custom TS system and wondering about the MC+IB combo... any other recommendations? Phall

hi the ehlers instantaneous trendline in place of the EMA will speed it up alot also, after looking at some data, the CumulativeLength might be better set to 20, Cumavglength to 10 phall

Hi got a little more time to work on this. my last post was a paste of the two pieces i'd seen in previous posts. after running it for a while, i wasn't happy with the way the TRIX was over smoothing it. i found that plotting the running line of the net shares caused the referencing to be all screwy. So i change it to summing everything over a fixed window and plot a smoothed version of it. Then i calculated the momentum of that and plot that also. Note: you need to let the indicator run for at least 1/2 of the total set Cumulative length before it means anything. Setting the minlot to 99 and letting it run on a 3 min chart seemed to get close; i can see when the big boys start accumulating/distributing. the momentum line helps alot also to give you some warning that a change is coming. As with all these averaged indicators, alot of work needs to be done picking the averaging lengths for the time frame to get what you want. Any feedback on testing different settings would be great. Anyway, here's the code; if you could test it a bit and let me know what you find out that'd be great. ALSO, PLEASE VOTE AT TRADESTATION FOR THE T&S data in Easylanguage. THANKS phall Code: Sorry about the formatting: {phall 5/12, Volume Splitter} Inputs: MinLotSize(99), MaxLotSize(999), CumulativeLength(50), CumulativeAvgLength(20), MomLength(2), MomSmoothLength(3); Var: intrabarpersist LTicks(0); Var: intrabarpersist TSize(0); Var: intrabarpersist UpSum(0); Var: intrabarpersist DnSum(0); Var: intrabarpersist CumSum(0); Vars: Deltacum(0), CumOverLength(0), Moment(0); if LastBarOnChart then Begin TSize = Ticks - LTicks; LTicks = Ticks; If TSize >= MinLotSize and TSize <= MaxLotSize then Begin if Close = CurrentBid then DnSum = DnSum + TSize; if Close = CurrentAsk then UpSum = UpSum + TSize; End; if BarStatus(1) = 2 then {Bar Close} begin CumSum = CumSum[1] + UpSum - DnSum ; LTicks = 0; UpSum = 0; DnSum = 0; End; End; {difference in contracts from last bar} DeltaCum=Cumsum-Cumsum[1]; {calculated over fixed window, this is running total of net contracts in window length } CumOverLength=Xaverage(Summation(Deltacum,CumulativeLength),CumulativeAvgLength); {smoothed momentum line of the net contracts} Moment=xaverage((Cumoverlength-CumoverLength[momlength]),momsmoothlength); {Plots both the Total, Momentum of total, and Net change per bar} Plot1(CumOverLength, "Cumulative"); {this is the main indicator showing running total} Plot2(Moment*5,"Mom"); {this is the momentum line of main indicator; may need to adjust the "5" scaling factor} Plot3(DeltaCum,"Cum. Net Chg"); {this is good to plot as histo so you can see net change every bar}

Below is the code put together. note that the triple average is not a straight TRIX because you can't take the log of a neg number in TS. you'll need to play with the averaging length to get what you need. I just wanted to note that this code counts the trade volume between ticks; this is not the same as true time and sales data because you can get many small trades before you move the tick value. It's probably a decent approximation if using large enough lot size minimum as the big bids will move the tick value pretty consistently. (you can see this in the Time and Sales window) if you are a user of TS, please go on the easylanguage forum and VOTE for providing the real T&S data. if we can get them to move this up their development priority list, then we can really do this with the right data. If the EOT guys have access to the real time trade data by trade (not ticks), theirs will be much more accurate. if anyone knows how they get this (dll or whatever) please post Thank you to all who put up code and provided comments {TS Code} Inputs: MinLotSize(1), MaxLotSize(9999),Length(20) ; Var: intrabarpersist LTicks(0); Var: intrabarpersist TSize(0); Var: intrabarpersist UpSum(0); Var: intrabarpersist DnSum(0); Var: intrabarpersist CumSum(0); if LastBarOnChart then Begin TSize = Ticks - LTicks; LTicks = Ticks; If TSize >= MinLotSize and TSize <= MaxLotSize then Begin if Close = CurrentBid then DnSum = DnSum + TSize; if Close = CurrentAsk then UpSum = UpSum + TSize; End; if BarStatus(1) = 2 then begin CumSum = CumSum[1] + UpSum - DnSum ; LTicks = 0; UpSum = 0; DnSum = 0; end; End; if length <>0 and cumsum <>0 then Begin value1=Xaverage(Xaverage(Xaverage(cumsum,length),length),length); {"log(cumsum) "replaced with "cumsum"} Value2=(value1-value1[1])*10000; end else value2=0; Plot1(value2, "CumSum");

hi very cool idea of tracking the trade sizes just ran through the TS forum and one of the engineers says that one can't access the time and sales data directly in Easy Language. (you have to watch it in the canned Time and Sales window). there is reference to getting the Bid/ask info in your code there is voting however, please go on there and tell them WE WANT IT!!!! Anyone know a way around this? any data feeds out there that provide real time trade data? phall