RichardTodd

Well, to be fair, so is the splitter. That's not really the point, though. I've been watching all this discussion about oscillators. I think someone went so far as to declare that my indicator was actually an ROC?!? Funny. It's no surprise that the overall shape of the big trader activity is similar to the overall shape of a detrended price graph, is it? I mean, if they weren't strongly correlated, we couldn't use them like we do. As such, pure price oscillators will often tell a similar story if all you watch is the amplitude. However, I find that usually a couple times a day the big traders will turn a bit before price does, so for simple divergence I find them to be quite good compared to pure price oscillators. Worth a look for divergence traders, anyway. Divergences aside, my focus with the EOTPro splitter has always been to read the ebb and flow of commitment from the big traders. That's also our main focus in the room. As such, we have always had at least one additional dimension of data in our splitter, beyond the simple amplitude (displayed as the thickness/color of the plot). That is one thing that clearly sets it apart from your everyday, run of the mill oscillator. I guess changing the trade sizes is another thing that sets it apart, but since I pretty much only follow the big traders I don't think it counts for much other than the "let's laugh at the small traders" gimmick.

Just as a point of interest, when TS came out with their latest bar types, a few of our indicators didn't work on them. We were able to fix it, though, and I have reports of people using our splitter successfully on momentum bars at least. I don't have TS anymore so I haven't seen it myself, but our clients are pretty **** about comparing their screens to our moderator's so I think they are happy with the new TS bar types now.

No, I used to design huge distributed software systems for government contractors. My last gig was to help bring a failing project (way over time and over budget) back to life. It sucked, but it paid so well that I was able to leave that behind forever. I've been programming computers in one form or another since I was 6, so it's kinda in my blood now I guess.

I didn't suggest you should use an indicator with race condition issues... I just said it's not right to blame the intrabarpersist reserved word. With work you can make TS produce deterministic output. In fact, I hear there's a commercial splitter out there that is consistent on tradestation (can't remember the vendor's name, though). What I have learned from porting indicators across TS, MC, Ninja, eSignal, ensign, etc is that they all have quirks and issues that need to be worked around. Probably the most common question we get in the room is "why does my TS screen look slightly different than your ninja screen?" Of course the biggest reason is inconsistencies across the data feeds. But the secondary answer is that the computations have to be adjusted slightly, per platform, to account for their oddities. I would say the #1 programmatic cause of platform differences in our indicator output has to do with event timing, which the platforms seem to differ about quite a bit.

Again, I would suggest you not blame intrabarpersist. It persists the values from tick to tick, just like it's supposed to. I have tons of code that would not work at all if it weren't for intrabarpersist working properly. But, when you are combining independent streams of data (ticks vs. order book), it takes care to avoid race conditions. It's like a gun that you can easily point at your foot. Don't blame the gun if you're the one pulling the trigger, you know? I remember the first prototype ninja splitter I made had this issue... it would look ok, then all of a sudden start going in the exact wrong direction. The sad thing was that the errant code was in one of ninja's built-in indicators, so I had to re-write that part from scratch. It's an easy trap to fall into if you aren't used to concurrency issues.

I knew you'd say that! Don't worry, I wouldn't lump you in with the cloners. FWIW I think you are right to say that, after a point, it's all window dressing. A skilled trader can smooth/normalize/recombine/predict/colorize the data any way that suits the trading concept they are trying to bring out. Attempting to match our one implementation bar-for-bar doesn't seem like a good use of time, to me. (although obviously I think our implementation is a rather nice one) Yeah, all of the TS timestamping stuff is ridiculous--even forgiving the ticks, last time I used TS you couldn't even tell when a bar was. Long live multicharts and the _s functions, which are at least a little better. I tried to find example code for neoticker once or twice, to get a sense of what it looked like, but never came across much via google. Didn't run across an easy-to-spot programming guide on their website. I thought that was strange. So I have yet to try it.

I can assure you that the 'intrabarpersist' keyword works just as advertised. It's the combination of that with grabbing the order book info that can lead to what are called 'race conditions' in concurrent programming circles. It's been discussed at length in ninjatrader forums as well, and something I got a lot of practice dealing with when I used to have a day job. So, thankfully, our indicator never had those issues. Certainly worth looking into if you want to improve your clone attempts.

You can test things via replay if you have the data (just drag the slider over to the end of the day and let ninja crunch the numbers). It's not as convenient as history, but it does seem to work ok to look over lots of days when I'm trying out a change to our realtime indicators.

I'm not sure you'd want a large trader filter for this purpose, though. A simple Cum(upticks-downticks) might be good enough for the cumulative task, and I believe you get history on tradestation if you go that route, though I don't have TS anymore and can't recall. I've also seen people look to the $UVOL vs $DVOL for similar purposes when trading the e-minis.

Once again my response is: "I don't care what time frame they trade on." Bottom line, if they are so anxious to grab their contracts that they won't bother to iceberg their order at support levels or otherwise hide their activity, then it follows that they think there is no time to waste at the present price level. Any traders that are careless enough to hit the open market with 1000's of contracts in market orders with no good reason seem to be in the minority. And anyway, they wouldn't all happen to carelessly act in confluence very often, which is the only way they'd be more than a blip on the screen. That is my concept, anyway, as I described in an earlier post in this thread. If this board weren't so militant about me posting links I'd tell you where you could find lots more information about this kind of topic. Since it is, though, I leave you with google and my best wishes.

I think you are trying to get to a tidy mathematical answer with too little available information. If you assume all the small traders lose, then that leaves 50/70ths of the big trades winning and 20/70ths of them losing. But like you said that's only looking at the market half of the trades. There's not enough reliable limit-order data to suss out the rest, in my opinion, so that line of thinking is a dead-end. Too many games are played on the order book, even in stock land where they try to tempt you with book data. NOT TO MENTION a big trader can "lose" in the e-minis as a hedge against a huge gain another market, and vice-versa. And that's just one example of how much more complicated real life is. People are always asking me "since there's a limit order on the other side how can you tell who's long or short?" and people are always asking me "how can you tell if they are buying or covering a short?" In both cases I don't actually care (though I would love to have real-time open interest to help me work out the second case). People that ask me this don't understand what the splitter is trying to show them. Let me tell you my concept for why the splitter 'works', which some may disagree with but which satisfies me: Let's say you've got thousands of contracts to buy. Doesn't matter if it's to open or close a position. You've got thousands of contracts to buy, and you can't be bothered to try to hide it with limit orders and small buys here and there. Well then you must be pretty sure the market is about to go up. Otherwise you would never show your hand with a big display of market orders. If you do this too often and the market doesn't rise, then natural selection will make sure you aren't a large trader much longer! So, when the large traders are too worked up to put up smoke-screens, there tends to be a move in the making. The only other reason they come out buying in droves is in the face of big liquidity on the offer (like at major resistance points), because that's a time they can get off large orders without being slipped. If you are careful you can watch for this and differentiate the cases. I actually take it as axiomatic that the big traders tend to win, ever since I read "the poker face of wall street" which I think makes the case for them pretty well. My reasoning above, plus months of good-looking charts, has me satisfied that the splitter identifies the case it is looking for well enough to be a useful part of my trading toolbox.

I am going to try to ward off additional moderation by stating that this link is intended to help you all. I've been watching people on forums try to duplicate this for almost a year now, and so far every time they've forgotten half of the story in my opinion. I apologize in advance if that sounds "arrogant" to anyone. This is one of my earliest blog posts on the splitter while it was under development (we called it "volume splatter" back then!), which describes how the dot sizes it produces differ, and why I think that's so important to the story: Volume-Splatter Indicator: Don’t Follow the Small Traders :: Move the Markets :: Entries :: The fact is, if you want to follow the big traders from a pure delta perspective, splitting out their volume on the e-minis is hardly necessary... it's common knowledge that the big trade volume is usually like 70%+ of the total picture.. so if you compare the overall volume to the split-out big traders, the shape of the histogram looks very similar on most markets. Figuring out the story that the market's trying to tell you from their cycles of activity and inactivity is in my opinion much more powerful.

I have coded the indicator for Tradestation, Multicharts, Ninja, and eSignal. Platform differences meant changes to some of the details of the calculations, but we have essentially the same indicator on each one. In fact, I did the tradestation version first.

wow, I just want to say I'm flattered that this indicator gets so much attention in these forums, and the ninjatrader forums, and elsewhere. These clone attempts seem to focus on the amplitude/shape of the splitter, when that's only half the story it's telling. Best of luck to you!