Shell128

Each pre-processing step is an operator. I made my own operators, not too hard to do. I recommend that you buy the RM developer's guide, shows you how to do it. Each operator outputs an ExampleSet which can be input to any of the hundreds (now thousands thanks to R integration) of learning algorithms and statistical processing routines available in RM. However, I you will need to hack some of the classes to make it run real-time prediction. For example, one of my classes loads incoming data an outputs an example set. I then added update listeners to the RM's ExampleSet class as well as all my custom operators. If you're starting from scratch, I don't recommend doing this. RM is a great platform for system development, but when you get to the prediction stage, you're probably better off making a stand-alone system which operates outside of RM. Updating ExampleSets is not most efficient for a real-time application. But I have found RM productive for prototyping.

It looks like this: That's zoomed out so you can see the big spikes. When you zoom in, there's noise in-between the big spikes. Most of the chart is noise and the big spikes don't take up as much time as they appear on the plot above. Iris and Tradewinds, I appreciate the comments. My current thoughts on this indicator is to use a modified exponential moving average. Change the weight factor for large changes in value upwards only. For example, if the past 1000 point average is 10 and the next value is 900, instead of using the minimum weight of 0.001, use a weight factor based on the ratio between new value and past average, like 0.4 to allow the indicator to ratchet up quickly. Then then change the weight factor back to some smaller value to allow the indicator to decay off with time. If I knew more about filters, I'd probably know of a standard filter that behaves in this way. Does anyone know? Basically, I'm looking for a filter that reacts quickly to spikes in one direction, but then decays off gradually to the longer-term average value.

I have developed an indicator that I would like to feed into my system. The indicator usually outputs small values 99.9% of the time. However, it's the large values that I care about. The indicator output looks like a series of spikes surrounded by noise. I would like to process this signal such that the background noise is filtered out and the spikes are less intense, but hold their value longer. One way to do this would be to high-pass filter or threshold the signal then apply an infinite impulse-response filter such as an exponential moving average to "hold" the spikes so that they stay around for longer. But I would like to preserve a bit more information. I would like the intensity of processed signal at some time to be proportionate to: 1) Intensity of last spike 2) Time last spike was observed (intensity would decay as time of last observation increases) 3) Spike intensity relative to background noise Does anyone know of a good way (simple is better) to create such filter? I thought about taking the difference of two moving averages...one longer window moving average to capture the background noise and then subtract that from a shorter moving average to capture the spikes. Problem with that approach is that the filter would likely either allow too much of the noise to pass (pass-band too large) or would not hold the spike on the output long enough.

Ranger, You might be interested in a book called Conceptual Wavelets by Dr. Lee Fugal.

Check out newegg.com

There is a free open-source application called RapidMiner that's powerful. It incorporates the WEKA learning library and libSVM. Also has parameter optimization built-in. I actually use this platform for all my trade system development and data mining. The only thing it is missing is R integration which was present in version 4.x and in development for 5.x.

When you see 1296 contracts fly by in 100 ms, and also that the burst is padded with several hundred ms of no trade activity both before and after...you're probably not looking at 500 perfectly synchronized retail traders.

For speculative trade, liquidity is one reason. I don't know how the big institutions decide to buy, but when they do, they often buy in a hurry. Therefore, if they can spread their orders out over as many markets as possible, they will experience less slippage than if they threw the entire order into one market.

As I said before, myself and others have found UB's content to be very helpful. If you know of better ideas than UB's trade intensity, order flow harmonic, or net new trade indicators, please share them. I'm always eager to learn better methods. If you don't know of better methods or are unwilling to share, then you have no credibility. UB I look forward to your posts and appreciate your generosity.

He has posted information that myself and others have found very helpful. Therefore, I appreciate his presence here and hope he continues his generosity by posting more material. If you don't believe that topics such as these: http://www.traderslaboratory.com/forums/f34/trade-flow-harmonic-trade-5288.html http://www.traderslaboratory.com/forums/f34/measuring-pressure-6079.html http://www.traderslaboratory.com/forums/f34/trade-intensity-5277.html are useful, then please share with me some ideas from your trading system. I am always interested in learning better methods. Thank UB for your support. I appreciate.

This would be my first post on this forum. I have been watching UrmaBlume's posts over the past couple weeks and as an aspiring trader (honestly, I've never traded a single contract in my life), his posts have given me some good ideas. I can't claim that I will successfully trade any of his ideas, but I do find them interesting and creative. I am posting here because I certainly want UB to keep sharing his ideas. I have no idea what you mean when you advise him to "provoke intelligent talks". As far as I am concerned, he has posted some of the most thought-provoking ideas on here. I have partly implemented a trade intensity indicator and the intensity spikes do look promising although it's not fully developed yet -- needs more filtering. I have had a couple brief messages with him and both of his responses were encouraging without giving away anything proprietary. So UB, please keep posting, I'm listening and thankful that you are here. Also, you insult him a few times, ask him questions, and think he will answer you???