thc

I am of the impression from various threads that DTNIQ and Tradestation have the fastest update intervals for the NYSE TICK. Does anyone disagree? Here's my impression of the update intervals bases on various threads: DTNIQ - 1 second Tradestation - 1 second Esignal - 6 seconds Interactive Brokers - 2 seconds Thinkorswim - ??? CQG - ??? Others - ??? Can anyone offer corrections or help fill in the blanks? Gracias.

Ok I'm bumping this topic. Today was a perfect example of why I see value in these services. The RS guy was on ahead of the bell with the Trichet comments about vigilance with the Euro and the reaction in oil and the Euro made it clear to me that this would be a risk on day for the dollar carry. He didn't spend the entire morning reading out irrelevant headlines. In fact he only spent a few moments on the Trichet comments. All you really needed to know was that Trichet said "vigilance" and the dollar carry took off. Is anybody else using either Tradethenews or Ransquawk? Which is better?

Agree that the linkedin thing with tradethenews is odd. I am trialling the retail version of ransquawk for now. But if anyone thinks trade the news is better I would like to know...

I just want the context without having to watch a text feed.

Anyone have experience with either of these audio news services, particularly for trading the ES?

I assume that your reference to "time based pivots" is a reference to the concept I am exploring here. Can you elaborate? Also just to keep the topic warm, once again on Friday the Bond Close brought an initiative/response sequence that produced another key structural inflection point right at 3 PM ET. I am more puzzled by the patterns observed at the 30-60 minute and 60-90 minute mark. Perhaps there is no clean explanation for these windows, as you indicate. In the case of the 30-60 minute window, I have read that many traders will not take a position until the 35 minute mark, regardless of the news schedule. If true then I assume this is because they want to see what I call the First Initiative between the 15 to 30 minute mark before deciding to step in. Does this sound familiar?

Are you applying a "standard normal distribution" around the 24 hour or RTH VWAP or some other measure of developing value? Tick or volume based moving averages, for example...

I would call them "windows" rather than "periods". But typically within each window you will see initiative and response. These are just my observations after staring at the order flow for many months. As another example, I think the 2:30 PM to 3:00 PM ET time window is dominated by the bond market close and related rebalancing in equities. So I shorted the day's high to the tick after the close of the bond market produced non extreme initiative followed by evidence of exhaustion. I held for the VWAP but as 3:45 PM ET approached I took my gains as I knew the last 15 minutes is a totally different type of initiative related to last call. Unfortunately the initiative that emerged was to my favor but I'm still comfortable with the decision given the recurring pattern and an acceptable gain. My point being that if you understand the nature of the initiative then you can supplement the structure and order flow analysis with additional observations. In this case I observed bonds selling off into the bond close and given the time window in which that occurred I understood the initiative in equities.

I trade the ES intraday. As my method matures I am spending most of my research time trying to properly visualize order flow. After all, the developing structure is easy to see in the form of a price fractal, volume profile, and perhaps a channel or two. But visualizing order flow cycles is more subjective. One topic I think would be of broad interest relates to the nature of the recurring order flow phase shifts (I call them liquidity phase shifts) that I see each day in the ES. I'll give a few examples to kick things off: RTH 0 to 15 minutes - Overnight order initiative and response RTH 15 to 30 minutes - First institutional initiative and response Some people might trade this as a 15 minute OR breakout RTH 30 to 60 minutes - Second II and response AKA the 30 minute OR breakout RTH 60 to 90 minutes - Third II and response AKA IB extension RTH 90 to 120 minutes - Fourth II and response I believe this is driven by the close of RTH in London and the Dax. I have a few more but first I would like to see if anyone has perspective to share on which market constituency is dominating the initiative in each of the phases above. As I mentioned, I believe the 4th II ( or call it what you wish) is driven by Europe initiative. Does anyone disagree or have other perspectives on the topic?

Thanks again for posting this. The 7 AM pst spike seemed of similar intensity to me but I am using a quick and dirty POT indicator hence the request to compare. In any case the context was different as the earlier spike was with news. Most of these seem to correspond with +/- 1K TICK prints, though in my case the TICK has a six second lag. But that rarely is an issue... Cheers

How did that pace of tape indicator look at 7 AM PST? Just want to compare notes...

I don't think johnw ever expounded on the concept of seeing selling initiative at the ask and buying initiative at the bid, rather than vice versa, via observation of the 1 tick chart. Did I miss that?