ValueTrader

This guy has a volume profile in Excel that uses 1min data. Well done him, Respect due. There are no macros on the worksheet and all his formulas are visible. I'm sure you could de-construct his formulas and transpose it into Java. Its the file in the 4th post down. Forums - Excel-cumulative volume profiles? VT Ps If the above helps you're more than welcome to send me a Beta version of your App! lol

http://www.tradestation.com/~/media/Files/TradeStation/Education/University/School%20of%20EasyLanguage/Books/EL_Essentials.ashx http://unicorn.us.com/trading/ELreference2000i.pdf http://www.tradestation.com/~/media/Files/TradeStation/Education/University/School%20of%20EasyLanguage/Books/EL_FunctionsAndReservedWords_Ref.ashx The links above may help you get started. Try Posting what you've already coded so far. Folks will be more receptive to helping if they can see you've had a go yourself. There are some incredible talented guys on TL when it comes to coding, (Thanks to there help I'm now at the stage where I can very crudely code almost anything that pops into my trading head.) But if I'd just received completed codes requested, I'd still be stuck requesting now. Give a man a fish and he eats for a day, Give a man a fishing rod & he eats for life. Good Luck VT

There is no central exchange for spot forex and so no volume. Its such a huge market it would be near on impossible to collate. Foreign exchange market - Wikipedia, the free encyclopedia The solutions I'd suggest are: (Although none of these will make your indicator work) Use the currency future of your chosen pair for a ROUGH proxy. Use a market profile style TPO count. Or you could scrap the indicators altogether n trade on price action.... Stick two lines on your chart. Calculate day range (High-Low), then divide by 8. Minus this figure from your day high and add this figure to you day low. Stick the lines here. If price on a less noisy timescale (15 to 30 mins) fails to break the support or resistance short at the higher line / long at the lower line. If price closes above them with decent momentum, go with the break out on the retrace of the next bar. Place a fixed stop behind the day high for rotations (failed up or down moves) book profit when you like. Place a trailing stop behind the higher line on up breaks, behind the lower line on down breaks. Profit takes care of itself on these. I'm not suggesting you'll become a millionaire from using this strat but you can have it free of charge. Most of the stuff floating around the Web on trading is overcomplicated & convoluted BS anyhow. Paper / Sim trade it for a bit n see how you get on. VT .

Further to TAMS original post... Financial Standard - HFT and dark pools keep ASIC on its toes

Poor Henry! You clearly DON'T understand rhetoric. The article clearly states it doesn't mater where its listed because " We hate to break the bad news to you but the fact is, in today’s market, it doesn’t matter where you list. Your stock is about to become one of the biggest casino chips on Wall Street. Ever hear the terms rebate arbitrage or latency arbitrage? Ever hear of colocation? Do you know what an exchange private data feed is? How about an actionable IOI or a dark pool? We bet you have probably never heard of these terms (maybe you have been too busy coding lately or ducking those Winklevoss twins). These terms are really what stock trading is all about nowadays." (courtesy of: An Open Letter To Mark Zuckerberg About Why It Doesn) So the message of the article is "When someone go for buying share of a company" as you so eloquently put it, the fundamentals of the company and related COMPANY PROFILE really don't matter as High Frequency trading, Arbitrage etc are going to be what drives the price. Therefore the average buy and hold investor will get chopped up. The author of the article is lamenting the fact that modern ultra high frequency trading is skewing company share prices thus making traditional investing obsolete. He's not musing on which exchange the shares should be traded on.

You clearly didnt READ THE LINK - else in your hurry to supply a clever answer you wouldn't have missed the point of a rhetorical question.

I'm looking for a new broker / Feed / platform. I currently use OEC for my personal trading but the problems are... Clunky & slow platform Limited EasyLanguage functionality No continuous contracts (max 3 months data for backtesting) I trade discretionary opm full time. The above account is for my personal automated projects. I have been backtesting, Sim, then Live trading them on the Micro euro$, before progressing the strategies to the $12.5 euro$ if they have legs, so a broker who offers the micro currencies would be good. Thanks VT

You need to Save As : What ever name you want to call the file. Sounds as if you're trying to insert the original .txt file and not the .el or .eld code. Hope this helps. VT

Has anyone else noticed an increasing number of threads that are Q & A sessions for Vendors, Disguised as a discussion. When did the forum become a place for free advertising? oh by the way.... Trading is tough, if you have an edge over time you could create enough wealth to by a 2008 MASERATI GRANTURISMO 4.2 V8 [400 BHP] AUTOMATIC BIG SPEC + WARRANTY 44k ono. PM me if interested.* *not genuine add,just making a point

So let me get this straight....To summarise the Original Post... If you have an usable edge, and win more than you loose you can afford to use wider stops. Thus giving you more opportunity for your edge to work. Not only this, we've been supplied an algebraic formula to demonstrate the amount profitable minus the amount loss returns a figure of our expected return. Sounds to me like a Taleb distribution. Taleb distribution - Wikipedia, the free encyclopedia And there is a whole chapter in a book dedicated to this???

More open source trading software...forgot this one was on my favourites bar! http://ta-lib.org/hdr_lnk.html VT

Free Statistical Software Huge directory of statical analysis software.

There has been no backtesting, the 80% figure is just a historical benchmark that gets banded about by people who have read a couple of books (from 15 years ago) on MP then suddenly think they've found the holy grail. And of course vendors, who pretend to be helping newbies but really are just interested in getting there hands on newbies cash. By the way thought I'd post one of MY customers testimonials. " Dear ValueTrader, Thanks you so much for teaching me your futures secret coin toss system technique trick tip. before I subscribed to your site I was a tramp or hobo as we call them in the US. Now I trade a multi-million dollar hedge fund. Your subscripition costs were cheap, (compared to the price of a car or house) and once I'd signed up you kept 1 to 1 tuition with me via you email news letter that bombarded my inbox. Also loved the trading room...20 half wits on MSM messenger with no more experience than me, all purporting to know the direction of the market, and pretending to be successful traders. Thank you so much again VT, you must be laughing all the way to the bank. A Dolt, Utah. " VT

Some Excellent resources listed here. I shall enjoy this!

The 80% rule is so outdated. It belongs on the same page as the moving average cross-over. If trading was this simple do you think Investment Banks would be paying quants >100k pa to come up with codes. Indeed many Banks ask for Phd's from TOP universities. If only they knew the 80% rule! I await the next 'Secret trading tip technique'... what will it be? One time framing... If you see lower highs & lower lows then you're in a downtrend? No Sh*t Sherlock. Just for the record, there is no day to day correlation in markets, just cos its up today, don't mean its gonna be up tomorrow. All a Day TPO value area will tell you is what happened yesterday. If Larry's Tips n Tricks worked that well, do you think he'd be giving them away in order to entice hapless trainees? VT

Ok, i know we're going off at a tangent here Tams, but does multicharts / ninja have there own data feed or do i have to obtain that elsewhere? Thanks for your advice, I think your suggestion is gonna be the way forward.

Ok, i'll scrap that idea. Could you giive me some guidence on how to plot yesterdays Value area H/L and POC and todays developing VA H/L & POC in a line format? I've attempted it, but i cant get my head around using arrays or formating the Value area calculation into EL. Thanks VT

I aquired an EL code for Market Profile from a source i cannot remember online. Many thanks to the author (whoever they may be). input:compress(1),len(30),letter1(1),txtcolr(7),opncol(6),closcol(6),lastcol(6),VAprcnt(.70),Valcol(5), Valsize(3),stime(0); vars:lett("ABCDEFGHIJKLMNOPQRSTUVWXYZabcdefghijklmnopqrstuvwxyz"),t1(0),vsize(0),cpt(0),dl(0), lcount(1),fp(0),daynum(0),d0(0),mid(0),dlo(0),pc(0),pc2(0),skp(0),labl(0),vala(0),vap(0),cp(0),t0(0),nuflag(0), hh(0),ll(0),x(0),et(0), clet(""),curtxt(""),th(0),tl(0),tpstr("00"),tot(0),va(0),d2p(0),oldclet(""), barhi(0),barlo(0),mintick(0),xpts(0),price(0),up(0),dn(0),oldup(0),olddn(0),flag(0),flag2(0),mp_str32(0); array:pri[10000](0),tpo[10000](0),pristr[10000](""); lcount=letter1; if currentbar > 1 then begin if valcol <> 0 and flag2=0 then begin mid=0;value23=0; cpt=tl;cp=tl + (th-tl)/2; {center of dist.} for x = tl to th begin if pristr[x] <> "" then begin value23=value23 + tpo[x]; {total tpo count} if tpo[x]=mid and x <= cp then cpt=x; if tpo[x]=mid and x>cp and(x-cp) < AbsValue(cp-cpt) then cpt=x; if tpo[x] > mid then begin cpt=x; mid = tpo[x]; end; end; end; va=value23 * vap; x=mid;up=cpt;dn=cpt; while x < va begin value19=tpo[up+1]+tpo[up+2]; value20=tpo[dn-1]+tpo[dn-2]; if value19 >= value20 then begin if x+tpo[up+1] >= va then begin x=x+tpo[up+1]; up=up+1; end else begin x=x+value19; up=up+2; end; end else begin if x+tpo[dn-1] >= va then begin x=x+tpo[dn-1]; dn=dn-1; end else begin x=x+value20; dn=dn-2; end; end; end; if up > th then up=th; if dn < tl then dn=tl; up= fp+((up-500)*mintick); dn=fp+((dn-500)*mintick); value62=fp+((cpt-500)*mintick); labl= text_new(d2p,t1,dl-mintick,"VA:"+ mp_str32(dn)+" "+mp_str32(up)); TEXT_SETSTYLE(labl,0,2); TEXT_SETCOLOR(labl,valcol); vala=TL_New(d2p,t1,up,d2p,t1,dn); TL_SetColor(vala,valcol); TL_SetSize(vala,vsize); value60=TL_New(d2p,t1,value62+mintick/15,d2p,t1,value62-mintick/15); TL_SetColor(value60,valcol); TL_SetSize(value60,value88); end; pc2=0; for value4=tl to th begin price=fp+((value4-500)*mintick) ; if price <= pc then pc2=value4; end; if pc2=0 then pc2=barlo; curtxt=pristr[pc2]; if RightStr(curtxt,1) <> "<" then begin text_setstring(pri[pc2],curtxt+" <"); Text_SetColor(pri[pc2],closcol); end; end; t1=t; d2p=d; labl=0;vala=0; for value1=tl to th begin pristr[value1]=""; tpo[value1]=0; end; clet=curletstr(stime,len,letter1); oldclet=clet; dlo=l; fp=o; tpo[500]=1; th=500;tl=500; flag=0; pri[500]= text_new(d,t1,o," >"+clet); pristr[500]=" >"+clet; TEXT_SETSTYLE(pri[500],0,2); TEXT_SETCOLOR(pri[500],opncol); hh=o;ll=o;mid=1;tot=1;value22=currentbar; dl=l; if d= JulianToDate(LastCalcJDate) then flag2=1; clet=curletstr(stime,len,letter1) ; t0=t;d0=d;pc=c; barhi=intportion((xpts+h-fp+(mintick/10))/mintick); barlo=ceiling((xpts+l-fp-(mintick/10))/mintick); if barhi > th then th=barhi; if barlo < tl then tl=barlo; if l < dl then dl=l; IF currentbar > value22 then begin lcount=lcount+1; if lcount=53 then lcount=1; clet=midstr(lett,lcount,1) ; hh=o;ll=o;flag=flag+1; end; value22=currentbar; IF oldclet <> clet then begin hh=o;ll=o;flag=flag+1; end; for value4=barlo to barhi begin price=fp+((value4-500)*mintick); curtxt=pristr[value4]; if curtxt = "" then begin tpo[value4]=1; pri[value4]= text_new(d2p,t1,price," "+clet); pristr[value4]=" "+clet; TEXT_SETSTYLE(pri[value4],0,2); TEXT_SETCOLOR(pri[value4],txtcolr); end else begin if RightStr(curtxt,1) <> clet then begin text_setstring(pri[value4],curtxt+clet); pristr[value4]=curtxt+clet; tpo[value4]=tpo[value4]+1; end; end; end; if h>hh then hh=h; if l < ll then ll = l; {------------------------------------------------------------------------------------------} if valcol <> 0 and lastbaronchart then begin mid=0;value16=0;value23=0; cpt=tl;cp=tl + (th-tl)/2; {center of dist.} for x = tl to th begin if pristr[x] <> "" then begin pristr[x]=nutpstr(tpo[x],pristr[x],pri[x]); value23=value23 + tpo[x]; {total tpo count} if tpo[x]=mid and x <= cp then cpt=x; if tpo[x]=mid and x>cp and(x-cp) < AbsValue(cp-cpt) then cpt=x; if tpo[x] > mid then begin cpt=x; mid = tpo[x]; end; end; end; va=value23 * vap; if l < dlo then begin dlo=l; price=fp+((tl-501)*mintick); if labl <> 0 then Text_SetLocation(labl,d2p,t1,price); end; if labl =0 then begin price=fp+((tl-501)*mintick); labl= text_new(d2p,t1,price,"-"); TEXT_SETSTYLE(labl,0,2); TEXT_SETCOLOR(labl,valcol); end; if va <> 0 then begin value61=value18; x=mid;up=cpt;dn=cpt; while x < va begin value19=tpo[up+1]+tpo[up+2]; value20=tpo[dn-1]+tpo[dn-2]; if value19 >= value20 then begin if x+tpo[up+1] >= va then begin x=x+tpo[up+1]; up=up+1; end else begin x=x+value19; up=up+2; end; end else begin if x+tpo[dn-1] >= va then begin x=x+tpo[dn-1]; dn=dn-1; end else begin x=x+value20; dn=dn-2; end; end; end; if up > th then up=th; if dn < tl then dn=tl; value18=cpt; oldup=up; olddn=dn; up= fp+((up-500)*mintick); dn=fp+((dn-500)*mintick); if flag=1 then value63=t; if up > dn and flag > 1 then begin if vala = 0 then begin vala=TL_New(d2p,t1,up,d2p,t1,dn); TL_SetColor(vala,valcol); TL_SetSize(vala,vsize); value62=fp+((value18-500)*mintick); value60=TL_New(d2p,t1,value62+mintick/15,d2p,t1,value62-mintick/15); TL_SetColor(value60,valcol); TL_SetSize(value60,value88); end else begin if oldup <> up then TL_SetBegin(vala,d2p,t1,up); if olddn <> dn then TL_SetEnd(vala,d2p,t1,dn); end; end; if {value61 <> value18 and} flag > 1 then begin value62=fp+((value18-500)*mintick); TL_SetBegin(value60,d2p,t1,value62+mintick/15); TL_SetEnd(value60,d2p,t1,value62-mintick/15); end; Text_SetString(labl,"VA:"+mp_str32(dn)+" "+mp_str32(up)); end; end; if lastcol > 0 then begin if value10 = 0 and currentbar=3 then begin value10=tl_new(value50,value51,c,d,t,c); tl_setcolor(value10,lastcol); tl_setsize(value10,0); TL_SetExtLeft(value10,true); end else if currentbar > 3 and LastBarOnChart then begin tl_setend(value10,d,t,c); tl_setbegin(value10,value52,value53,c); end; value52=value50;value53=value51; value50=d;value51=t; end; plot1(l-mintick,"dummy"); It does not seem to want to compile, i've attempted to debug it, but with my limited coding experiance i feel its a bit out of my league. Im using OEC, is the maybe the reason its not compiling? i've attached the error messages. im not expecting anyone to simply debug this for free, but maybe someone can point me in the right direction. Thanks VT

NthHighest. NthHighest(N, Price, Length)

that makes sense, as the other two would have to trade higher, making it the highest 3 prices. I've i can code lowest high,highest low, but how does one translate this into looking back for the 3rd highest price?

Hopefully this will explain it better.... Thanks VT

Hi All, Since joining the forum, I have come on leeps and bounds with coding, with special thanks to TAMS and Blowfish for there help. I now have a tool box of self written codes, that I will post shortly, feedback and improvments to these would be greatly appriecated. Is this the forum for them or should i post the codes in the Indicator section? anyway, I'm stuck on a couple of easylanguge functions i'd like to code. The first is based on principles from the legendary Don Jones of Cisco futures.. I'd like to plot the highest and lowest price that has traded on 3 30min bars over an inputable number of days. In market profile / value trading, highs and lows represent rejection. A price that has traded 3 times is classed as value. Hope this explains what im looking for. I have checked all my EL books, but obviously what im after is quite specific. The second is how do I code an OCO pair in EL, as some of my sim strats will bang in orders left right and centre (stops staying on ect). I've also noticed that if code a Long Buy@ market order, the Sell short order doesnt seem to get triggered on the sim. The Sell does plot when i code it as dot on an indicator. Finally with the stops do i have to code them twice in for each order? ie if close > open then buy next bar at market setdollarstop[50] if close < open then sell next bar at market setdollarstop[50] or do I just place 1 stop at the end of the two orders? Thanks in advancve VT

I prefer to 'picture it' as the number of contracts traded in a given period. If you'd read my original question Pony, I'm not looking for a definition of Volume. I'm looking for an explaination of the Easylanguage reserved words mentioned and how the trading platform calculates these. Thanks VT

im not sure yet, just playing around with different functions and codes to see what they do. I knocked up a simple code that works similar to OBV using Up/Down volume, but as i say i'n not sure how its calculated or the validity of it as there is no mention of it in my reference guides. Cheers VT Vars: CV(0); CV = Upvolume-Downvolume + CV[1]; plot1(CV,"CV");

Was just wondering how the reserved words UpVolume / DownVolume is divined, i have checked my easylanguage guides, but there this no reference to them. I understand what upticks/downticks is (pretty obvious) but not up/down volume, also how reliable is the calculation. Regards VT