jdevron

Volume Weighted Average Price (VWAP) orders fill at the close. There are quite a lot of them every day. They wont affect the affect the markets price movements at the inside quotes because the VWAP prices aren't at the market prices. Hence you see a lot of volume reported but the market price doesn't change.

Good work Sergio83! Very interesting analysis. Please share with me. jdevron@socal.rr.com

Notice the date on the chart is March 2009, during the one of most volitile times in history, when the market bottomed. This chart is defintely cherry picked. It doesn't show how it is working under current market conditions. I doubt the indicator works well in periods of low volatility. Just wait for the next big crash then try to catch the upside rebound (assuming there will even be one this time round). The timing is so slow it might be useful to an investor but an active trader wont wait years between trades. If I had to guess, I'd say it might be a variation of money flow on a slow time frame. Unless the vendor is willing to show all the history performance prior to a couple months ago I wouldn't spend any more time pondering its effectiveness.

Yes, I have been trading on and off since 1999. Not quite sure what PM means or how to do it though. Please provide instructions to contact you outside this forum.

The litmus test for good fills is if they are a direct market access broker. If they fill out of their own inventory then you will be getting jerked around some of the time. I noticed that if placed an order with a broker that fills out of his own inventory they tend to delay, hold, and fondle your order if you go in the direction of what they consider the trend to be. If you place an order against what they consider the trend to be then you get quick fills. It sucks to have your own broker trade against you. If your fills aren't instant then your broker either isn't DMA or is jerking you around. When you order does eventuall fil you can always check the time and sales tape to verify they are giving you the best inside market. The SEC allows a broker up to 3 minutes to fill a market order. 3 minutes can be a lifetime in a fast moving market and can be plenty of time to jerk you around for a nickel or dime per share in a slow moving market.

I am interested to join the group. Count me in...

Dear light65536, If you are "among the best in world at calling the market" then why do you still work at a regular 9 to 5 job? Am I to infer that even "the best in world at calling the market" can't make a living trading? The folks trading at my prop shop will be disapointed to find out they should be instead working a 9 to 5 like you. But then I guess they aren't as good as you and haven't figured that out yet. Furthermore, your post inquiring about Larry Levin's track record seem disingenuous at best. It appears that your actual intent is to attempt to promote subscribership to your own C2 account. However, it appears that effort has failed miserably. Please consider to go back to the previous forum from where you came. This forum is for people seeking to contribute to the community, not for duplicitous braggarts with dubious trading results. With Kind Regards, Happy Trader

The purpose of C2 and TL is mostly geared towards automated trading, but also includes discretionary trading as well. Larry Levin's own instructors will tell you right up front that their rules are not suitable for automated trading and strictly rely on discretionary decision making. If "your friend" is doing well under Larry's course it is because "your friend" has some inate ability that will not easily translate into programmed trading. Larry offers several variations of essentially two set of rules, the "algo" and the "80% rule". The "algo" is essentially a 20 period donchian channel that is confirmed by a volume imbalance. The "80% rule" simply predicts that prices will revert to their mean. After much backtesting of many such rules my personal opinion is that the "algo" is without merit and the "80% rule" has some merit. Also, I believe Larry's instructors are correct when they say their rules are not suitable for automated trading. My personal feeling is that the rules Larry provides for a fee could possibly be used in conjunction with another set of rules which has yet to be developed by anyone on the planet. On the bright side I do find Larry's contrarian style newsletters refreshing and informative.

The market changes velocity during different times of the day. For illustration of this concept let's say during the first hour a 10 minute moving average may work best, while a 30 minute moving average may be the best around lunch time, and a 20 minute moving average may work best during the last hour. I'm interested in the mechanism used to switch between the most appropriate period. Obviously I can simply hard code in some periodic interval assigned to a certain time of day based on historical averages of movements during those times of day. What I'm really interested in is using an algorythm that is flexible enough to assign the appropriate interval based on current conditions. I have tried comparing current envelope heights to the historical averages of envelope heights, but so far the results have been less than amaizing. Any suggestions to improve the interval selection mechanism would be greatly appreciated. Thanks, John

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Ideally a market order should work. However, the rules allow a market order to take upto 3 minutes to fill which can seem like a lifetime in a fast moving market, and kill your profitability. The market order 'Immediate or Cancel' (IOC) can be a work around to this. However, not all brokers support this. An aggresively priced limit order with either an IOC attribute or a Time in Force (TIF) of one or two seconds can work well. However, if your broker doesn't fill your orders immediately (for his own reasons), then you will have to re-enter another order at a possibly less favorable price. The key is to use a broker that offers Direct Market Acces (DMA) and does not try to fill the orders out of their own supply. The brokers who fill you out of their own supply always claim you could be getting a 'price improvement' but really you are often getting screwed as they fondle and hold your order until the price is favorable to them while the market moves away from your price. They could open a new of their own imediately after you send an order to them, make a few pennies off it, then fill your order by closing theirs while you are still waiting for your initial order to fill. It's something like front running a trade. A serious red flag to watch out for is if your broker has rules about how often you can cancel and resend orders. If they have rules in place that prevent you from buying and selling precisely when YOU want to then it might be best to consider finding another broker.

On second thought, the graphs you show indicate bipolar volume data that is symetrical or "balanced". However, the data above and below the POC is usually not symetrical. Therefore, it seems unlikely that the bipolar volume data was derived from simply being above/below the POC. Now I'm wondering what basic concept I am missing. Any insights would be appreciated... JDevron

Oh I see UrmaBlume, thanks for the link. Yes I have done some work in the market profile area, and also in the cash flow area. My understanding is that a market volume profile reports volumes at various prices levels, while cash flow inspects the price that a last trade executed at and catagorizes it as either a bullish or bearish volume. It is easy to extract bipolar volume data from the cash flow formula ... (where last price * last size is < or > the midpoint of inside quotes). But I'm wondering how to get bipolar volume data from the market profile. If I had to guess it would be that the volume above the point of control (POC) volume price is bullish and the volume below the POC is bearish. Is this assumption correct? Purhaps you can tell me where I am going wrong in my thinking? Thanks, JDevron

Wow, those are indeed very impressive charts UrmaBlume. Kudos to your talented team! I agree that there is a cause effect relation in market dynamics and last trade price is part of the composite result but not the dominant cause of the market physics you describe. It's really just an extension of supply and demand theory. There is just one small clarification I am seeking in reference to your comment about "net order flow". Strictly speaking the volume size of a last trade at a given price is technically past tense history, even though it may have occurred just microseconds ago. Likewise quotes, whether level 1, level 2, or montage orderbook depth all refer to a future event. The reality is we can take action in the future but not in the past. Therefore it would be interesting to know how much of a purist approach your research has taken. Do the charts showing bipolar balanced harmonics use last trade price/size info, or are they derived from quote price/size info? All the Best, JDevron

Have you tried speed trader? http://www.speedtrader.com I have not used them before but they advertise 39c per 100 shares. Hope this helps, John

Regarding point number 3, I'm not sure if this is done in futures but in equities large orders are often broken up with "baskets" which essentially means to send fractions of the same order to a number of different exchanges simultaneously. I'm not sure how this would apply to futures because I don't think you would be able to find 1000 exchanges to send a 3 lot order.

After reviewing the code, I seriously doubt it is worth the trouble to decipher it in detail. Besides being poorly documented, it doesn't appear to have much potential for consistant profit. The difference between 'can work' and 'does work' is reliability. The reason this code if free is because that is what it is worth. Move on to something better. As a stand alone indicator this code will never increase your account balance by the end of the month.

Time based charts can have dead zones. Tick based charts are designed to alleviate this problem. A 1597 tick chart would complete one bar every 1597 ticks. A 60 minute bar chart would complete one bar every 60 minutes.

No algorythm can be programmed to fix bad data which wont introduce a new adverse side effect somewhere. There is no substitute for good information. Redundant data sources are essential to correct bad data. You need to merge them by taking the best inside quotes that don't cross each other. Last trade info can be filtered by comparing it to the best inside quotes. This will clean up spike and gaps in poor quality data.

A dual router and UPS is the best solution. Linksys is a popular manufacturer of them. A dual router offers redundant internet access. Typically you will have intrernet services from both a DSL connection from the phone company and a cable cnnection from your cable TV provider. The dual router multiplexes those data streams together giving you potentially twice the bandwidth when they are both working. If either the DSL or the cable connection goes out, the other one will still support your trading. It is seamless. There is no loss of data when either of the two internet sources goes out. I reccommend to get an uninteruptable power supply (UPS) as well. Plug in your computer, DSL modem, cable modem, and dual router into the UPS. That way you can still trade if power to your home goes out. This configuration offers the most reliability.