carltonp

It gives me the confidence to build on my strategy. Thanks Tams

Whoopee. My program works. I reviewed every single price pause you provided and my formula was able to call it. Cheers mate

Hi Tams, I'm afraid I'm not making myself clear. Looking at the sample of prices and times again that you provided below. Between 15:04:30 and 15:04:36 the price was 11534 - that is six seconds. My question is, did the price pause at 11534 For six seconds? 20111014,15:04:30,11534.000000,2 20111014,15:04:34,11534.000000,3 20111014,15:04:36,11534.000000,1

Tams, I've been pouring over the figures line by line. So, does the following mean the price paused at 11534 for six seconds? I guess not. 20111014,15:04:30,11534.000000,2 20111014,15:04:34,11534.000000,3 20111014,15:04:36,11534.000000,1 I'm trying to establish if anyone has observed the price pausing at the times I noted them to pause. Cheers

Hi Tams, I wonder if you, or indeed any trader that trades YM, verify some prices for YM today? As you're aware, I have been trying out a strategy that revolves around when prices pause. Below is a list of times that the price of YM paused and the length of time it paused: 14-10-2011 15:00:58.58 Highlight 10 seconds, value =11536 14-10-2011 15:02:08.08 Highlight 10 seconds, value =11535 14-10-2011 15:03:25.25 Highlight 10 seconds, value =11533 14-10-2011 15:04:03.03 Highlight 10 seconds, value =11533 14-10-2011 15:04:39.39 Highlight 10 seconds, value =11534 14-10-2011 15:04:44.44 Highlight 15 seconds, value =11534 14-10-2011 15:05:19.19 Highlight 10 seconds, value =11534 14-10-2011 15:06:27.27 Highlight 10 seconds, value =11533 14-10-2011 15:06:44.44 Highlight 10 seconds, value =11533 14-10-2011 15:06:49.49 Highlight 15 seconds, value =11533 I'm sure there are traders that, like me, record their trades. Can you please look back and tell me if you noticed that the price paused at any of those times? For example, the first trade on the list paused from 15:00:48 to 15:00:58 and so on.... This is really important, so you're help will be greatly appreciated. Cheers

Thats great mate..... Sometimes I really feel like I just wanna throw in the towel.... This is a hard business...

Thanks mate. I will continue investigating....

Hi Tams, Thanks for the detailed response - really appreciate it mate. Below is the output from tracert - its not so great. It totally makes sense about what you said about esignal and IB (don't know what I was thinking :-)

Hi Tams, just spent the last 45 mins watching todays recording. I have data feed coming in from both esignal and IB. I have checked every pause and compared them both and the pauses have all been in sync with each other. Therefore, there is a problem it would be coming from my PC or my ISP, and I don't think there is any issues with either my PC or ISP. Cheers

shooly76, I feel your pain. Have you actually spent the last three years learning? Or did you have a day job and learn trading in the evenings. I myself are going through similar ups and downs as you. -C-

Just applied the tracert command and the output shows a healthy connection....

Thats interesting because traders are usually quick to comment on theories that are seen as not having any edge what-so-ever ...

Thats cool. Tams, thanks. I notice that nobody wants to stick there neck out and comment on the strategy - same with ET. Don't understand why....

HI wrbtrader, That is a good question, and one that I probably could never answer with all certainty. However, a very polite engineer at IB kindly did some tests with me and for 30 mins we both synchronized on clocks and watched the pauses independently. Having said that, I will never know for sure. The question still remains: is this a strategy, worth pursuing in your opinion, if valid? Cheers

Hello Traders, I'm trying to formulate a strategy that might take advantage of price pause after an instrument has paused. Let me provide an example. I have written a program that will alert me to when a price has paused for 5, 10 or 15 seconds. Also, the program will show me how many times a price has paused at the aforementioned seconds during, say a 5 min interval. The strategy that I deploy using the formula is as follows: YM (mini-dow) has reached an overbought/oversold stage on 5min chart. During the overbought/oversold stage the price pauses for 5 seconds at, say 11000. The price moves to 11005, and then 11008, but returns to 11000 and pause again for 5 seconds. The price then moves to various other prices but then returns to 11000 and then pauses for 10 seconds. This is all happening during the 5 min bar interval. So, my strategy is to wait for a pullback on the following 5 min interval a enter at 11000 in the direction of the current trend. So, my question is, can someone please tell me how I might improve on that stratey? Alternatively, can someone please tell me if they deploy a strategy using price pauses in their trade setups? And any ideas would be great. Cheers Carlton

Josh, What trading platform do you use?

Thanks Tam. Some of what you mentioned I was made aware by IB support staff on Friday i.e 250ms increments, and that their data is aggregated. However, it never dawned on me that there might be additional aggregation in the software itself. I also didn't pay attention to the fact there isn't any bid / ask size. I have decided to use Esignal as data provider and solely use IB as the broker. I know Esignal provide tick by tick data, however I'm going to ask Esignal if they provide trades at bid and trades at ask through the API(application programming interface) as I need to import that crucial piece of information into my spreadsheet. Anyway, you've been extremely helpful with this (and other) issues. Appreciate mate. Cheers

Tams, who are your providers? How do you collect the data realtime? Cheers

Josh, I think I've been bit of a numpty (British term for what Americans call a Putz). Do you remember when Gosu said 'That policy would seem to make suspect any trade decision based on what's showing on the bid and ask at any given time regardless of the flawlessness of the data itself.' What is exactly what I was doing, when it actual fact I thought I was doint what you thought I was doing when you said I think carlton is talking about transactions that have been executed, not orders in the book. It's still possible to write a formula for that, just going to require a little more thought.... Thanks mate....

Thanks Josh, I use Esignals advanced a charting software.

Wow! Where did you get that from?

Ok, looking at you example, would you say that the last trade price of 10966 was executed at ask?

Josh, is it possible to determine if a transaction has been executed at bid or ask, realtime? Cheers

Thanks for responding Tams, however, I think you might be wrong. Going to investigate further. Cheers