BlowFish

I was not suggesting it was I was more interested in johns acceptance of the statement Actually there are so many different types of participant with quite different agendas and modus operandi, I always used to think it a bit naive to assume that you could track order flow by simply looking at the delta. In the past I too have observed an instrument go up for two days straight whilst the delta goes down for two days straight. I was quite a 'delta sceptic' knowing a little about the variety of ways large orders get worked. To use johns parlance it was a variable that was not helping stabilise things. Further investigation revealed that there has been an awful lot of research by credible academic institutions (with rigorous and well defined test criteria) which it seems foolish to ignore. One of the things that surprised me is that pretty much all the studies that tested it, concluded that delta is a better indicator of trade direction than I had given it credit for by simple observation.

Hit and miss guesswork often seems like the name of the game for many. Without wanting to comment on the veracity of Negotiators observation, I wonder why you considered it 'intelligent' rather than more 'hit and miss guesswork'? I presume because it fits in with your belief system. To me it is just another unsubstantiated observation (it may or may not be valid). Incidentally there is a lot of empirical research (since the late 80's) on using trades at best bid ask as a method of determining trade direction. Whilst they won't make anyone more intelligent there is no excuse to be uninformed. btw liked your follow up post.

There is an extract of the first few chapters on the web somewhere. It appears to be an earlier draft of the published one. The published one is nicely laid out and has sidebars with anecdotes and illustrations of some of the concepts. It might be one to borrow from a library to see if it interests you. If trading was taught like a traditional degree this would be the reading list for the 'how markets and their participants really work' module.

No problem, at least you had a go yourself, many don't get that far! And to be honest it was just cutting code I already had and pasting it in the appropriate place.

Sure no problem Amazon.com: Trading and Exchanges: Market Microstructure for Practitioners (9780195144703): Larry Harris: Books It is perhaps quite 'difficult' but crammed full of information. I found it fascinating and a couple of things have subtly enhanced how I view the market. I have written the odd paragraph about it on TL a couple of times in the past a search should spit out a 'micro review' or two.

There are lots of great interwebz resources on price action many of the best are free. A few things off the top of my head Thales' excellent trading in real time thread here. There are a couple of decent threads in the candlestick corner too. Joe Ross law of charts is worth taking a look at, also threads by TraderDante and James16 (these are not on this site incidentally they cover pretty much the same material as Nial) BabyPips has good info too. There is a google group called Sanuk not too active but some good archives. I very much like Sam Seidens stuff. Lots of good resources those are just off the top of my head.

Something like this should do if you compare carefully you should get an idea of how it works. Be aware that with this algorithm if you have many many bars things can get quite slow to calculate as more data is added to the sample. [LegacyColorValue = true]; vars: PriceW(0), ShareW(0), Count(0), VolWAPValue(0), VolWAPVariance(0), VolWAPSD(0), Class("PVP"), InfoMap(MapSN.New),n(0), MyPVP(0); Input: NumberofDays (1); if date > date[1] then begin n = n + 1; if n = NumberofDays then begin //reset code goes in here PriceW = 0; ShareW = 0; Count = -1; Value1 = 0; Value2 = 0; VolWAPValue = 0; end; end; PriceW = PriceW + (AvgPrice * (UpTicks+DownTicks)); ShareW = ShareW + (UpTicks+DownTicks); Count = Count + 1; Value3 = 0; if ShareW > 0 then VolWAPValue = PriceW / ShareW; For Value1 = 0 To Count Begin Value2 = ((UpTicks[Value1]+DownTicks[Value1])/ShareW) * (Square(AvgPrice[Value1]-VolWAPValue)); Value3 = Value3 + Value2; End; VolWAPVariance = Value3; VolWAPSD = SquareRoot(VolWAPVariance); Value1 = ADE.GetBarInfo(Class, GetSymbolName, ADE.TypeZeroInterval(11,1), ADE.BarID, InfoMap); MyPVP = MapSN.Get(InfoMap, "PVP"); Plot1(VolWAPValue, "VWAP"); Plot2(VolWAPValue + VolWAPSD, "VWAP1SDUp"); Plot3(VolWAPValue - VolWAPSD, "VWAP1SDDown"); Plot4(VolWAPValue + (2*VolWAPSD), "VWAP2SDUp"); Plot5(VolWAPValue - (2*VolWAPSD), "VWAP2SDDown"); Plot6(VolWAPValue + (3*VolWAPSD), "VWAP3SDUp"); Plot7(VolWAPValue - (3*VolWAPSD), "VWAP3SDDown"); Plot8(MyPVP, "PVP");

You need to use ';' rather than a comma at the end of the line where you declare number of days. You'll also need to declare 'n' in variables. Finally the reset code should use the variables that need resetting from your routine. Mine actually maintains two distributions at a time plus does some other stuff. I can help further if you get stuck but gotta run now.

Quite so, in fact I guess that's what makes a market. Personally speaking I find focusing my efforts on detecting order flow (regardless of where it originates) is a more productive pursuit. Having said that (again for me) it is not wholly necessary to achieve my goals. I know I have mentioned it in the past but Harris' book is a great resource for learning who trades and why they trade. It also provides fascinating (to me) material about precisely how they must trade to achieve their goals in the most effective ways.

Isn't supply supply and demand demand? Does it matter if it is someone hedging physical goods, an arbitrager legging into a position to offset another in the cash market, a market maker reducing exposure to balance their book, a speculator punting on longer term direction....well you get the picture.

Just bought an Asus G73 funnily enough. (from using a MacBook pro). Of course it was for trading *cough* and not for playing games Great machine though the one big issue is the track pad can become a bit ' wierd', Manifests itself by scrolling oddly/jerkily and I have had phantom 'clicks' even if you turn the sensitivity right down. One actually caused an order! It seems to be a common issue. External mouse is fine. Apart from that it's a really nice machine quiet and cool (thanks to a couple of really big fans), even when running games at high resolution and maximum graphics *cough* I mean loading complicated workspaces If you can live with the trackpad (which is OK most the time if you get the most recent drivers) I'd go for it. One last thing is it's pretty big and heavy, doesn't bother me I can use the exercise!

Whilst I agree that a high percentage of retail traders fail I personally don't think it has much to do with the quality of their data. Rithmic made substantial improvements to their infrastructure a few moths back and at the moment things are not bad at all. (they where great before the CME changed hw they reported trades thus increasing volume of data transmitted). Also, because of the way they (Zen) deliver there data, UDP (User Datagram Protocol) and how they actually report trades (strange to say the least), it will probably not be as robust as IQFeed. Having said that it is absolutely possible to trade from Zenfires bid,last,ask data. Having said all that as John, says it is a tough enough endeavour so why put potential hurdles in your path? One last thing occurs to me, it does rather depends how you are using delta, For example if you look at cumulative delta (which is absolute) over longer periods you might require greater accuracy than if you are looking at delta shifts (relative) whilst scalping. In the latter case a glitch in the data will quickly scroll out of the data that you are making decisions on and the chances are timeliness of data will be much more important than completeness. Just a bit of food for thought.

You will need to jiggle the conditions that the sample is reset under...something along the lines of:- Input: NumberofDays (1), if date > date[1] then begin n = n + 1; if n = NumberofDays then begin //reset code goes in here s = 0; n = 0; VWAP1 = VWAP; SD1 = SD; VWAP = 0; SumWeights = 0; SumWeightsOld = 0; VWAPOld = 0; end;

Sorry a belated reply but to put it simply I am afraid you are wrong. You absolutely have to weight with respect to the whole sample. Well you don't have to but it has no statistical significance if you don't. Having said that it does produce lines you can trade from should you desire they may well be 'good enough' too. If you review the 'trading with market statistics' threads it is discussed at some length in ac couple of places. I posted quite a few charts with different methods of calculation whilst I was trying to develop an online algorithm (single pass) to calculate weighted variance.

Remember you don't need to trade all the time, if it does not meet your criteria there is no trade. Having said that you might want to review the break out thread (and possibly the symmetrical distribution one though this does not look symmetrical to me). That gives ideas of other circumstance to initiate trades.

Bookmaker read post #5 in this thread. Imho it is quite important to understand the implications.

It depends if your are interested in some of the esoteric indicators that the software comes with. It's $99/month including data + exchange fees. As things go that is not really that expensive. There is a ton of stuff in there to 'play with' *cough* I mean research but as I say unless you have an interest or prior knowledge of some of the components your time might be better spent elsewhere. It does have some unique and interesting studies though. The thing that originally attracted me to it(a long time ago) was the 'pattern matcher' it allows you to easily define types of price action in price and time and have the program identify them for you. At the time that seemed worth exploring to me. (not necessarily so now). There is a video here http://www.wave59.com/Portals/_default/skins/Wave59/videos/Timepricepatterns.mov Whatever your approach you will need to 'put it together and make it work'. If you are looking for some sort of 'grail' you wont find it there. It is simply charting software with a bunch of (fairly interesting and unique) indicators.

OK maybe I am being pedantic whilst for all intents and purposes what Tams says is true but there are things that you just can not do for example analysing multiple data streams (like order book analysis for example). Having said that TSSuport have made some changes in version 7.0 of MC to allow bid ask last analysis though to do this with historical data you will need IQfeed from what I understand, I am a bot sketchy on the details and am still talking to them about it. Ninja has some third party stuff written by a user called Gomi). This maintains a completely separate database of tick data with the required precision to do this sort of analysis. Tams is correct though, I am just being 'picky' but there are some things (albeit pretty rare) that you will not be able to do due to the architecture of the products. 'Tape reading' (depending on what exactly you want to do) might be one of those things.

Ahh right, yes of course should have thought of that. What sort of size swings are you going for? With the 'bookie' type accounts bigger is better as it minimises the shenanigans with spreads and prices.

More common is to do the reverse chart the spot and trade the future (for the reasons I explained before). I'm not sure why you would want to do it in reverse? They are highly correlated as you can make/take delivery of the underlying currency on expiration f the futures contract.

It's a long time since I read it but I recall it being pretty broad in scope so treatment of some of the topics is kinda weak. You can see the ToC on Amazon. Having said that it's a quick way to get a lot of (albeit not so deep) information, it packs in a lot. I did think the section on Money Management was pretty good though the same info is probably available on line. (Or to contradict myself maybe a Van Tharp is the better option as that is the main focus). I do recall Teweles having all the info VT had plus you get all the other stuff. A reasonably comprehensive (in scope) futures trading 101.

No, though I have assimilated some of the concepts particularly the multi time frame stuff. I did use it and did OK (any failings where down to me rather than the methodology). I usually keep a P&L workspace that I check out now and then (though don't trade from it).

The full course represents about 40 years of his work and research. He is an inveterate researcher and there is a vast amount of material. That would be my biggest criticism actually! Whist it is comprehensive it will probably require a lot of work to make efficacious, there are much more straightforward ways to trade. It is likely to take many many hours of study to really 'get it'. Ironically some one reasonably experienced would possibly get more out of it than a novice. It's kind of hard to recommend despite having all sorts of interesting stuff. It certainly provides a comprehensive framework ('context' again if you like). The (rigorous and unambiguous) classification of types of market action (e.g. trend, congestion entrance, congestion, congestion exit etc.). And the big one - multiple time frame analysis which looks at the subtle interaction of all of his tools and techniques on multiple time frames, particularly types of trading are notable.

DeMark didn't really jive with me, maybe time for a re-read. Interesting to see Drummond there, I have most of his stuff including the course that he did with Ted Hearne. Probably the most thorough coverage of using multiple time frames. 141 West Jackson is on my list, seem to remember Kiwi saying he enjoyed, usually a good recommendation.

Because it is a centralised exchange and it is much better regulated. Most of the FX 'brokers' are bookies (they are the counter party) I guess you could use the term market maker if you are being less emotive. Not only that they are setting the price that you bet on (as there is no centralised exchange and lax reporting requirements there is a degree of flexibility in the price they set). More recently there are 'real' brokers emerging that give you actual transparent access to the underlying market (or a fair portion of it, remember it is not centralised). Still less regulated but at least in this case the broker is not the counter party. These DMA (direct market access) brokers charge a commission rather than manipulate the price you 'trade' at.