BlowFish

Just upload the image directly here (to Traders Laboratory) rather than link it offsite. It's the site you link to that has taken the image down it appears.

Ahh OK - It is worth being aware of this as other DMA brokers may well treat trades under a unit differently. MBT/EFX used too for example.

Which approach exactly? Are you talking about something from her book "Trading with the Odds"?

One way would be to add an offset input and add that to the average before plotting it. If you wanted to shift it left/right too you would need to add a y offset too. Something like var: Period(13),Xoffset(0),Yoffset(0); ....code to calculate average goes here.... plot [Yoffset](MyMovingAverage+Xoffset); It would not be drag and drop but it would allow you to 'nudge' the average around by changing the offset parameters.

Don't the small orders get routed differently? (IDEAL vs IDEALPRO).

I was going to suggest IB too. They have data centres in Europe, Asia, and N America too. Execution performance has not been an issue for me though I try and use resting (at the exchange) orders where ever possible.

Most provide training too SIYUA. The sceptical would say that the training in the less scrupulous shops encourages you to churn your account generating commissions for the house.

So you do want Market Profile rather than Market Statistics? Fin Alg is pretty decent and inexpensive as 86834 said. If your are still looking for a 'style' I would recommend reading all these market stats threads carefully (or Jerrys posts at least). They are quite comprehensive. I am probably not well qualified to talk about MP but it seems to me most of the resource seem to be about theory and analysis rather than actual trading. Having said that VAH VAL seem to be widely watched levels I am pretty sure you could find/come up with something pretty robust trading at these levels.

Isn't that the whole point of gaps? Gaps occur when markets are 'sleeping'. I presume as he speaks of 'half gaps' he is dividing the gap by time (hence midnight). Incidentally markets really are 24 hours now maybe most US traders are sleeping though I know a few who get up for the EU open. That is one of the issues facing gap traders. I wonder if you have looked at other instruments TW? I am thinking ones that still trade in sessions and that are reasonably un correlated with instruments that trade 24 hours.

You can get the futures from AMP/Mirus. Not sure of any free sources apart from the plethora of FX bucket shop which are predominantly MT4 (or proprietary platforms).

Ninja trader with AMP or Mirus. Free for paper/demo trading.

That is a great thread for 'simple PA' and it spawned a whole bunch more in various corners of the interwebz. TraderDantes at T2W is very good too and of course Thales thread here (that was previously mentioned).

Interactive Brokers have a vast (mind boggling so) range of instruments you can trade it includes Sugar No. 11 No. 14 and No. 16 What the difference is I haven't a clue but 11 is SB.

Clef it is probably worth mentioning that trading with market statistics requires a different set of tools to MP. Whilst there appear to be similarities there are key difference that are discussed at some length on a couple of occasions within the "Trading with Market Statistics" threads. The two tools required for the techniques and observations presented here are PVP (volume 'POC" if you like) and the VWAP. There are a whole bunch of packages that offer these either natively or with user written studies.

I have to regretfully say currently it it is not. I got to the point where I was getting data into a grid and doing some basic manipulation. Whilst I can see the advantage of a managed framework (C#) it really seems to require a disproportionate amount of energy to learn it's in's and outs.Having said that writing in other 'environments' learning the 'environment; is usually the greatest challenge (whether this is directly to the Windows API, the Ninja API or a Java VM for example). If it was me I'd be inclined to do it in the easiest 'environment' (even if just for prototyping) unless that imposes limitations you find unacceptable.

Arguably the order book is the past it's just a closer past. It is certainly still 'market generated data' and that by implication makes it historic. ( You cant have 50 offered unles err.... some one has offered 50 ) Recently I posted a couple of 'charts' that are just different depictions of what the order book shows (and some order book history too so you don't have to remember so much). Are they charts, does depicting the DOM and DOM history graphically make it TA? Anyway I guess that is nit picking. This is the issue unless people have common definitions it's hard to get on the same page. Incidentally prop is not the only game in town in fact compared to many of the games it is a drop in the ocean, compared to interbank FX almost literally! Also the model for a lot of shops is making money from commissions, desk fees etc. Sure there are straight ones and the situation has improved vastly over the last 10 years but the fact remains a lot of shops make money from commissions off the back of the churned and burned and even the successful for a fair bit of their careers. That is a huge incentive to encourage their fledgling traders towards scalping and the order book is just great for that. Huge incentive. Still, a great start in the industry if you get the chance to join one that isn't out and out dodgy. Anyway just as you are not saying 'charts' have no place I am certainly not saying playing the dom has no place. I do think if you look for order flow at obvious S/R levels (why not use simple charts to see those?) that you can make things easier for yourself. Pretty much agree with most else you said.

After reading 86's post it occurred to me that he would probably would consider S/R got from a chart as TA & S/R got from the DOM as something else. Then it occurred to me that "what is TA" was discussed earlier in the thread.... and many like it since god was a boy. Without common terms of reference, or at least defining your own, these conversations can be pretty meaningless. Cory's definition is nice and simple. How about TA is "using market generated data to anticipate future market behaviour"? There is much less ambiguity what 'market generated data' is. It also does not matter how you process it for your 'analysis' or whether you use it to make trading decision or run a news letter.

By 'tools' I mean what did you use to design your strategy? You say you have been "working on a strategy for a log time". I wonder what you have been doing and what you have been using to do it and, without giving the game away a general idea of the result. (the type of system). If your systems is complex you probably won't need to do much in the way in optimisation. Optimising complex systems needs great care to avoid curve fitting. Curve fitting gives fantastic results on the data used for the optimisation and abject failure on out of sample data. What your system is will dictate the best tools (bits of software) to use to automate it. Does it use traditional technical analysis? or maybe simple price action? Does it look at correlated instruments or maybe it is based on statistics or some sort of qualitative approach. Maybe it requires fundamental information as an input too? I know you asked for answers that where not "it depends on your requirements" but for anyone to give anything but general information they would really need to know more about your strategy and exactly what you want to do. In any case that is the correct answer (it depends on your requirements). The other big question is whether you want to go unattended automation or you are going to keep an eye on things? Forget all the languages platforms optimisers packages and what have you. Approach it from the other end set out what you are trying to achieve the more specific the better. Oh one thing I notice you asked and has not been answered what else to things like Tradestation, Multicharts etc. offer and the answer is they are charting packages. Ninja started off as an order entry software but has developed into pretty full featured charting package. They all farily general purpose and have quite a bit of overlap but there are odd things one or other does better. Based on your requirements all might be equally OK or it might steer you in a particular direction. It might rule all out in favour of a more specific package or a more bespoke approach.

Jim try putting an ATR (average true range) indicator on your 233 tick chart for the period you are interested in that should give you a good feel for a value you might want to use. Of course Constant volume, constant range, constant tick and constant time bars all have somehwhat different characteristics. It is a data sampling issue (what do you hold constant to sample one of the other variables) how you sample the data will determine what is easier to see and what gets 'filtered'. Not quite sure what this has to do with Ultimate Trade Analyser but I don't really UTA so that's no big surprise.

What tools have you been using to design your strategy? Excel or something? How complex is the logic for the system? There are solutions that can be 'scripted' in a fairly straightforward sort of way.

Yes, I forgot about the daft pattern day trader rules. Though strictly speaking he did not mention margin but you are quite right.

SPY would probably do you an exchange traded fund that tracks the S&P 500.

You can use insidebid and insideask reserved words, though these look at data asynchronously so there is a potential race condition. You can find that discussed in various places on the site. The volume splitter thread springs to mind (there is also some code I posted there too). A superior way to do things is to have bid last and ask plotting on a chart and use data1 data2 and data3 to get at them. I have not tested how robust TS is internally processing multiple data streams but I can say Multicharts has some 'wrinkles'.

I used to find that in the DAX occasionally too. I think under certain circumstances (small corrective moves for example) some of the participants will switch to passive buying/selling (limit orders) to do their business. This could go on for quite a part of the day.

By currencies I guess you are looking at futures? Delta is pretty meaningless on spot where volume is approximated from bid ask changes in the first place