BlowFish

I like Revo too. I am also a great believer in a periodic clean install. Strangely I removed visual studio (and SQL server which it install also) from my laptop and defragged and its running like a dog now. Haven't figured out why, actually haven't looked to hard it seems to portent a format and re-install. Funny how MS products are the absolute worse for tangling themselves with the OS and not un-installing cleanly.

var: dot11(0); begin dot11 = (H+L+C)/3; plot [-1] ((dot11+dot11[1]+dot11[2])/3); end; Typed this straight into the forum but should work. It will plot the forming live dot too so you need to ensure you have a couple of bars spacing to the right in your chart.

Moving the spam from a private location (a PM) to a public one (a forum) is about the best thing you can do for the spammer. Just report it to the admin and move on, you have given it 'life'. Best thing you can do is edit the original spam out of your message.

Really like the simplicity of your approach. Du Plessis book on P&F is not bad at all and also deals with intraday which many don't.

Sadly the algorithm to calculate VWAP is wrong it does not calculate it accurately. When new volume arrives all previous trades must be re weighted with the total volume of the whole sample. Sometimes it will be close other times it will be completely off. If you look in Jperls threads the topic of calculation is discussed at some length.

Something that was recommended to me and was inexpensive so I got it was no BS trading. I am loath to make recommendations but you might want to check it out, I think it has a money back guarantee fwiw.

Ahh the wisdom of old Mr. Partridge. (Reminiscences of a Stock Operator)

Limit orders are orders in the queue i guess you mean market orders?

It's also worth taking note of the limitations of tradestations architecture (mentioned in this thread).

Did you go through the thread from the start? Most of the discussion concerns easylanguage.

You live and learn - never realised that EL had a break statement, seem to recall early implementations did not though could very well be mistaken. What next a switch statement

You can use something similar for for next loops to for n = 1 to 10 begin ......... ......... if jobdone = true then n = 10 end; cheers.

This 'stair stepping' of the PVP is a phenomenon that I noticed fairly early on and has been discussed on several occasions within the threads. It tends to happen when you don't have the 'base' that price is moving from in the data sample or if volume is steadily increasing (so each new higher volume move causes a pvp 'jump') often it is a bit of both. There are a couple of potential ways of dealing with it but they are not ones that Jerry has advanced, in fact he may well frown on them. One obvious one is to trade a different sample size. I don't know about currencies but with the indexes this behaviour often occurs at the open when there may well be no 'base' established that day. Adding the previous days sample in (as Jerry describes in the position trading thread) often sorts things out. There is a danger here of looking for a sample that fits what you want rather than picking a sample and letting it tell you what it wants. I have grown to like adding the previous day's sample in, currently in the DAX it often seems to 'interact' with price better than today's only. Another thing I do (and I think Jerry might be more disapproving of this one ) is look at a larger data sample for 'context'. Pretty similar to more traditional 'TA' where you look to a larger time frame for context. Again I think I have spoken of this before and Jerry has offered his words of caution about this! (Missing plenty of good trades on the sample you are trading).

As MK pointed out Neoticker always has had the order book available programmatically, Ninjatrader has for ages too, perhaps not that robust a platform for 'serious' work but its available. I'd take the chart in the original post with a pinch of salt btw. You can get 'tier 2' (yellow) performance for as little as 500 odd bucks a month (by 'sub letting' virtual machine space from a broker that is already collocated at the same facility as the exchange). Whilst getting 'tier 1' (green) performance does require technical expertise having suitable commercial arrangements is all that is important, (programs like Advanced Look, Enhanced Liquidity Provider, Supplemental Liquidity Provider etc.) Exchanges are not going to allow you to graft your hardware into theirs at a low enough level to get that sort of performance if you are not part of one these programs. You need a 'license' to print money and these are not handed to all and sundry

The reason the bookies like MT is the server side technology, it allows for automating various types of 'shenanigans' if you are that way inclined . Ironically while the charting is not bad, order entry (arguably it's prime function as far as the bookies are concerned) is absolutely lousy (imho).

My hunch is it is a couple of things. Lack of learnt behaviour that work well in most endeavours but not in trading. Implicit trust of a child for their parent. Different relationship with money (I guess that could be covered in the first point). And of course constant feedback.

What Nate said. Though to be fair TS suffers the same malaise. They are aware they dropped the ball (god knows how) however too late for v7....roll on 7.5. There is user contributed public domain code that keeps an alternate bid ask last tick database. Why the hell they don't pay the guy to help re-architect there core data handling, or at least incorporate his stuff (as a stop gap) it in a more formally supported way is beyond me.

Aww cornhusker you answered your question before everyone else had a go. Markets as liquidity matching mechanisms and trading as the search for, and provision of liquidity provides a pretty robust conceptual model. Things like supply and demand support and resistance and various market profile concepts can all be thought of in terms of liquidity. Incidentally If banks are making most money from customer order flow it is in their interest that the market trades where the most liquidity (order flow) can be found. Another interesting thread daedulus.

The SD's are also weighted by volume. I'd like to see more on trading with market stats too. Jerry has done a remarkably thorough job providing details of the framework and principles. If anyone starts a 'practical applications' thread or 'ongoing research' (or just a thread to post charts in ) I'll be there! (The reason I did not is that I am a bit old school about obligations and responsibilities of thread starters, Jerry's support of these threads years later are a shinning example).

I hope they get it right when they do it. (take a look at MC's volume profile a evidence of how they can work hard at implementing a feature and mar it by not giving enough user control or doing something 'daft'). I think there some fundamental issues with MCs architecture which is why it is probably taking a while. The database only has 1 second resolution and no sequencing info across different series (bid & ask are stored as separate series). More worryingly there appear to be some anomalies processing live data (users report indicators not getting called on every tick for example). Anyway the more people that get on their case the better chance of getting this done in a timely (and useful) fashion. Oh you can have CD bars with ninja though it needs code slotting in for a custom bar type.

Zenfire does not filter ticks. As it uses UDP you might loose ticks. That is quite a different matter. It is also probably one of the most timely feeds available which is probably of greater importance than completeness to a scalper. From their website :- Zen-Fire provides unfiltered price data. This can easily be seen during active market periods such as economic releases, but is also visible during slower conditions when automated systems are seen rapidly placing and canceling orders at particular price levels. The “fluttering” can often cause the actual quantity to become a blur as it updates in real-time.

multiply by 1/ticksize (so 4 in the case of ES) round it to the nearest integer divide by ticksize.

Just wondered whether you are considering slippage? On 50 or 100 pip moves a pip or two is no big deal however with more scalp like approaches it can knock what initially appears quite promising into marginal or worse territory. It really makes testing on any non live data tricky as it can have such a drastic impact.

What the previous posters said, consider a hosted environment once things are tested. There is also a product called 'strategy runner' (that I have no first hand experience of) that allows you to develop your strategy with a PC app and then have the script run on a brokers server (provided they support strategy runner).

Hi Tuccio. On study properties try setting "max bars back that study will reference" to zero or 1 if it wont accept zero. The study should start working with current days data only I am not sure why it requires yesterdays too.