BlowFish

g Filtering and aggregating/coalescing are not quite the same thing. They always used to reserve the right to but in the absence of current evidence I guess we can discount that. When they where talking about 'data' was that the full order book?

I have not looked at this platform (yet). Anything I would look at now would need similar data handling capabilities of NeoTicker (particularly there tick precise technology...very important). Nice bonuses would be ...Easy Language support. Drawing and visualisation of Ensign (it just look so damn pretty). Ninjas chart trader.

Ahh OK gotcha. Mind you most pannells are about the same size but it looks like this has nice rounded edges and presumably it is a bit more robust and available with a padded bag. To get back to your original question samsung are pretty nice monitors at the price. Montors in general seem to vary model to model. At 75 quid it's hard to go wrong I reckon

I'm really not sure which side of the fence I am on this.Over the years I have stared (I choose that word over studied) at the DOM for hundred of hours. The reason I say stared is because whilst I have a general idea of what I am looking at I am not sure I really 'get it'. I still feel that there is sense to be made of it I just haven't managed to. I also wonder if I am capable of it. I have good spacial awareness and a good intrinsic feel for magnitude. I am not particularly numerate though (odd as I just about come from a generation where a slide rule was used for maths rather than a caculator). If you think about it as a market for physical goods oranges and lemons say. And sellers place their goods for sale out on stalls (though they may have more under the counter and can add or remove cases of oranges from the stall). Not only that you can see how many oranges are bought by punters. Conveniently the stalls are ordered by price, the more expensive further along the line. On the other side of the room are buyers, on there tables are empty boxes advertising how many oranges they are prepared to buy. Again they can add or remove boxes and you can see how many sales are made (with oranges being dropped into the boxes). In brief you can see how much is bought and sold and you can see how much is advertised (even if that does go up and down). Can one judge the short term sentiment from this? Seems more than plausible to me the problem (for me) is it all happens quite fast and there is a lot of information to take in.

Yes that's what I concluded but as laptops have monitor ports that is academic. Do netbooks? maybe it is targeted at them?

Worth re-iterating the problem is not that it is an elementary school technique but that velocity will swing wildly (as much as the extents of its limits) tick to tick.

You could look at Ehlers work. A lot of his stuff is about splitting the cyclical component from the non stationary. He seems to use the same technique for that in most (all?) of his work. The Hillbert transform. You should be able to find code in TS to do this.

Me too. My hunch is that exchanges aggregate data at times. CME certainly reserve the right to, though I must be honest, the last time I looked for the document that mentioned it I could not find it.

Thats boggling. Are you sure it is not up to 20 ticks (a 20 tick cap)? Most people would want to set the stop and limit at the same price I would guess (zero offset). One has to ask why Ninja is using synthetic orders (simulating them on the client)? They should be submitted to the brokers system (or exchange if a native order) and modified if necessary. (certainly for stops and exits, some people might want the option to hold entry orders on the client so infrastructure problems mean unmanaged orders aren't left at thr broker/exchange). Reported all that in the beta of version 1 let alone 7!

It's here somewhere (or a link to it is). The original was Amibroker though I think an early version might have been ported to easylanguage.

Not sure of the significance of this product unless your laptop does not have an external monitor port? Most laptops nowadays support a second monitor anyway. I have probably missed something

Certainly will check out the book. Very little stuff written about the order book or even modern tape reading. There are a few old ones particularly aimed at NASDAQ but I seem to remember them being universally poor. Certainly agree with your point about removing everything that is superfluous..there is a famous quote that escapes my mind at the moment.....maybe by Einstein, pretty much as you said it. Also I know what you mean by old posts!

After I posted I figured that was possibly a large part of the equation. Thanks for clarifying. I no longer have an office suite on any of my PC's (none that get turned on at least!). I might try running some stats on the phenomena on Zoho spreadsheet (online office suite) if it is up to the task. It would be interested to see if it happens as often as in Vic's day + if the size of the gap makes a different + how long to see if it fills etc. stats can increase confidence after all. @marko do you pay much attention to the first hour's pre market (with respect to the rest of Europe) when dealing with TVGR?

deleted in the interest of thread integrity.

To save the confusion it might be better to link directly to the Market Profile information. The stuff you linked is on market delta (generally) and footprint charts (specifically). Interesting topics but nothing to do with market profile.

Hope you enjoyed your break Marko. I am glad your back today, I was kind of interested in today's DAX opening from a Trader Vic point of view. It was a big gap (with the weekend) and even though it did not close it 'early' in the session it seemed that was the clear intent. Just interested on your take....did the SS day trump the TV opening gap? Or maybe it was as there was no confirming PA? Cheers.

The trouble I find is that it draws you in to the action which is fine if you are a 'scalper' (term used loosely) but not great if you are trading larger swings. I also find it rather mesmerising so even if you are using it to finesse entries or exits you get rather glued to it long after it should be minimised I really empathise Kiwi, Having said that if it's not there I feel strangely 'naked'. @AgeKay are you still using the stuff you have talked about before (the custom bars for example which if I understand correctly are built based on order book)? I just wondered if you had abandoned any of that in favour of 'plugging directly into the MD'?

C'est la vie, I was just a bit gob smacked that you though my contribution to this thread (or was it the site in general?) was lacking. That was another reason why I suggested you re-read it. I should respectfully remind you that no one here owes you anything. I dunno maybe ET would be a better venue for your style of forum participation? As I have said numerous times it all stems from Lee & Readys research 20 odd years ago. Start there and go where it will take you. There has been a fair amount done on the subject but it is easily digestible by someone with the desire to digest it. I am not going to chew swallow and digest it all for you. That seems like it would be academic as you seem have strong preconceptions already (which is your prerogative of course). I am surprised you are that interested tbh having previously stated that you thought stuff that was in the public domain was worthless. Again I am left wondering about your motivation.

That's rich firstly I suggest reading this thread from the beginning there is a lot of information in it and information where you can find more. (plus some TS code that I shared if I remember correctly). If you are still stuck after reading it drop me a line. though you will probably need to retract your statement first. Took a long weekend sorry that did not suit you schedule, I'll check it's OK next time....or I could just put you on ignore.....hmm let me think on that, had a very long lunch and wouldn't want to make any hasty decisions.

Your rigour impresses me. Read some of the papers I mentioned, you know what? There are even better algorithms than plain old V@B/A out there. (as they are algorithms they will improve any approach that is based on algorithmically trying to determine trade direction......like CVD). It's not about 'studies' per se it's about determining order flow (and hence inventory in Fulcrums case). I wonder what your motivation for posting are if you think all studies are crap? I guess you are saying CVD is worthless too (seeing as it can be found publicly)? If that is your sincere belief we'd all be better off not posting in case we destroy something valuable by making it public . I suspect really it is more about being provocative like your old mate UB.

Buying dips if you are expecting mean reversion might not be the best strategy.

I should add that my view was pretty similar to yours (Maxima) not so long ago

That's odd most studies have 60%-65% (ish) for up/down and 70-80% (maybe a wee bit more) for V@B/A. Of course whether trade direction is a precursor to directional change in price is another matter. This is in markets where there is an audited database of trades (e.g. specialist markets) so it is possible that they behave a little differently. I wonder whether it is your testing methodology? Of the dozen or so papers that I have found or purchased I cant recall it ever been tested below 60%. Most of the studies have very rigorous testing methodologies. I am trying to imagine where the discrepancy could come form? What data are you using? How are you determining the actual trade direction of each trade? Edit: A thought occurs to me, maybe you are talking about efficacy of using Lee & Ready to determine short term price direction? The studies are concerned with using the algorithm to determine the trade direction (order flow if you like) on each individual trade. Whether this can be used to aid trading decisions is a different matter altogther.

There is a post in the beginners section that describe how to upload charts. There is also a separate section specifically for VSA. Edit: Oh and welcome

Another way of looking at it is how much did you risk on the trade? (MAE is simply the furthest the trade went against you before coming good). Do you always have a stop on the trade? Just wondering. One reason that people look at those 3 figures is it allows them to select a position size that reduces the risk of wiping there account to a level they are comfortable with. There are a few lines written about the benefits of knowing your risk of ruin here TradersCALM - why derive risk of ruin