BlowFish

Not to picky but I believe Ensign has a similar deal and that it's included in the lease of the software....in fact they where the first that I was aware of.

I would be less worried if using a delta oscillator and divergence (take a look at 5pillars posts from a few years back at ET if that approach appeals). I have to say that does not interest me particularly though it appears to 'work'. For cumulative work the issue is more of a concern as you point out. I wonder if you have compared up/down ticks with delta? In theory they should be similar. Doh forget that ....seems like thats what you are using on TS.

That sounds like a lost packet(s) to me?

Thanks for clarifying. Personally I would report the trade first without the trade the inventory level would not decrease. There are arguments for the other way however I wonder how the exchange does it? As they are liquidity motivated maybe they prioritise order book changes?

The issues is that it uses UDP and so there is the potential to loose packets. This does not happen (or happens rarely) with good infrastructure. I am also not convinced by the test methodology and data set used as a benchmark, FT does not seem to want to discuss that. Anyway loosing the odd packet is a far lesser evil than not having things sequenced correctly (wherever that occurs). There's the thing you have 3 asynchronous event streams (bid ask and last) they need to get sequenced.

Deleted......clarified later in the thread

This sounds like a similar problem to how Tradestation & Multicharts implement insidebid insideask but in the feed implementation. Last is not properly synchronised with bid / ask and race conditions can occur. I am not sure your solution will get round the issue unless DTN send all order book changes (properly sequenced with BB & BA changes and no aggregation) as well as trades? What if the BB or BA moves due to order cancellation in between 2 trades? At the end of the day most these indicators use delta as a proxy for order flow/trade direction (as per Lee & Ready). Research suggests that these techniques are about 10-15% more efficacious at this task than using upticks/downticks, However if errors in the data are greater than that sort of magnitude one may be better using the latter technique. Interesting stuff AK.

Yes but it makes absolutely no difference to the price you get filled at. You will be filled at the prevailing price at the exchange. Filtered data does not cause slippage though of course if you don't know the correct price you can not hope to tell. The only way to tell whether it is slippage or bad data is to use a stop order, this will let you know exactly what you slippage is without worrying about correct price data.

Yes it does. Just interested in your own personal preference .

I am not familiar with these indicators having said that the second (despite sounding like misnomer) behaves like Ensign (if it does what it says on the can). If you look closely at Jerrys videos you can see the volume averaged across each bar at its close.....the profile for the range of the bar increases.

Slippage is determined by the underlying market, not by any market data. Whether the data is real time, delayed, filtered or even if you have no data at all. Of course if you are using market orders based on 20 minute delayed quotes it may appear to be getting slippage but in reality you are not.

Cheers....very tempted to take a look, I probably will when the next beta is released. I am a .NET sceptic I'm afraid I am pretty sure that ,NET garbage collection is why NT hiccups now and then. Still that's a whole other story.

Hi Jerry, Presumably you can use any of the principles described in earlier threads with a two day data set? Presumably you can use even larger data sets (5 days for example) provided you are comfortable with the risk? Finally do you have favourite data set periods and favourite trades? I must admit that originally I was attracted towards the scalp type trades but now find the larger data sets interesting. Maybe it's because volatility died down somewhat. I'm still impressed with how elegant and flexible what you have presented is. Edit: One other thing occurs to me your statement above seems to imply that you only ever consider one set at a time? Is that set in stone? I must admit that I like to see things 'aligned' though can lead to indecision when they are not.

Hi Mustang ..... If you haven't read them you might enjoy the 'trading with market statistics' threads by JPerl. If you are pushed for time the first couple of posts in each thread will get you by. If they take your interest or raise questions you will likely find answers further in. Fascinating approach, novel and clearly and concisely presented. Excellent stuff. http://www.traderslaboratory.com/forums/f6/trading-market-statistics-links-4803.html#post51595

TradersCALM - risk of ruin menu All you need is here. One of the reason that even successful traders blow up is assuming too much risk. Personally I would consider reducing RoR over time. You might want to google monte carlo simulation & risk in financial markets (or similar( if you really want maximum bang for your buck. I would try to be as quantitative as possible and personally (again) I would focus on risk. Simple version, the more you cane it the greater your risk of blowing up.

I'd agree on your first point VAH VAL are watched (and traded) by enough people to be significant. I disagree on the second though peak volume price, and VWAP are also pretty significant (I'd say it edges them out:)) the standard deviations of the VWAP are pretty neat too. Another nice thing about those measure is they are a lot more flexible in how they can be applied. As with most thing it's how you apply them that counts.

Most 'complex' orders (anything beyon market,stop,limit) will be synthesised at the broker. If the instrument is thin then this can easily result in slippage. Moral of the story always know how your order is submitted and where it is held How are you finding the Russel apart from this? Is it trading like it did before it moved to ICE?

Appreciate it. Thanks.

Have tradestation made an official announcement? Reason I ask is that I am in discussion with TSSupport (Multicharts) about these things and it might motivate them to make planned changes sooner rather than later. Does TradeVec have VWAP an weighted SD bands around it? Better still a scripting language to implements such stuff. Couldn't see anything on their site about it. Will you be able to buy an outright license? Usually prefer that approach to leasing especially if there are deals for grandfathering in

Is Todd more focused on Wyckoff or VSA? Whilst sharing some principles they do have a different slant.

This is true, however as MP is a completely heuristic approach the VA is just a number with no statistical relevance. There were a couple of discussions about this in the trading with market statistics thread...a search for 'heuristic' should find them.

Glad to see another convert though I am a little sad for mozilla, FF was a favourite for a long time. Mind yo a good web clipping addon might win me back. Something to copy posts and charts out of threads, the odd chart, maybe a movie...and then collate those into some sort of document. Anyone have suggestions? I looked at a couple some while back and they seemed clunky.

I think I may well be mistaken. Reviewing Market Statistics XI maybe Jerry would not classify previous days static lines as HuP's. Having said that they often do appear to hold up price. Of course early in the day they will be close to the dynamic ones until new data is added to the set.

I think you will find they are dynamic lines from a 2 day sample (yesterday with todays being added to the sample). The horizontal lines might be a little confusing (suggesting static) but they actually are 'projections' of the unfolding VWAP/SDs. You will see they (the horizontal lines) have moved at the end of the video from where they started at the beginning of the day. They correspond to the current values of a 2 day VWAP/SD set. Jerry also mentions moving the target up as the VWAP develops. I seem to have been overly verbose:)

I am sure Jerry will correct me if I am wrong but yesterdays static VWAP SD's etc. can act as HuP's? They certainly appear to.