BlowFish

I think you are correct about them being part of WorldSpreads. Have you tried asking exactly how they have sent the money? BACS, CHAPS, Cheque etc. You will need that information along with a reference to find out what is going on. Maybe have a word with there compliance officer. Be interested to hear how you get on.

10 min 10 period MA superimposed on a 1 min chart as a 'stair step' that changes every 10 minutes.

All true however those considering spot FX should be aware that if your broker is actually a bookie (most of them) you will not have access to that liquidity as the 'broker' will be the counter party, of course if their book becomes lopsided they might choose to hedge that risk in the actual market but as a customer you will not have access to it (the market).

No offence taken I doubt anyone is going to come out and say 'yes I bought stolen goods from this guy' whether they did or did not. One thing, imvho Sam Seidens stuff is possibly the most valuable OTA material. You can piece together an awful lot of it (all but a couple of his trade scoring criteria) from the free resources.

Shoot them a message and ask them if you really don't know the answer to your question. Contact Us (you do know really right?)

Ahh OK thanks for clarifying that.

They might be useless for 99% of people or even 99% of applications but not necessarily 99% of the time. Mind you the types of trader that are analysing tick by tick are less likely to use charts at all so perhaps your are right I think its probably up to the individual trader to define their terms. For example sampling the data into bars and taking trades based on levels that those bars reveal is the essense of price action trading to me. Bars (to me) are indicative of price but not indicators per se. Filtering or using other derivatives of price are not 'price action' (again only to me). Frequently traders who use derivative methods will still use price action as a component of there trading. e.g. when there awesomo oscillator is saying sell they might still use a bar break out to trigger.

Leaving aside whether you can legitimately get a trade that does not exactly match BB/BA this strikes me as rather unnecessary. Robust exception handling is pretty important imho. An unfiltered Zenfire feed has the first trade of the day on the FDAX as 0 for example. Why tempt providence. Actually I am struggling to think how you might organise your logic to achieve this? Presumably you test for @BB and if it is not you assume it is @BA, even if you where making assumptions and using these as pointers somehow I still can't see how you could cause a crash as long as 'last' is an actual price the instrument can trade at. (Again why even assume that?) Actually, I am rather fascinated by this, I have seen remarkable code in the past where people have done very clever stuff with bitwise instructions, rotates, etc. to construct pointers, usually the side effect off this 'tight code' is you actually rotate out or mask off bits that would cause addressing issues.

Damn I was hoping to avoid the full frontal lobotomy (I feel a bit guilty joking in response to such a serious post). Seriously though, how does one go about identify if this is the case and determining an appropriate course of action to deal with it? A quick interwebz search for "brain dysfunction" would seem to suggest that it covers a wide variety of conditions from low blood sugar to tumours.

Just one more thing as Columbo might say. Seems to me a great working solution would be R|thmic / Zenfire or TT for live data and IQFeed for historical. I have not got round to testing the completeness of IQFeeds historical data but there are couple of people here that swear by it.

Not arguing discussing , I am quite happy to respectfully disagree:D. The reason I bought them up as a) it was Lee & Readys work 20 years ago that gave rise to this whole line of bid/ask analysis. (Arguably Wyckoff sowed the seeds back in 1910 when he penned 'Studies in Tape Reading' under the pseudonym Rollo Tape). Secondly a couple of the reports conclude that the greatest source of inaccuracies in classification occur when a trade is reported between bid and ask. Anyway it's probably better to let that drop at this stage. Getting back on track re splitting volume. There is one paper particularly relevant to this thread as it specifically deals with order size as well as trade direction. Caught On Tape: Predicting Institutional Ownership With Order Flow. To cut to the chase for those that don't read papers they conclude that institutions use both large orders and high frequency small orders to increase or diminish holdings (within the dataset they used of course). The interwebz becomes more and more remarkable almost daily it seems. Some pretty interesting stuff is there if you sniff around a bit. Is there even an exchange that guarantees the transmission of all data. I was told that CME reserve the right to aggregate data. Haven't verified that for myself but it seems only prudent for exchanges to protect themselves against certain eventualities. As some one else mentioned would you rather have timely data or complete data? Is it unreasonable to expect both with top grade retail infrastructure?

Not sure if I mentioned it on this thread but NinjaTrader have really dropped the ball with NT7.0 with regards to historical bid ask last data. Sad really. On the bright side I think I have multicharts working correctly, (there are issues with multicharts & tradestation listed way back in this thread, I think I have overcome them). I just need to make sure everything holds up under heavy loads and weird unforeseen conditions. The UDP issue that paolfili mentions is as he describes but it might not be that big of a deal as delta is not a precise measure of order flow anyway. Many of the afore mentioned papers seek to determine how precise it is.

Historical data. They generally pick markets where there is a historical database available where trade direction is recorded. This information might not be available to participants but appears to be to researchers. Specialist type markets are an obvious example though there are others. (I agree with your observations about specialist markets btw). I think you might get a kick out of some of the stuff as you are interested in market microstructure. I am on vacation this month and sitting in the lobby with a fast fading laptop battery so can't get involved here as much as I'd like to. It's nice to get a couple of opening DAX trades after a leisurely breakfast though!

...bookies. ........

There is a wealth of great information here http://www.traderslaboratory.com/forums/f6/trading-market-statistics-links-4803.html should answer all your questions.

AgeKay I really can't understand why you can not see this. You are obviously a smart guy and a poster I respect. You seem to be coming at this from a completely blinkered direction. Your original argument was an order can not execute at 'half a tick' (showing an assumption that the spread can never be more than a tick wide) this suggests to me you have really not considered this properly. Incidentally most of the papers on Lee & Readys algorithm either exclude data that there is not a complete audit trail for or present results with and without it. OTC trades certainly do not account for trades between best bid and ask. In fact as you can see them in a live data stream by your definition they can not be OTC trades. Maybe if we go through things one step at a time we can see where we have a disconnect. Would you agree a limit order improving best bid or ask can arrive and be elected immediately if there are enough stop orders currently on the book to fill it?

This I think we can agree on For me sequencing is what is important. particularly preserving sequence across bid ask and last data. I don't want to get hung up on the trades between best bid and ask but they can and do occur. Maybe the Lee & Ready algorithm papers might explain things better than me. The thing is a stop is just a market order sitting there waiting to execute at a certain price or better. If a limit comes in and crosses that order it will execute and never display on the order book. It is also quite possible for this price to be between the current best bid and ask. Just look at a data run particularly around news or a busy open - it happens even on the ES. I agree It is bothersome not knowing if a string of events happened at the same time or in sequence but slightly apart. More often than not they do occur at the same time. (I have a hunch we will have differing opinions on that ) If you see price tick above the days high and 500 orders execute at the same time there is a pretty good chance that they really did. above price extremeties there will be 100's of orders on both side of the book (stops and limits) just waiting to be filled. You would not want to see them with different time stamps nor should you. Of course with aggregation (and we dont really know who is an by how much) things get very hard to slice and dice.

re time stamps you can time stamp to nanoseconds but computers just can not measure to that resolution . It would be like measuring nano metres with a metre rod. They could time stamp in 1x10^-44 seconds (plank units) but if the actual accuracy of the measurement is only +- 10 milliseconds it is meaningless. You have highlighted something that is very important and that is sequencing (bid ask last data tick sequence). Of course the process is completely asynchronous until it comes out of the matching algorithm but from then on in it is the sequence that is important not the absolute delta time. I am not convinced that exchanges preserve that under all circumstances. As we can't agree on what are meaningful time stamps and even if trades can occur between the previous best bid ask that probably is a discussion for another time

I really like how Tim talks through trade management. A great grasp of price action and using it in ongoing trade management. While he likes the big R:R he is pragmatic enough to acknowledge it is not the only way and will happily (and I mean happily) allow himself to be stopped out for a lot less. Still whatever your approach Tim's stuff is great for how to work a trade.

Whatever you think about the more esoteric Gann stuff he preached pretty robust money management ideas and wrote some pretty solid stuff on price action. You don't really need much more than that.

It is not just how you time stamp that matters it's how quick stuff takes to get done. It is like measuring the distance from the earth to the sun in millimetres. It makes no sense to. For example the average disc seek time is 6 milli seconds (3 orders of magnitude slower). Probably a bit quicker now as magnetic density increases. Anyone expecting micro second accuracy in these sorts of systems is living in cloud cukoo land. I guess it's not surprising people get confused when some 'luminaries' post that they are achieving that. AK you are now assuming that matching algorithms are strictly FIFO (first in first out). That is not the case. There are fundamentally two types of order, those that provide liquidity (limits). They are 'options' to trade. There are those that take liquidity (market, stop etc.) they are from traders that require immediacy. Within those categories you might get FIFO at any particular price level though not on every exchange it depends on there matching algorithm. Time price and size can all contribute to matching precedence. Size not so commonly on most exchanges. We have not yet discussed stop orders, there can be a whole bunch of market orders sitting (as stops) ready to be matched at different levels. I don't have to hit the button at the exact split second my order could have been sitting there for a month waiting to be elected. A search for 'Lee & Ready algorithm' will throw up all sorts of interesting papers. They will lead one in further directions if interested. However if it is your view that any trade reported that is not at best bid best ask is some sort of errata you may not find much mileage in them.

Intuitively you might think so however it is not the case. Zenfire does indeed time stamp micro seconds however that is several orders of magnitude greater accuracy than stuff can actually happen in the real world. If you actually look at Zenfire data (I did in some detail to test the ninja indicator I wrote for Uma Blume's Trade intensity thread) you will see many ticks actually come in with the same time stamp as the previous one. if you look at the charts I posted those events (multiple same time stamp ticks) show as 'ramps' or 'sawtooths" in the trade intensity indicator. It is also quantitatively demonstrateable that ticks occur between bid and ask and there are many papers that show and discuss just that. In fact one of the more recent concludes that this is the primary reason for inaccuracies in delta/order flow type indicators.

Yes really You are assuming that the bid ask spread is always 1 tick. It it is not. YM is 10313 bid 10317 asked right now for example. If I bid 10315 and you offer 10315 right this second it will get matched between the best bid/ask. Actually mine could be a market order and I think (not sure depends on the matching algorithm) it will not display on the book. This is a surprisingly common occurrence at the open, round news etc. There has been a lot of research done on the subject using the NYSE Torc database and Nasdaq data (Nas keep more trade data than is generally available to market participants but have made it available to people doing market microstructure research). I also seem to recall one paper using Paris' EuroNext data. Most of the research is on what to do (and how accurate it is in classifying trade direction) when trades are not at best bid and best ask.

Nice to see emphasis on price dynamics rather than vanilla patterns. WRBtrader's post reminds me of Dunnigans' one way formula for some strange reason. I guess it's because one of D's sequences is double bottom inside bars (contraction I guess) and then thrust (WRB). It's also nice to see someone using Jerry's market stats stuff. I have revisited it recently and am even more impressed how robust it has been. On holiday so not been contributing much, but am enjoying this thread.

Well I am in the UK, our legal system is not so different to yours I don't think. I have signed a few NDA's in my time (some covering software, a couple trading material). I happily signed to show good faith but always felt that if I had of been unscrupulous that I would have had little to worry about by breaking them. I am certainly no lawyer but can read a contract and apply common sense. The other thing is they are re-active, the horse has already bolted by the time you can pursue someone. I guess it depends what you are protecting (and how specific and unique it is) certainly can do no harm (unless you over estimate the protection it might afford you). Also whether you are dealing with a few trusted parties or a whole bunch of strangers(selling a system for example). Maybe I am just an old sceptic