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BlowFish

Market Wizard
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Everything posted by BlowFish

  1. The problem is not how quickly the orders are closed it is that by participating in Direct Edges Enhanced Liquidity Provider Program (ELP) and the NYSE's supplementary liquidity provider program they (Goldmans) can see the order flow before it even hits the exchange. Couple this with flash trading and you essentially have high speed front running. I can't see how the stolen algos would be of any use to participants that don't enjoy the same privileges that Goldmans do. Zerohedge blog has great coverage of this (though it can be difficult reading for my simple mind).
  2. There will be an array element for each price level, chances are you have more price levels in your chart than you do array elements. You need to increase the array size (or reduce the number of price levels).
  3. Look for a thread called plotting globex highs and lows (or something similar) more methods of resetting things at the open than you can shake a stick at (though I would of course argue mine was most elegant )
  4. Colour me stupid but aren't price and price action essentially the same thing? Incidentally Brooks does not wait for a bar to close to enter. He enters on a BO of the previous bar, there is a subtle difference. He has a clear understanding of what bars represent and what they are not. (imho)
  5. Nahh thats just the 'Geiger Counter', pretty trivial really.
  6. The market stats link is a goof starting place.
  7. Like a gieger counter but more melodic? It might be intresting to change the frequency and amplitude (volume) of the ticks for block size so 1 lots would ping away with a high frequency tone but low amplitude. If you got a lot at a time you could raise the amplitude somewhat. Large lots would be low frequency high amplitude 'booms'. Of course would probably drive you potty after a while
  8. Isn't that one of the points of the thread ? Actually it doesn't mean anything exact, that's why you don't know exactly what it means As has been said before it is a completely personal thing. Having sad that the OP has defined it (for discussion) as 10-20% return account whilst risking no more than 1-2%. That sounds like a pretty reasonable goal to establish 'profitability'.
  9. That's the way to do it . All of the stuff I have seen (including the excellent GomCD) have potential race conditions depending on what NT does internally (like assign TickTypeEnum.AtBid).
  10. Upticks Downticks are a 'proxy' for volume@bid and volume@ask. Deciding uptick or downtick is trivial in either TS or N. The problem is determining V@B and C@A without flagging or without a synchronous data feed for bid ask and last. I would have another read through the thread. Incidentally you can do it accurately in NT (though I have not seen any code that does) it is impossible in Trade station. Hint: look at OnMarketDepth and e.MarketDataType.
  11. One general observation... It seems like a justification to trail a stop, to keep the RR within certain parameters. Personally I use market structure but you could use dynamic RR.
  12. Quite so. I was going to post a question in the questions thread about identifying the very 'best' S/R. Funnily enough I think my approach would be the opposite of Firewalkers (in the context of this thread.....identifying next days S/R). I would zoom in rather than out and look for a R zone at the top of the rectangle and a S zone at the bottom. Perhaps zoom in is the wrong way of putting it.....there is a good amount of data displayed, what I mean is look for 'finer' (as opposed to courser) S/R. Going back your initial observation maybe the zone is too wide if it is wider than the movement you are trying to delineate in the context of the thread (next days S/R). As an aside I have recently been trying slightly narrower zones, of course you run a greater risk of price over or under shooting. You can also add too many zones and end up with lines all over your chart. Try and keep what you are trying to delineate firmly in your mind
  13. Do we know random data does not provide an edge? What about random price & volume data? (As an aside it is usually really easy to spot random data when random volume is included). I think the answer may lie in how markets behave. Accumulation / balance / congestion followed by trend / range extension / mark up? Basically the stuff that makes market data not random.
  14. I made the mistake of buying his course. Certainly not one of my best purchases <blush>. I have a large trading library though. I was wondering what the actual indicator is that plots the value histogram, probably didn't express myself that well.
  15. Nope, but I guess you know that dehlmin look for a thread called how to plot globex highs and lows (or something similar) several techniques are discussed. By changing the bits that tests time to testing a barcount you can synthesise higher time periods.
  16. I have always though RR varies with each tick though seems surprisingly little material on the subject.
  17. I like it. Mind you the first update wiped my boot block/MBR. Fortunately I knew what had happened (way to long with PC's) and a couple of commands typed in at the recovery console and I was up up and away again.
  18. I think ZenFire does this though am not completely sure.
  19. I was wondering about the study that produces the volume histogram in the background rather than the value areas ?
  20. What did you use to plot the volume histogram RH?
  21. Well good luck to you keep us posted how its going. Incidentally You can use pretty much any language with NT mind you its really its the API thats important, NeoTicker can be difficult but it does expose most of its guts through it.
  22. Sort of, though you can only take what the markets offers. For example, your goal might be to trade from 10am to 12pm taking 'a handful' of trades trying to catch the 'main swings' (within that period) of roughly 'x points' in that period. How you define 'a handful', 'main swings' etc is up to you but that focus will dictate what tools will show you what you want to see. I guess another way of putting it is pick tools that allow you to see what you want to see...rather than... pick tools and look at them and see what you see.
  23. Probablly worth preserving the link to the charts from the book @ Wiley for easy access. Wiley::Reading Price Charts Bar by Bar: The Technical Analysis of Price Action for the Serious Trader
  24. You have to drill down quite a way to find stuff and even then it is written as 'yeah you can do xxxxx' rather than 'this is how you do xxxx'. There are some interesting things in the blogs too. If you email them with a list if things that you need they are (or used to be) pretty good at responding. I have not used it for a long time and have no affiliation btw What's your plan now carry on working on R | API?
  25. The trouble with PVP is unless you assign every single tick to the apropriate price you will get discrepancies due to averaging the volume across a range of prices (a bar). Could that be the problem?
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