BlowFish

Have you looked at ADE and EL collections? I have not used the myself but they might be helpful.

I still think we are talking about apples and oranges. So you where using Ninja but wrote your own code to interface with Zenfire? Wow that sounds like a real pain in the a***. I wonder what drew you to NT in the first place? It sounds as if you might be going for full automation? That certainly is an area where retail is not well served. Did you ever look at NeoTicker?

Right totaly right. It is completely academic whether it is a marketing name, re-packaged, gift wrapped or served in old newspaper that does not detract from it's primary function. We seem to be talking apples and oranges. Your comments are directed at the API (I presume the Ninjatrader API? from your comments it does not seem like you are writing to the ZenFire API) mine are directed at the order execution and pricing platform. If you compare it side by side with other leading platforms (TT for example, which used to hold the crown) it compares very favourably. If you want the timeliest data and fastest order execution it is hard to beat. I too dislike the NinjaTrader architecture and API but that is not my point. I am confused why you blame the Zenfire API for NinjaTraders shortcomings? Are you getting confused, do you mean that NinjaTrader wraps ZenFire's API in a wrapper? What is this 'common platform' you are talking about?

Ahh OK so presumably it is the finalg one under licence from MarketDelta.com. I must say he produces pretty impresive stuff.

Zenfire is an order execution and real time pricing engine, arguably one of the best. As has been pointed out historical data is provided by Ninja themselves. For a platform that is robust and well architected you might want to give NeoTicker a look. Having said that the API takes a bit (lot) of getting used to. The platform is really petty neat for anything that is 'heavy duty'

They look really nice RH, are the ninja indicators in the public domain?

I used to use TS 2000i on a dial up modem it was fine for a couple of dozen instruments.

Trouble is Robin that nearly all the people that provide MT4 do so for spot forex. It is impossible to produce that sort of chart for spot as the required info is just not reported.

No, more the size of moves that you are trying to capture. Someone scalping for half a dozen ticks might want to look at different stuff to someone trying to get 10 plus point swings. I know that you said 'intraday' but within that sort of time there are a variety of different 'swings' you might focus on. What you want to see should dictate what/where you look. Of course things aren't absolute 'daily swings' tend to be bigger than 'hourly swings' but volatility plays a part too. Put another way knowing how long you want to be a trade and roughly the size of moves you want to capture is likely to steer you towards suitable tools to see what you need to achieve your objectives.

At the risk of repeating myself, if you look at things from a a data sampling and processing point of view then the 'indicator issue' is a moot point. It could be argued it is irrelevant anyway unless you are some sort of 'no indicator' zealot

I guess it depends on what (swing sizes) they are trying to capture, it does for me at least. I am prone to 'zoom in' too far (or more accurately for too long) and that can result in loosing sight of the forest through examining the leaves on the trees.

I am not sure about order book but why not collect it at least that would make that sort of analysis possible It does seem that price tends to move towards order book size. There is an interesting thread over at ET some years back now. I also have a strong suspicion if you look at orders filled vs. orders pulled that you might find interesting information.

Frank, I am inclined to agree with you. Rather than think of MP as a 'theory' I now think of it as a heuristic approach that is based on some rather inaccurate (or at least loose) assumptions. Having said that it clearly does provide a useful framework for some traders. Just looking at VAH's and VAL's you can clearly see that often a lot of people initiate trades there. It was after careful study of JPerls excellent threads on markets statistics that 'the truth' (that I already suspected) of MP came sharply into focus for me. If you look at things from a data sampling perspective you can see that MP was an interesting and novel way of sampling data at the time. Despite the assumptions it seems that it was, and indeed still is useful to quite a few traders. UB's posts are always interesting (and often provocative) however it certainly does not require ever more sophisticated methods of sampling, and pre/post processing data to get a decent edge in the markets (imho).

I am inclined to agree (as I said earlier in the thread) saving each tick and each order book change would generate something unique and valuable.

I used too a long time ago.

Zenfire does not provide historical data. Ninjatrader LLC does supply historical data from their own servers for use with NT charts. This might be what you are thinking of.

No problem, actually I agree with your post on the whole, bars are simply a way of sampling continuous data. How you sample (bar size and type) will change how things look. Of course it is helpful to know that "the bulls could not drive up price over the last 5 minutes" and bars help us to see things like that graphically.

Habi you missed the point. if you re read my post with the quote, I was simply commenting on VJ's statement about using open <-> close and observing that on intraday bars close <-> close would serve you just as well. No more no less.

I am sure a VSA'er (which I am not really) would argue that close to close will show you all you need. Anyway its pretty academic with anything less than daily bars.

It occurs to me that the time to become profitable is probably directly proportional to the complexity of your approach.

Yes please! Historical bid and ask data opens up lots of possibilities for research that currently needs to be done 'real time'.

It is a worthwhile book though there are probably easier sources to get a grounding in 'price action'. Dunnigan, Joe Ross law of charts, Gann (not all his stuff was esoteric), Trader Vic (trend line breaks and 2B's) etc etc. If you already 'know price action' it might give you an easier time of things. Also take a setup at a time and make sure you have that down. Finally a lot of the material is just observations, 'if this happens then often that happens'. Leave those until later when you have the basic framework down. btw I agree there most certainly is inconstancies in descriptions of L1 L2 H1 H2's, I noticed that pretty much straight a way ("hang on, by definition that should only occur in a side ways or up market"). The important thing is identifying the legs and the context of those legs, the H1 L1,s are simply 'delimiters' to legs.

My hunch is the high volume was block trades http://www.nyse.com/pdfs/5672_Block_Trading.pdf look about half way down to see some of the mechanisms to match large buyers and sellers outside the auction. Once the deal is done bam a print for 250,000 (or whatever) crosses the tape. Block trades are something that anyone who uses volume as part of there analysis should consider.

It is a problem with the platform (well with how bestbid and bestask are implemented at lest) and so with all those studies. I think there may be a solution to it by using 3 data streams into the chart (one for last and one each for bid and ask). Haven't really been motivated to try as this is one of the things that ninja seems simply to do better.

I thought he already did? He believes that you do not find people making 'real money' frequenting forums (post 71). Ergo by his own admission he is not making 'real money'. "The next statement is false. The previous statement is true" The Liars paradox.