BlowFish

Yes I have contributed to many of them So who do you favour?

I liked this. Does anyone have the slides that accompany the I trade show presentations?

Good work FF. (Edit: just looking the screeny it looks like really good work!)Who is your favourite MT4 'broker' for volume info? I took a look at IBFX last week and often times it just doesn't look right. Alpari only show there own volume. I haven't tried any others (seems easier to trade something else or not use volume with spot FX).

I should add my answer was more from the point of view of learning 'general' programming. If your bias was towards statistical analysis and mathematical modelling I'd probably have to modify my answer:)

Personally I find MT4 dead slow for entering orders so not ideal to scalp. Another negative is most 'brokers' that provide MT4 are bookies who can procrastinate before deciding to accept your bet or not, again not ideal for a 'scalper'. Be interested to see if you find something suitable.

Absolutely, though I believe it is inversely correlated to the attributes you mention!

I would recommend (fairly highly) Easylanguage for numerous reasons. It is fast to get results which should a) keep you motivated b) allow you to learn quicker. There are thousands and thousands of studies and code samples. A good way of learning is looking at how other people do it. Again you will get quick practical results modifying someone else's code whilst learning a bit at a time. This leads on to pier support. Just look at TL and ask yourself if I need help which language is best supported? It is based on Pascal.... some might mock that but personally I think its a strong language. One of its design criteria was that it was easy to learn and has stringent compile time checking (it is usually harder to find bugs at run time, though this is less important with 'scripted' stuff). There will always be a flavour of the month language C++, Java, C Sharp, Ruby etc. Fashion plays a big part in programming languages though many are main stream now. If you can program the languages become less important. The biggest challenge you are likely to find is not the language itself but the functions (trendy languages will call them methods) you call to do basic stuff, e.g. read data series, plot something, find out the time etc. EL implements this cleanly and more importantly simply. Nothing wrong with starting a project and just throwing yourself in. (Hello world is a popular one!) despite doing a degree in computer science (in the 70's) I didn't really become accomplished until I actually started writing code professionaly.

So for the 50 that get filled look at the maximum adverse excursion before filling and there you have the basis of a strategy (if MAE < gap) Actually I might be inclined to look at some sort of internals/sentiment indicator to try and gauge. Didn't some TA chap classify gaps as 'runaway gaps' or 'exhaustion gaps'?

Second, why discuss gaps? There is a theory or idea in trading that says sooner or later, all gaps get 'filled'. Filled means that price will eventually travel the distance where price gapped overnight to 'fill' it in. The assumption being made on gap plays is this then - if we believe that gaps will fill, is there a viable daytrading strategy there? There is a big issue right there even if you accept the basic premise the issue then becomes when will the gap fill and how far will price travel against you in the meantime?

Just a couple of points. Indexes seem to 'back and fill' quite a lot, regardless of time. That's just an observation. If you watch global markets for a while you will notice at times the ES will go through phases of making its moves overnight other times not. You might be surprised. I think your perception might be from the point of view that Chicago and New York are kind of the the centre of the trading universe. Whilst undoubtedly they are important that's not the case. If you don't buy into the idea that currencies (and commodities and treasury notes) all exert an effect on (US) index prices perhaps you might see how European (and increasingly Asian) corporate results and announcemenst will directly effect global markets. I found this interesting The Global 2000 - Forbes.com is the table. The World's Biggest Companies - Forbes.com has a paragraph of guff. Some of the entries surprised me a little (e.g. I thought Europe would have a higher showing for drugs and biotech). Does any of this matter if you are trading opening gaps? Nope, but it can't hurt to have an appreciation of the global nature of markets.

Sure, didn't want to sound confronational . It's just that it's the volatility (that is partly caused by that low volume) is the more important factor. (imho of course!) Anyway another option that might make sense for the OP (if it's available in France) is spread betting. One of the advantages is greater flexibility in position sizing. Of course there are a few things to be aware of before going down that route.

Personally I'd concentrate on the key concepts (which I mentioned before) that is in a rising channel you want to see rising volume on the move from right (trend line) to left (channel line) and diminishing volume from left to right. Once that 'pattern' breaks something is changing and you might anticipate that the channel is about to break. If volume continues to rise at a left hand line you will likely get expansion of the channel/range. If it rises at the trend line you may well have a change in trend. If it diminishes before the left hand line and turns at the least you have a lessening of the trend. There is good synergy between channels and volume.

Thanks for clarifying. Incdidentally that is exactly how FX volume is reported (the order book is used as a proxy as there are no reporting requirements) but that's a bit off topic.

I'm not sure what your point is to be honest? Volume traded is linked to short term volatility it's not really that important unless you trade size. There are also other contributing factors (like granularity and contract value). The trouble with the DAX is those orders will get pulled on occasion. Really you need to trade both and see how they behave for the size you trade. DAX I have had 6 points slippage (possibly more can't remember) FTSE I cant recall more than 2. Thats 150 euros vs. 20 quid. The FTSE has similar characteristics but it is smaller and has (a little) less short term volatility. It's range (in $$) for any period is also significantly less than the DAX (though not as as small as ESTX). The key variables (imo) are your risk reward parameters and the period you wish to focus on to obtain the R:R. Pick an instrument that meats those criteria. i.e pick an instrument who's average movement (in $$) allows you to meet your R:R parameters (size of stop in particular) for the time you want to trade. You might need to think about size and transaction costs. (Thats also something to consider trading the ESTX).

ResetDeltaEachBar does just that .....It starts from zero each bar giving a histogram. You would increase the minimum block size if you wanted to look at large block trades so for ES you might have min 50 max 9999 for large traders. Or maybe min 25 max 49 for medium size. I doubt it looks that much like the indicator in the original post as that is not what I based this on. I do believe they are based from the same core principles though.

I always like the 20 down 40 up and 20 down again (to leave you where you started!) on the DAX. Have you looked at the FTSE another day traders favourite, not quite as wild as the DAX but plenty of movement. Depends a lot on R:R volatility etc. etc.

Not sure I have this clear you show 'ticks' based on best bid best ask? Similar to how FX ticks are reported? So if the bid or ask changes you plot a new price point? Just trying to be clear what you are doing. As to which charts to use it depends what you want to see, For example price rejection often happens quite quickly so time based charts often show this well with 'tails'. Constant volume charts definitely look smoother to me. They are great for drawing/seeing trend lines for example. What you are doing is holding a different variable constant to determine your 'sample' for a chart. Price Time or Volume (ticks are a bit of a wierd one most akin to volume). Constant Price, Time or Volume charts. Ticks with a fast setting can be quite nice to see S/R holding as they often make flat tops/bottoms as price hits a wall of other side orders. Horses for courses.

Most of their other indicators have simply been 'borrowed' (the less charitable would say stolen) from the public domain. You might have a search of the TS forums and other places that post indicators and see if you can spot the 'inspiration' for this particular study.

'Institutions' are multinational and trade on all markets. An often quoted 'fact' is that the currency market dwarfs every other market in the world combined. Seems that a lot (maybe most) business is conducted there at the Europe open. Apart from European announcements that effect peoples perception of value there are often US announcements pre-market. I think you might be taking a bit of a myopic view.

To be honest I don't know an awful lot about spreads. A calendar spread would indeed be buying the front month and selling one further out (or vice versa). It tends to be used on commodities for fundamental reasons (which I don't profess to understand!) Joe Ross has a book "trading spreads and seasonals" his books are quite expensive but he tends to tell it how it is. One of these days I'll get round to reading it and then might be able to give some more helpful answers.

Good question. In days of old it was always the settlement price. In those days the floor would have there numbers written on a bit of paper (or memorised). Now with electronic exchanges and 24 hour trading it's not so clear cut. I would think most people would have them calculated automatically based on the actual close but hard to know for sure.

Actually spread betting could negate the need of trading spreads. You can simply reduce your risk by betting a small amount. Pick an instrument with suitable volatility for your purposes and then bet a size that fulfils your requirements for potential loss or gain. Still kind of interested to see how you can wring juice out of two highly correlated instruments. Also won't transaction costs be pretty high? (as the spread isn't going to move as much larger positions will be requires). As an aside have you considered calendar spreads?

True, but not defining the terms and NIYA (not introducing your acronyms) is always going to result in a one sided conversation and is unlikely to impart any knowledge FWIW Not meant as a criticism, merely an observation from someone that does understand the phenomena you describe. YMMV of course.

It is probably worth mentioning that Print can be very useful for debugging something that runs but does not run correctly or to check that things are consistent. You can use print statements to output variables or to help monitor the path of the program through loops and conditional statements.

Your quite right....which is why it's probably better all round to think of a max order size and min order size and have both as a parameter.