BlowFish

There has only been one so far, a little too early to judge really? Not hard to spot any trickery trading off daily charts .

Try plotting the second set of code I posted as OHLC bars Tasuki. I wouldn't bother with a block filter on that at all. Ideally plot it from session open....it attempts to show the absolute 'order flow' for the day. As I mentioned before I think the >= sign that compares with the block size is probably the wrong way round. If you are including all order flow that shouldn't matter.

I think Clyde Lee's Swing Lee II should do it. It used to be in the file section of his Yahoo Group (might be called the Swing Machine can't remember for sure). It does volume on a swing (pivot to pivot) which is pretty intresting.

The cumulative indicator I posted a while back has the filter discarding large blocks. Change the <= to >= to filter small blocks. I would recommend not filtering at all in the first instance and see how you get on. That'll teach me not to test code! Oh and plot it as an OHLC bar.

Actually the hard part is keeping it! Personally I would learn a bit about market structure, price action, call it what you will. That will stand you in good stead regardless of the approach you choose. You might discover that is all you need.

I am not sure either to be honest. When I took a look at this some while ago I did not use a block filter. I don't have TS either. Upticks Downticks are a decent 'proxy' for a lot of these sorts of things if you can get those historically. The way this was presented to me was "look at what happens when you get to a 80,000 (just an example) imbalance". Again no block filter was present when it was shown. Stuff seems to happen at absolute thresholds. I am not sure ticks would be a particularly good proxy for that. Incidentally there are a couple of posts discussing this phenomena over at (ET) good luck finding them though! Even if I don't get in trouble for mentioning ET I will probably go to hell for it. :rofl:

I always thought this might be a thorny issue. DB you have an ebook (free plug) but I don't think anyone in there right mind would accuse you of 'promoting' it. At the other extreme we have 1 post posters who swing by to start a thread to let us know of this fantastic new site/course/system/indicator that has turned there trading around overnight. Damn generous of them to share Personally I have a fairly laissez faire attitude to this sort of thing I am not quite sure what prompted me to hit the 'report' button. I guess the post riled me a bit (unusual really) anyway that's not what this thread is about. I think its a lot about contribution and intent. Some people clearly are passionate about their approach they are happy to explain how it works discuss the ins and outs of it and prepared to essentially give it all away despite having a product. There are others who will happily discuss their stuff but the intent is simply to solicit business. Maybe this is OK if their contribution is 'valuable'? Of course 'valuable' means different things to different people. there own approach is a great influence for example, and intent is hard to know (initially). That really only leaves contribution to 'judge' people by. I guess at the end of the day it relies on the moderators discretion. I do agree with DB that scaring off someone just because they are a 'vendor' is not a desirable outcome.

There is something appealing about setting your orders at the open and then taking off for the day. Those interested in OR BO's might like these threads on Mark Fishers ACD. I think he uses the pivot mid point range that Xanxue describes. http://www.traderslaboratory.com/forums/f34/acd-method-689.html http://www.traderslaboratory.com/forums/f34/mark-fishers-acd-trading-method-seminar-3367.html The Rumpled Ones 'milk the cows' is also an opening range break out system.

Welcome to the forum bgtrader. I know a couple of traders who use this information. One of their key observations is that it requires a particular net absolute order flow before an intra day trend can develop. Compare the values on days market drift with those that trend. Pay particular attention to what sort of 'open interest' is required for a market to have a sustained break out of the opening range. Sadly this indicator will only run real time as it requires best bid/best ask information. So here you go. Cumulative intraday order flow that accounts for net long or net short positions and large trader filter. I wonder how long before this shows up somewhere as a commercial offering? inputs: UpColor(darkgreen), DownColor(red), DeltaBar(1), LargeBlockFilter(100), ResetDeltaEachBar(0); variables: MyVol(0), color(yellow), intrabarpersist MyCurrentBar(0), intrabarpersist VolumeAtBid(0), intrabarpersist VolumeAtAsk(0), intrabarpersist BAVolRatio(0), intrabarpersist VolTmp(0), intrabarpersist Delta (0), intrabarpersist DeltaH (0), intrabarpersist DeltaL (0), intrabarpersist DeltaO (0); if LastBarOnChart then begin MyVol = Iff(BarType < 2, Ticks, Volume); if CurrentBar > MyCurrentBar then begin VolumeAtBid = 0; VolumeAtAsk = 0; BAVolRatio = 0; VolTmp = 0; MyCurrentBar = CurrentBar; if ResetDeltaEachbar = 1 then Delta =0; DeltaO = Delta; DeltaH = Delta; DeltaL = Delta; end; if absvalue(MyVol-VolTmp) <= LargeBlockFilter then begin if Close <= InsideBid then Delta = Delta - MyVol + VolTmp else if Close >= InsideAsk then Delta = Delta + MyVol - VolTmp ; VolTmp = MyVol ; end; end ; DeltaH = maxlist(DeltaH, Delta); DeltaL = minlist(DeltaL, Delta); if Delta <= 0 then color = DownColor else color = UpColor; plot1(DeltaO, "DO"); Plot2(DeltaH, "DH"); Plot3(DeltaL, "DL"); plot4(Delta, "DC");

Hi there, I no longer have tradestation! You should simply be able to 'cut and paste' the code into tradestations editor, or maybe someone else will do it.

Tasuki you can. If you look at the code I posted it shows you how. It may or may not bear any resemblance to Richards indicator, I honestly don't know, but it demonstrates the principle. If you are not so good at EL I also explained in words a few pages back how you can achieve it.

Thats one of the issues with looking at multiple timeframes. At some stage once your trade is under way you need to 'zoom out' a bit to allow the trade to run to the target on the bigger chart. I have found I do best when I doze off ....which has happened a couple of times this week

Do you have good criteria for exits or is it pretty much on gut feel? If you don't have clear rules for exits then you aren't really breaking them. At the moment I tend to target the last swing in the first instance but tend to suffer the same malaise.

I really enjoyed boiler room. Actually I still imagine prop shops to be a bit like that (though obviously not scamming little old ladies of course).:rofl: I was always fascinated but completely ignorant of the financial markets (could be argued I still am). I can't recall what actually prompted me to finally dig a bit deeper.

I think the MFI hides the information you are looking for by dividing the two variables. That's not to say it's not an interesting indicator but it highlights anomalies in the price volume relationship. I think Williams goes on to compare the MFI with MFI[1] and Volume with Volume [1] which seems kind of convoluted. You could just as easily look at volume and range directly!

Whats good to trade between the US close and the Asian open? I am usually just about asleep round the time Asia opens but something to trade for a couple of hours after the US closes would be good. Seems like this is the deadest period for currencies too.

Daedulus glad you are finding something of interest in it. These sorts of indicators seem to make great divergence patterns if you fiddle with the smoothing. My guess is the original indicator is probably smoothed as without things can be a bit spiky. AK, apart from the book references there is other good information in this thread which people seem to have missed, it can be kind of frustrating when you provide facts that would dispel a lot of the confusion if carefully read. Just one more thing (as Columbo might say). These sorts of indicators are all well and good but order flow (which is essentially what they are trying to depict) can turn on a dime just as price can. There is no 'magic' indicator, any one of the many delta indicators (with suitable block filters) will do the job. It is easy to become obsessed by the indicator rather than the application of the indicator to make trades. In fact generally it is better to work backwards from a trading concept to an indicator rather than the other way round. Edit: should add a couple of :), again meant as well intentioned advice.

Good Luck! ..............

Glad to see you are still around Jerry. An idea for c) above. If whilst waiting for the Shapiro effect the other end of the trigger bar is broken, reverse.

Things in the UK aren't too bad but the 'last mile' (that is usually less than a mile) is copper. ADSL2 gives double digit speeds but most ISP's here work on contention ratios on the link between the local exchange and the backbone network. You have to start paying bigger bucks for 1:1 contention ratios.

Years since I used excel with that caveat does it actually need programming? Can't you do it using cell formulas and queries? Tams suggestion is probably your best bet but it means learning how to use another bit of software.

Yes good point James. Having said that the bigger latency issues is likely to be client to broker/exchange. There is an argument that having a broker close to the client is better as the brokers infrastructure to the exchange is likely to be as fast or faster than the internet. Actually in many countries the worse performing bit is going to be the 'local loop' (A)DSL especially at peak times when contention becomes an issue. The question remains do you have to use market orders? Are you getting slippage? Could you use native (to the exchange) resting orders? I wonder the reason for your question, I still think you are unlikely to see much difference between brokers. To be honest I have not had problems with IB though sometimes Zenfire/Mirus 'feels' faster. I think that might just be the feel of the client (Bracket Trader with IB and Ninja With Mirus) both can 'stutter' for a split second sometimes. Where are you located and what sort of internet connection do you have? I still reckon that you are likely to see better improvements looking at that.

This should do what is required. inputs: Period(20), MaxBlock(9999), MinBlock(0), UpColor(green), DownColor(red); variables: MyVol(0), Color(yellow), SmoothedBA(0), Length(squareroot(Period)), Block(0), intrabarpersist MyCurrentBar(0), intrabarpersist VolumeAtBid(0), intrabarpersist VolumeAtAsk(0), intrabarpersist BAVolRatio(0), intrabarpersist VolTmp(0); if LastBarOnChart and BarStatus(1) <> 2 then begin MyVol = Iff(BarType < 2, Ticks, Volume); if CurrentBar > MyCurrentBar then begin VolumeAtBid = 0; VolumeAtAsk = 0; BAVolRatio = 0; VolTmp = 0; MyCurrentBar = CurrentBar; end; Block = Myvol - VolTmp; if (Block >= MinBlock) and (Block <= MaxBlock) then if InsideBid < InsideAsk then begin if Close <= InsideBid then VolumeAtBid = VolumeAtBid + Block else if Close >= InsideAsk then VolumeAtAsk = VolumeAtAsk + Block; end; if VolumeAtBid > 0 and VolumeAtAsk > 0 then BAVolRatio = Log( VolumeAtAsk / VolumeAtBid ); VolTmp = MyVol ; end ; SmoothedBA = xaverage(xaverage(BAvolratio, Length), Length); if SmoothedBA <= 0 then color = DownColor else color = UpColor; plot1(SmoothedBA, "Pressure", color); Plot2( 0, "ZeroLine" ) ;

I would be surprised if you notice any tangible difference. TT and Zenfire are considered by many to be the fastest order execution engines. Latency internet => broker => exchange and back again is likely a large part of the equation. Are you having issues? Could you use resting orders (stops and/or limits)?

Absolutely. Not only that they have recently introduced mini futures (which I hear are picking up in liquidity) which would suit those with smaller accounts.