BlowFish

Ninjatrader with Zenfire. Felt like a challenge and I find coding Ninja challenging It uses the .Net frameworks DateTime construct which will returun ticks (100 nano seconds resolution). Obviously far greater than is actually available in the real world! I pretty much used your interpretation AK because when I thought about it, it seems like the right way to do it. I am still wondering about smoothing to which end I have tried adding average intensity per bar.

I used to be quite into games. A lot go out of print relatively quickly.Many games will have a trading phase or a trading mechanic within them. Not surprising really, I have something (and that could be anything in the context of the game from apples to ziggurats) that you want... how much will you pay? One that springs to mind is a board game called Civilisation that had a resource (card) trading phase very similar to pit. It was a small part of a complex game... Considered a classic. I vaguely recall a game called 'shocks and scares' a pun on stocks and shares that was firmly routed in trading. That will almost certainly be out of print. Despite racking my brain having difficulty remembering games with some sort of trading as the whole premise. Mind you many card games involve trading cards in some shape or form but that is often simply swapping rather than trading. Oh last thought....a handful of games had a betting mechanic, kind of related.

Well I was feeling a bit bored this morning so I knocked up something in Ninja. With the results I got I feel that you might be doing a bit of smoothing after you have processed the data? I found that the Intensity can slam around a bit. Agekay my hunch is that the two histograms (in UB's charts) show peak trade intensity and lowest trade intensity for the bar - max and min values if you like. Could be wrong there. Anyway it seems that the peaks are what is interesting. Here's a couple of squished up charts. The 'saw tooth' is interesting this is an artefact due to data arriving with the same delta time. I chose to add this hence the saw tooth what I really should do is reset it on a new bar. Just messing around really.

All I was saying is that some of the material on the marketdelta web site might might lead the unwary to think thinks are simpler than they are. To be fair to Trevor he did publish a couple of things that I wrote about common misconceptions people seemed to have. I watched delta for a while and found at key points (turns) it was at it's most unpredictable. Your mileage might differ of course :)When a trend is under way you can see that from price. I guess it is good confirmation that delta is +ve too. Interestingly the limit order book goes heavy the opposite way 80% or 90% of the time. I guess that tends to add weight to the old adage price moves towards size. The thing is when markets change direction or go into consolidation all these things flip around, as often as not instantaneously. I am not saying that there is no value in delta just that during different market phases different participants are active in different ways. In your research did you find a way to use delta that had a positive impact on your trading either in timing or looking for areas to trade in? I have to say it always eluded me. Having said that some people seem to look for divergence in a delta oscillator... doesn't appeal to me. Also know of people looking at absolute values of cumulative delta around the open the premise being that once a threshold is reached there is probably enough to support a directional move for bit. One thing that might be interesting would be to fit delta with order book analysis to look at filled orders vs cancelled orders at various levels. Still I guess I have digressed a bit. At the end of the day the raw data is what it is and there just aren't that many ways of slicing and dicing it.

AgeKay I can understand UB's reluctance to disclose too much but there are clues to be had, I mean there is a fairly small set of information available about each trade. Having said that I would like to know more! of the few things presented I am finding this the tricky one to 'work out'.

Personally I think the largest 'flaw' is peoples assumptions about aggressive buying/selling vs passive buying/selling (market vs limit if you like). I think this has partly been perpetuated by the market delta guys. It really isn't as simple as green (buying at ask) vs red (selling at bid) representing order flow.

The things that could be useful to traders sharing information in order of importance (imho of course) text chat sharing static images voice chat Sharing workspaces/ white boarding etc. A picture is worth a thousand words, with a commentary probably a gazillion. That would make movies priceless Mind you the latter two are quite sophisticated applications. Even the big conferencing guys applications don't seem to have fully matured. Anyway a few teething problems are inevitable. Btw just for chatting with your crew IRC did the job (or whatever application is flavour of the month now....did messenger win that war?) but a bit like using telex compared to a telephone......ahh progress.

Have a look in the indicator section here, dbntina hasn't been around for quite a while.

I thought much the same. I would present the high intensity and low intensity value of the 'sample period' or bar. I guess the peak intensity of that sample period is the thing most would be interested in. Possibly how long it was sustained above a threshold would be interesting. Darth I know the 'why tradestation' question wasn't addressed to me but you gotta love how quick and easy it is to prototype stuff (well I do at least).

Deanz could it be a times scale issue? Tradestation can label with exchange time or local time. Perhaps UB could confirm? Zenfire is arguably one of the most complete and timely freeds available to the retail customer.

I Have to say I have little more than a cursory interest in poker though there are a several members here that are players. As to your second thesis I have to say its a very eloquent description of a 'bottom up' approach to viewing market data, mind you I would hardly expect a top down you (based on what you have posted here so far). A good analogy all the same.

Is this indicator Unbounded? UnNormalised? Reset each day? I don't think this reveals to much...my strong hunch is yes to all.

Though can be a heart stopper when it spikes up 25 points down 25 points and then right back to where it was :shocked:

PP posted metastock code I believe (as JJ says probably in the VSA I thread). BlueRay converted those to TS and removed a couple of redundant conditionals. There is a completely separate code fork that someone did for Amibroker (that is probably here in the code section too). This has been converted to Ninja and is available over at their forum. I believe they called it VPL for some reason. Looked promising to me. There are also a couple of code snippets around but nothing of much consequence. Also, there is at least one set of commercial indicators that lean heavily on Williams stuff. I don't really want to promote them here. Oh and Tom has someone working on a program too shhh.

I am finding the pre 11.00 am stuff a little difficult to see - even with the benefit of hindsight! The SS short day closed strongly down (or weak). Had that not been the case we might have expected a higher open. We got one anyway I could not find where T talked about that specific senario. Price did open up and rally briefly is that the basis for the first long? I do see a buy based on the fact that on the SS day we had a good sell off with close near the low meeting the criteria to be looking to buy at or a little below the SS day? Cheers. Hope

Hi James, if the behaviour on download could be changed to "open in default viewer" rather than "save to disc" that would be preferable. Cuts out the bother of locating and opening the image. Cheers.

MRW, firstly congratulations on your epiphany. There are probably more realisations that will come from it. DB quite eloquently points out that price does its own thing irrespective of any structure we place on top of it. However to monitor price it can be helpful to sample it rather than look at it as a 'stream'. Doing this with respect to time or volume or range gives us some reference points to work from. Really that's what charts are, samplings.

Oh and maybe it could remember your camera/mic settings? I almost gave HLM a heart attack when I restarted yesterday as I was trading in bed on the laptop (blush).

As I mentioned in the room it would be nice when downloading images to have them open in your default image application rather than stored on disc. No biggy.

You are right I read it as 10^−4 having said that the general point is still valid despite my :doh:, apologies, the eyes aren't as good as they used to be especially with strings of 0's. Actually maybe I didn't make the point well either The comparisons I made where from here http://en.wikipedia.org/wiki/Millisecond. I simply commented on the seek time not how often a disc needs to seek.If data is cached somewhere it does not need to seek, besides there are solid state discs for mission critical applications. The fact remains that latency introduced by processing and application are going to be fairly insignificant compared to the latency introduced by geographical location and the local loop (where it is not fibre optic or you are not hosted in a data centre). btw that was why I asked about data feed and where the application was hosted.

I was thinking that would distort things. Volume surges in single prints that exceed the volume of the old bar, still get put in that bar rather than being split across to the new bar. So for example if you are 149 lots into your 150 lot bar and 200 hits the tape that is all put into that existing bar for a total of 349.

I wondered if point 2 was one of the conclusions that you arrived at. In the old days a large participant might hire half a dozen brokers to work a large order for them. To buy or sell there lines they would need to work both sides of the market, I guess there is no reason algorithms could not do that in micro time frames. I guess if you are talking about arbitrage trades based on things like fair value premium and such that is a somewhat different animal. As an aside have your group looked at 'internals'. There used to be a time that you would often see tiki extremes (tiki is like the tick for the dow industrials) when programs triggered. Seemed clear that in those instances the things where just buying futures and selling baskets without to much subtlety. I also wonder whether in darkened rooms people write algorithms to try and capitalise on other algorithms. I don't know if you work on the programming side or whether that is handled by your associates. When god was a boy and I was a programmer there was something called 'core wars' that a few of the nerds got into. Essentially battling algorithms http://en.wikipedia.org/wiki/Core_War. The (rather surreal) thought of battling algos reminded me of it.

Just interested really. Over the (many) years I have learnt various methods, a small handful even to the point that I have traded them, others that I respect but don't suit me and a majority that plain out make no sense to me at all I have an interest in how different people trade, after all actual trading itself is pretty boring. I find the premise it is based on interesting too, there are a numerous other facets that I find appealing to the approach, not least of which that it is fairly novel. Lots of reasons, some that are perhaps not typical.

Understandable why people don't stick with it then , Seems like there are far simpler concepts to trade with, for example simply drawn S/R and reading PA based on a couple of simply learnt patterns. Probably the most time consuming and complex thing I learnt was Drummond Geometry. It takes several months to go through the lessons putting in a full day each day. Took me at least a dozen times through to really get it (many take longer if in fact they make it) - and I am a fairly quick learner. Whilst the stuff I absorbed is invaluable and has shaped my whole perception of the markets positively, there are far far, easier ways to trade successfully. Sounds like maybe Taylors Material might be similar? I am rather fascinated by it however. Actually I wonder how many principles there are? Thats assuming it is based on principles. I can take exceptions special cases and what have you but unless there are a fairly firm set of principles I will probably find it difficult. As an aside 're-writing' (even if its extracting bullets or taking notes in your own words) is a great way of learning imo. It has stood me in good stead learning complex things in the past. It's simply making a commitment to really get stuck in. (P.S. I have found your notes useful, thanks)

I have it on sky+ (like tivo for those outside the UK) but 24 and battlestar are too so it might have to wait a while I am loath to make out and out recommendations, but, if you get a chance to see http://www.traderslaboratory.com/forums/f18/the-ascent-of-money-interesting-tv-5275.html I found it enjoyable and informative.