BlowFish

Indeed there was a problem with attachments caused by the new chat software. Resolved for now, perhaps you might re attach it UB?

Is Europe in step with the USA? With the holiday and stuff. A real nub question is it acceptable to start a book from a major high (obviously starting with a sell day there)? I did scan the book this weekend. For me it's going to need going through again with a notepad. I am a bullet point sort of guy and while the information did not seem difficult to grasp it seemed quite tangled up, it seems kind of hidden in the walls of text. It does seem to me that it should be possible to boil it down to a dozen or so principles or even rules.

I think this bears some examination as it seems like this is one of your fundamental premises. I would contend that if you want to trade size you require liquidity or you will put the price up on yourself regardless of how you slice and dice. If you squirt 1000 cars at the market 100 every .1 of a second or if you send it all at once it will chew through any limit orders that are resting on the book regardless of whether they show or are icebergs. Further more if there are same side orders (stops) resting alongside them they will trigger competing with the algos. As for slicing and dicing hiding activity, the very fact that most peoples tools don't have the granularity to see the slices or they haven't set them up to doesn't that have the effect of 'unslicing' the salami in their eyes? Incidentally I guess you still need a 'threshold' to be reached (you can't distinguish if its a large sausage coming down the pipe until you get a few slices you dont know how large until you get all the slices) so provided your granularity is such that you can detect this threshold I would contend you don't need wizzbang infrastructure (though that can't hurt). This was one of things that seemed somewhat exaggerated in your original post. No need to exaggerate, your work appears to stand up without. btw Whose data feed are you using and where is your setup located? Geographical location and local loop technology (if any) are the biggest contributions to latency, whole orders of magnitude larger than anything else. I think most would agree that looking at trade intensity and gauging order flow over a short time period can provide an edge (I know you don't use constant time periods ....except on the HUD display it appears you do, as you seem to for normalisation, but that's a whole other discussion) Having said that I do believe more traditional tools used in innovative ways can provide a similar edge. I guess you do as it seems you use Tradestation, if not in production, for prototyping and research. A specific on the trade intensity. Is this essentially looking at order velocity? It seems to me if you are sampling data by volume (or price change i.e. range bars for that matter) that looking at changes in the velocity of that volume arriving would give a similar indicator. Smooth it a bit and I think that might be similar to what you have, or am I way of base here? Its something on my back boiler for further research. The work you are doing certainly looks innovative and interesting but I can't help feeling that you are 'bigging it up' somewhat:) Having said that I can certainly understand why you are proud of your baby, it looks impressive. I hope you take this in the spirit of provoking discussion as requested

For some reason the chart didn't come through.

Doh it was on the same thread I did have issues with accuracy but can't recall if I tried that particular version.

Hey Bannor do you have link for MPValue? The one I have by Ben at Sbgtrading CalculateValueAreaAndPOC I believe is inaccurate.

Something that would help (after the fact) would be a 'report this post' button perhaps? I don't think you have one of those but features get added so often I am not sure

Hi a constant range chart that is 1 tick of the instrument in width. So for ES it would be a .25 point range for each bar. Hope that makes it clear. Oh btw HLM's suggestion (constant volume bars with time as a histogram) gives an interesting take on things. Something else that I have played with in the past. Kind of weird though as things are back to front, for example a tiny time histogram bar shows fast activity.

Funnily quite similar to some research ideas I have been playing with, though it seems that you work has come to fruition One interesting visualisation I showed a while back is a 1 tick wide constant range chart with a volume histogram below, that shows quite clear spikes. Good stuff keep it coming

Interesting stuff and quite similar to some research ideas I have been playing with. One interesting visualisation I showed a while back is a 1 tick constant range chart with a volume histogram below, that shows quite clear spikes. Good stuff keep it coming

I wonder who's data feed you use? I've always found ZenFire to be good. I also wonder what sort of connection to the internet you have or do you run your trading application in a data centre? I'm pretty sure most of any latency I get under normal conditions is simply down to geographical location and the speed of light I don't wish to quibble (but am going to anyway) but I think your 1000th of a second is probably off by an order of magnitude or two. Light would only travel about 3Km in that time for example, and the average hard disk seek time is almost 2 orders of magnitude greater than that. Having said that I have no doubt that looking at volume with respect to very short time frames provides interesting data but wont a a simple 1 second chart with volume show a similar thing?

I guess that all this attention is a by product of success James

I've always found it amusing that when some vendors claim they are traders foremost and that it is accepted by many without question and with others it is rejected. People like the master the markets crew spring to mind. Do you know something about Kruger we don't?

This one I enjoyed a lot http://www.channel4.com/history/microsites/A/ascent-of-money/index.html It looks at how various financial structures came about an how interlinked history and finance are. Just noticed that he wrote a book The Ascent of Money: A Financial History of the World. Looks like the series is based on the book. As it's out on DVD there is probably a torrent somewhere.

I have put forward a couple of views (I believe they are cold hard 'facts') on FX tick volume not so long ago in this thread so re hashing them here would serve little purpose. I would recommend people do some serious due diligence about what is (and what isn't) actually reported. I think most would be surprised. I have agree with you VJ about Jerrys work. Regardless of market interest or approach I found this some of the most interesting trading material that I have come across.

:boggle: One has to wonder about motivation. Sorry to hear that what a waste of all your guys time and effort.

Even the names look like they have been randomly generated though they use vowels and constants in sensible syllables.

Ha thats interesting my vantage point was pretty much from the point of view of the business rather than the consumer This guy http://www.amazon.co.uk/Logic-Life-Uncovering-Economics-Everything/dp/031602757X/ref=sr_1_3?ie=UTF8&s=books&qid=1232112262&sr=8-3 is my next door neighbour similar but different sort of thing.

http://www.traderslaboratory.com/forums/6/trading-with-market-statistics-vi-scaling-2189-10.html#post16541 In a nutshell Jerry suggests waiting for a break out of the bar that signals a trade to actually trigger a trade. A fairly common technique.

Seems that many many many websites follow one of a handful of template designs. Imho anyone can put together a functional, decent looking site, with a bit of study. The best stuff comes from people with either a background in, or strong appreciation of, graphic design. I guess for a family site that's not such a big deal.

Kraus was one of Drummonds students just fyi You can see the root of a lot of his work. Of course that doesn't diminish its value.

I certainly plan to, actually now would be a good time with a couple of experts on hand As was noted it seems to not be a widely followed technique, so a good opportunity. I have to be in the mood for deciphering maybe this weekend.

I think because his original work was not particularly well written (so I hear) and this seems to result in confusion in the reader more often than not. I don't know whether the principles are straightforward and unambiguous once deciphered, I have bought his book but haven't read it yet. Actually this thread might well spur me on to get round to it! To me a method that introduces a timing component is of interest as a complementary approach to price based work. I wonder can Taylors work be broken down in to a reasonably concise set of principles?

Good for you. I have always found it ironic that for may of us freedom is one of the main things that attract us to trading, we then end up slaves to the screen.

Perhaps Wyckoff will be the new Gann Elliot is so last week after all.