BlowFish

Yes in comparison to using a bar chart with a 'regular' display of volume below it. Call it simple pure old fashioned or whatever you will.

Yup, thats exactly what I mean.

Blowfish, what is your general opinion on this volume analysis? Well it clearly adds another dimension of data. But despite looking at it on and off for I guess a couple of years (or maybe more) I have not really found a satisfactory way to integrate it into my trading. I wonder if it's a forest and trees scenario? This is fairly much tree type information, sometimes looking at less produces better results. I also wonder whether often you can get pretty similar information just looking at pure volume. I still remain open minded to the idea that I might be able to use this type of information to provide a better read than simple volume however. On the subject of Tradmaven I think it's a good illustration on how a sponsor can run a thread in a professional manner. It's one of the few at ET that I follow.

And the wacky thing you could be long I could be short yet we could both be winners.....or losers for that matter. That's the beauty of the markets, some will be right, some will be wrong;

Thats more or less exactly what I said when I heard MC. I guess that answers the 'why do you sell cr*p if you are a successful trader' question. Answer because you can fleece suckers for a substantial amount of money without having to put your margin at risk.

Gooni, Harris puts forward two main sets of circumstances that give rise to arbitrage opportunities. 1) Slow price adjustment - here common factor values change but not all prices that depend on those factors change appropriately. Usually one or more prices are slower to change. 2) Uninformed traders demanding liquidity - here fundamental values are constant but uninformed traders cause prices to change as they buy in some markets or sell in other markets. Arbitrage trading connects demands for liquidity that traders make in different markets. He goes on to explain how in the second scenario arbitrageurs act as risk repackagers and essentially are derivative product 'manufacturers'. Briefly if they buy the underlying and sell futures they provide long liquidity if they sell underlying and buy the futures they provide short liquidity. The arbitrage spread (the difference between the basis and fair value) is the compensation that arbitragers receive for there services. As you can see if arbitragers wait for the spread to be large (so more profitable) they will likely loose out to more aggressive arbitragers. Cheers.

I guess the problem is fining a data source that provides not only historical data for trades but of bid ask changes as well. These will need to be time stamped correctly too. You can assume that volume on an uptick is likely to be at the ask but that is an approximation too is it not?

Try looking at any of the price action / support resistance threads also the 'busy day tomorrow thread' in the Forex section. Also take a look at DBpheonixs blog he did a couple of weeks marking up S/R for the NQ. You maybe be better thinking of places where you 'anticipate price might find S/R' rather than 'forecasting turning points'. Thats not to say that you can not find success predicting but it is a tougher path to go down, not least for the psychological pressure of dealing with being 'wrong' a lot of the time. Have you thought of anticipating S/R then monitoring price action to ask yourself is that holding now (in the present)? It is possible to do very well without needing to predict.

Your welcome, and it's Nick. There are lots of great threads here on a good variety of topics. As you have expressed an interest in VWAP's I think you will find lots of intresting ideas in Jerrys threads.

TTM - Wow. I think you are doing it 'correctly' (though of course whatever works for you). Peak to peak and trough to trough on the price chart is the 'normal' way of looking at divergences.

You could just set the plot to invisible when you apply the study perhaps?

Hey Ceyda, I notice your location is London. Are you visiting Chicago? If you ever have beers in London I have been known to partake of the odd one or two.

I wasn't thinking of the hucksters at TTM I was thinking of the huckster here. Actually some of the stuff that Malcolm is doing seems pretty sensible. But charging for versions of public domain indicators arrrrrrrggggggghhhhhhh. http://www.futures-day-trader.com/public/department41.cfm http://www.futures-day-trader.com/public/department2.cfm Lots of videos showing how to use the tool to detect divergence. Try smoothing the delta as I mentioned I think you will like the result. It makes divergence much clearer (to me at least).

Hi Yusuf, Welcome to TL - If you have not found Jperls excellent series of threads on 'trading with market statistics' I think you would enjoy them. The VWAP is one of the key components. There is a sticky in the beginners section called 'best of traders laboratory' they are linked from there.

Good work! You will probably find you have to back track a bit and needless to say will have other hurdles in your path but sounds like you are working purposefully towards a goal which is great! There are a couple of volume indicators that do what you want. If you search here you will find one that works similar to tradeguiders. You might search for 'hawkeye volume indicator'. To be honest you will probably find you don't really need them - though a simple moving average of the volume might help visually. I think you use Ninja right? Those two might be TS only. Ninjatrader has a 'better volume indicator" by the guy over at e-mini watch. You can get a version at the NT website. Never used it but sounds like what you want. The problem is unlikely to be identifying 'high' or 'low' or 'declining' volume but interpreting it in context. Be sure to ask yourself 'what do I want from this indicator' and 'is it providing this'. Cheers, Nick.

Some ideas for quickly determining trend. Probably the best....is price making HH HL? or LH LL? That can quickly tell you up down or sideways. A quick and dirty but still quite handy way is to use yesterdays 'floor pivot' (H+L+C)/3 or yesterdays mid point or yesterdays POC or yesterdays close or todays open or or or or. Are we above or below? This can be used with other bars than daily too.... Hour bars or 240 minute bars are perfectly fine...whatever you llike for the time frame you are interested in. Of course there are good old moving averages. Not my cup of tea but might suit you. You could eve use tradeguiders 'diamond system' that is simply a 5 period SMA and was reverse engineered here. (The diamonds are coloured depending on slope and which side of the average the bar closes on). The problem is likely to be eliminating methods rather than finding them.

Have you tried using a smoothed tick delta indicator? It essentially changes it to a log scale and smothes it with an ema. You should be able to find one knocking around here somewhere. Let me know if you can't. It really shows up divergence a bit more clearly (though I should say it's not something I use but I am tempted to as it gives a pretty nice clear read). There is a site that has a few videos on using a similar indicator for divergences but I am loath to list it here as they sell a version of the free one!! That really irritates me!

Damn you guys are quick are you sitting there hitting F5?

I think skewed distributions do balance but it seems to me that is usually by building a new base rather than returning to the old one. That is not to say that they can not return to the previous PVP after balancing for a while. EDIT: I don't think you 'messed up the thread' at all. Maybe better places to have discussed things (and I am to blame there too) but I think you brought something new and interesting to the table. The issue is how to integrate the information.

Brown you have a MC license right? Worth checking out if you do. + it will take data from OEC. If not I would wait until version 5.0 beta before using a feature released in V4.0. MC betas always have a pretty hefty measure of pain involved in my experience

Hehe nice to get you out of your area of expertise, I don't feel like such a muppet!

Using V3 since release. For me worth the update for a variety of reasons. A good excuse to chuck out the add ons you never really used. The only thing I am rolling with now is Foxmarks and a Dictionary. Foxmarks saves your bookmarks on a server in the cloud. Useful for me syncing between laptop and desktops. The biggest problem is no official 64 bit version. Mind you I hardly ever use my new turbo ninja dogs bollox PC. (*cough* games)

Northern boy sorry to go off topic a bit with microstructure. Darth, Harris talks about informed and un-informed. They are quite big categories, of course all this 'smart money' BS dosen't help as people hear informed and think 'smart money. You also have to fit in utilitarian traders (whose objective is not necessarily profit) into the puzzle. Of course he talks about the circumstances that price itself is informative. It's a fascinating subject. Northern Boy - you describe elaborate as the presence and frequency of each price swing. Do you factor the magnitude of each swing into that? I am thinking that markets that 'back and fill' a lot are easier to trade without too much regard to overall direction. (fade BO's buy S sell R type approach). whereas markets that do nt back and fill alot straight forward 'trend following' is likely to be easier. I guess this is market 'character' rather than elaboracy. Might be helpful to come up with some kind of working definition of elaborate?

No not at all GJ these are all things that perplex me. I think I need to talk to someone who knows, whilst there is a fair amount of information on the interweb it seems to be largely to attract investors. (invest in property without having to worry about managing a portfolio). The other thing is the composition of the various portfolios (none seem to have much/any residential which is what interests me particularly). I have looked at basic price charts for several and they seem to broadly follow a very similar pattern .......Except a couple with large retail property exposure had massive drops a couple of months ago. Kind of perplexing (as most if not all have some retail element) and worrying too, if you are on the wrong side of such a quick and violent move. Short term volatility looks like an issue too (as may have been mentioned) though as a trader I look at that and think hmm those waves would be nice to trade. Got to keep sight of what the object of the exercise is

Chart time will give you an idea of 'pace'. It is easier to spot real time. You might want to try fixing your price scale on your charts. Much easier to judge if your charts are not constantly adjusting themselves to fit the bars on the screen all the time. So for example on a 5 minute chart you might fix the scale so it shows roughly 20 ES points. This has a remarkable effect on ones perception. A simple tool to measure what you are talking about is the Gann fan. I'm kind of surprised it is not more popular. I am not recommending it, but it is basically a protractor and will immediately tell you the angle price is following. You might find it unnecessary if you scale your charts appropriately.