mister ed

Yep, by a big amount too...

Should have posted this before RTH open...today is rollover day **H8 now.

I don’t know if I am going to be of much help with the question. The TickMoneyFlow looks to be trying to achieve the same thing as Volume at Bid/Ask Delta, but like you say there are many compromises in TMF, with random snapshots and inaccuracy. It appears that in principle, though, it trying to do the same thing. As for TMF being just a “squiggly line†representation of the delta – on the chart I have posted delta is represented as a histogram, if it was represented as a line instead it would be a “squiggly line†too. There are many ways of representing the delta on the chart: can use a moving average of it, can apply an indicator to it, can chart its momentum, can sum it, and so on; it can be represented in its various forms as a histogram or line. The one thing I would say that sets using the volume delta (or the TMF) apart is that it is not a “squiggly line†in respect that it is not derived from the price data, it is not an “indicator†as such. It is distinct data from the price data – sure the two are related, but a squiggly line indicator, like say the MACD or the RSI is derived from price whereas the volume delta, I would argue is not derived from volume, but is volume. Like the standard volume histogram found at the bottom of most standard bar charts is not derived from volume, but is volume. Of course, if you apply say an RSI on the volume delta (which you could do) then that is an indicator. I hope I am not stepping into a semantic minefield here… In short, I would say, as you ask, it is “a different perspective on / dimension of 'volume’â€Â. Hope that answers your questions zdo – and thanks for the charts and ideas.

Hi zdo - I dont use tradestation and am not up to speed with TickMoneyFlow, if you could describe what it is then I could compare it with Delta?

Happens a lot - more to investigate. Well, maybe sometimes....

Well, this is another thread I cannot keep up with! Been some great points and ideas brought up, I think one of the reasons I cant keep up is there is so much to mull over. Thanks for the charts BlowFish. I too am experimenting with this stuff, there are many combinations and permutations to play with. Can I return back to the opening discussion Jerry and I were having? I have had a few thoughts. In a nutshell. the definition I have been exclusively using (I wont define it again, its in the earlier posts) up until now is, to my mind, just a “pure†bid/ask volume. I don’t mean that in a value-judgement way, what I mean is it is just data without any interpretation placed on it. The bid was hit? That’s an aggressive sell. The ask was hit? That’s an aggressive buy. (Yeah, OK, "aggressive" is an interpretation, just call it a "buy" or "sell" if you prefer). The uptick/downtick definition, on the other hand, places an interpretation on the data before it is presented. The bid was hit? Well, before we classify it, what was the most previous price movement, an up- or down-tick? A downtick? OK, well that bid getting hit is “supply†then. On the other hand, if the tick prior was an uptick and that bid getting hit does not represent a downtick then that bid getting hit is “demandâ€Â. See the difference? I would suggest using the uptick/downtick to classify the buys and sells is one step removed from the data. Is there anything wrong with that? Well, actually, I think no, there isn’t; and in fact I think classifying the hits in this way can be extremely useful. DarthTrader has suggested another alternative way of presenting the data, this too looks interesting. I have attached a chart showing yesterday’s ES (3-minute chart), with the panes below plotting, in order: total volume, straight bid/ask volume, uptick/downtick bid/ask volume. Close examination will show how the two definitions of bid/ask volume show the data differently.

There are some good books around about George Soros that I have read. Also Victor Niederhoffer (probably misspelt that) has written a couple about himself, but I haven't read them. Re Jesse Livermore, there is his biography by Richard Smitten.

BF – interesting points about the “smart money†you make “that knows stuff we don't or simply has there own agenda†– yes agree with you on both. I also think there is less of it than perhaps we assume. I have heard figures bandied around that 85% of activity is related to smart money, the figures and definitions are vague (at least to my understanding) but I can’t think that number is anywhere near accurate. It is important to differentiate between size and smart – there is plenty of big lots traders bumping up against big lot traders activity, and one, at least, has to be on the wrong side. The point you make about sometimes they just have their own agenda is true, in MP you would refer to it as the other timeframe trader I believe, and a lot of the time their activity in the smaller timeframe is not at all “smart†– “just get me set†would seem to be a better description of their activity sometimes. Now the order book – trade towards size is very accurate. I have heard two good, plausible explanations. One is that if the price is moving up towards large offers it is because there is no point sticking in a limit bid and waiting to get set, the price is moving up so may as well pay the offer and get in, the reason there are large offers sitting there is because in an up move the sellers can afford to sit on the offer and wait, hence the market moves towards size. Sounds plausible. The other explanation I have heard is “herding the sheepâ€Â. Stick in big offers just above market to spoof it while getting filled on the bid with iceberg limit buys. Must be one of the few instances in the business world where stuff is advertised for sale with no intention of actually selling it. This second explanation is my preferred model. It is very interesting when this herding is occurring. I am not much of a watcher of DOM beyond when I am executing my own orders, most of the time I am watching my charts instead. But there are times when the nature of the trade changes, it is hard to explain but the range/volatility contracts while volumes remain reasonably strong. Sure enough I will flick over to DOM and there they are, offers in the thousands just above the market offer. As the market ticks higher so do these large offers, close but tantalizingly out of reach! Call me a cynic, but worth a look. ------- I am still pondering on the 2 definitions slugging it out at present. Each definition will give a unique view of the market activity – the two are going to be very similar overall but at times will be distinctly different, and I think these differences will be at key points. I think its all in the way the price reacts to what is going on, as always. I am yet to go through some playback charts and look at these differences but on the brief look I have had I have a sneaking suspicion that my conclusion is going to be that both definitions offer valuable insights and maybe there is a role for using both. Anyone else doing the same thing, be good to hear other input.

Well, new thread and already I am learning! Jerry - thanks for the tip re option in IR/T - I will compare our two definitions and see the pros & cons for each. BF and Monad - past bedtime here, will go through posts more thoroughly when fully awake...

Tasuki - flamethrower thread has not yet started, however Jerry has started one on buy and sell volume, found here.

By the way Jerry, and all, this thread should not be limited to just discussing the definition of bid / ask or Demand / Supply volume - I hope we can find more to discuss than just the definition. But while we are on that subject I think it would be worthwhile finding out what definition is used in TradeStation, it is a popular package and be good to know.

TradeGuider does not have volume up / volume down.

New thread! OK. Just to reiterate Jerry - yes we are in complete disagreement about our definitions :haha:

Great post BlowFish. Now, let’s get some friendly debate going. I would start by suggesting that a discussion about the bid/ask volume (definitions to follow) should be on a new thread. While we are discussing it here in the context of VSA, it is a separate concept – by all means marry the two together, but getting to a point where we can do so, and debating it on this thread, is going to frustrate those that want to concentrate on VSA. Blowfish, if I can refer to your numbered points. 1. No issues here … Real time open interest – yes please! 2. No issues here. Those confused about definitions, BF has defined it perfectly – A trader who hits the bid, that’s an “aggressive†sell, a “seller†if you like, or “sell volumeâ€Â. A trader who hits the ask, that’s an “aggressive†buy, a “buyerâ€Â, or “buy volumeâ€Â. 3. I have an issue with smart = big. Observation of the big-lot trades that go through suggests to me that the big lot traders are not necessarily “smartâ€Â. It is logical that smart = big, but in my experience, not all big = smart. This may be an issue with how the data is presented, and I would love input on this. I am only speaking of the ES, my current understanding is that a 100 lot buy (i.e. a buyer who hits the ask for 100) is reported as a 100 lot buy even if he buys from a split of sellers, say a 5, 10, 15, 10, 30, 20, 10). Another point is the software exists to allow trade size to be split, so instead of executing one lot of 200 near-simultaneous execution of 4 lots of 50 (for arguments sake) can be done instead. My broker even offers a humble trader like me an “iceberg†facility to split up my limit orders. Now, onto your conjecture BF – where you say, and I quote “This doesn’t jive well with the whole market delta volume@ask thing. Well not in the way its often presented i.e red 'selling' green 'buying'.†I fully agree – the marketing of it is far too simplistic, just because there is a truckload of deals at the ask, i.e. lot of aggressive buying, the price may not necessarily rise if the buying is running into a large limit order. This is a “failure†of the marketing of the concept, but is a feature of the information – big aggressive buying that cannot achieve a price advance is good information in itself. Indeed, in VSA a narrow range up bar on very high volume after an up swing in price illustrates this concept perfectly. Also, BF “The Smart money does not often need to buy/sell aggressively except perhaps to kick start a move†– excellent point, and something I watch for. ------------------ Jperl – in response to your post. This whole up-tick/down-tic versus volume at bid and volume at offer is not a debate I am fully cognizant with. The definitions I use are above, these are the definitions used in the Market Delta software, and In IR/T. I can’t speak for other packages. To reiterate: There is a Bid. There is an Ask. A deal struck at the bid price is an “aggressive†sell. Shorthand – a “sellâ€Â, what you would class as a “SUPPLY†trade. A deal struck at the ask price is an “aggressive†buy. Shorthand – a “buy†– what you would class as a “DEMAND†trade. Let’s say there is a sequence thus: 1. Bid = 25 2. Ask = 50 3. Trade at 50 for 75 lots. (This is an aggressive buy – reported as a buy) 4. Bid is now 50 5. Ask = 75 6. Trade at 50 for 30 lots. (This is an aggressive sell – reported as a sell). Now, my understanding of what you are saying jperl is that the second deal you would class as a “buyâ€Â, or a DEMAND trade because the previous deal was at the ask and was a DEMAND trade. I disagree with your definition here, a hit at the ask is a demand trade, a hit at the bid is a supply trade, regardless of what the previous trade was. Happily, my definitions coincide with the definitions used in the software I use (otherwise I wouldn’t use it). ---------------------- If I can go back a little. Tasuki has argued that there is no “hidden†selling or buying using the volume at bid and ask concept. I fully agree – the numbers are there in black and white (or red and green), the volume of aggressive buys, aggressive sells, and by implication the volume of “passive†buys and sells. The motivations of the participants, or whether or not they are "smart money", are/is not laid out by these figures, that is for us to speculate on, but their actions clearly are.

Tawe, thank-you very much for sharing, its much easier to post the winning the trades than the losing trades. Ahhhhh, central bank announcements - short of a war there is no surer way of rapidly shifting the demand and supply curves.

OK - got it thanks Taz - yep the huge volume at the ask (the buy volume) does show it is unlikely the bar was an upthrust test, adds clarity to the total volume figure on the bar.

Hi Tasuki, I didn't see that post where you recommended breaking down the volume, I sometimes can't keep up with this thread! I am no expert but I agree it is very useful additional information.

Typing out the commentary, especially if you plan to do so each day, is too much - the audio, like you say, is much easier so I would vote for sticking with the audio. Anyone who prefers the text could take notes him or herself. Thanks very much for the commentary Sebastian, it is a great learning tool.

JJ - If you see a rally, then up bars that suggest weakness is present, could you try dropping a time frame to see if those smaller time-frame bars are suggesting weakness as well? Or if they are suggesting strength is there follow-through on the strength - if not then its another sign of weakness?

Thanks Bert - I have successfully used the site in the past to download, so I know the instructions etc. Just cannot get it to work this time.

Does anyone have any experience using the Market Delta footprint charts for stock trading? I experimented with the MD footprint chart for emini trading; I really like the footprint chart but I just couldn't integrate it into my trading. I have not seen the chart used on stocks, but would think it could add value, so wondering if anyone has any feedback they can give? I would be using it for short-term trading, day-trading to swing-trading sort of timeframe.

Well, I have tried but I cannot get this download to work for me - can anyone email it to me? ben2127502000 at yahoo dot com Thanks

Thanks James - valuable perspective. Be interesting to hear about the execution technologies employed, advantages/disadvantages - if you can speak about them.

James - could you expand on this? The conventional wisdom is instos have next generation tools compared to retail etc., not the case though? Thanks!

Off the top of my head I dont think I have ever read a better piece of advice on learning to trade - thanks James.