darthtrader

Thats pretty much how I view Neoticker also after having tried the demo. Some incredible features that you will not find elsewhere but the whole program feels clunky and "old". I almost think its coded in visual basic or delphi, some stuff just takes forever to load. Building your own custom orderbook delta indicator or custom version of NYSE TICK would be interesting but I can't imagine how slow it would run.

TTM has a tradersaudio webinar up for free http://www.tradethemarkets.com/public/department79.cfm I haven't tried it yet but will at some point, Ben himself says that some people will find it worthless, others invaluable.

Very interesting PivotProfiler. I've tried to read the Logical Trader a few times but never quite get the hang of it. I would be interested in knowing if/how you use the opening range from Fishers ideas, that just seems like something that could incorporate well with the intial balance MP wise.

My Roth has been sitting in cash since early 07 when I sold all my gold and silver stocks. To me once we take the pain of the downturn/next recession, with all the ETFs and global growth there probly won't ever be a better entry point as far as money that I'll need 30 years from now. To my mind any drawdown right now is extremely expensive if you calculate what that drawdown will cost as far as 30 years of less capital compounding. With my current understanding I'm only interested in taking the easy money. The only real place I would suspect there is easy money right now is in corporate bonds but I don't know near enough about the bond space to gamble my long term money there. Thats basically why I think sitting in cash and learning proper portfolio theory/valuation is the best long term investment for myself right now. I'm all over this text when it comes out next month http://www.amazon.com/Optimal-Portfolio-Modeling-Maximize-Control/dp/0470117664/ref=pd_bbs_sr_1?ie=UTF8&s=books&qid=1200464407&sr=1-1

I think volume vs time profiles depends on what kind of trading your looking to do. I think volume is probly better for faster trades and smaller moves and time better for bigger moves with staying in the market longer. Ninja has a decent volume profile for free but its a pain because it resets if you add or alter the chart at all. I think it will be interesting to see if we stay range bound for awhile and fill in the double distribution from yesterdays volume profile to create a more normal looking 2 day distribution. Vwap finished almost dead center in the middle of the valley in the volume profile.

I pretty much agree. I think you have to put MP into context though. There really hasn't been much evolution of these ideas IMO. I mean in the late 80s the TPO way of viewing things would have been the only way possible as real time volume at price info I assume was just not available and the current way of doing things was just what was possible back in the day computing power wise. There is an incredible amount of stuff to explore here but your going to be pretty much on your own and charting new territory(no pun intended:) Here is a chart based off volume POC/value area as opposed to TPO for YM. For my style today is just a mess. I probly won't do anything unless we auction down to that 650 area with the two volume peaks lined up.

tons of good documentaries here http://popperslist.blogspot.com/ I know Gibbon's "The History of The Decline and Fall of the Roman Empire" is a classic history book but I've never got around to readig it yet. "The Conquest of Gaul" by Cesar would probly be pretty interesting too, another one I'll read someday.

haha, dell 30" with 2 17 inch uprights...now that is cool.

I agree it depends on what you want to spend. Newegg.com or Tigerdirect.com will probly be hard to top. I would give consideration to 3 19 inch monitors, probly would be your best bang for the buck screen space wise right now.

I've been looking more into the DOM stuff since this thread. Here is an amazing thread on elitetrader about market depth patterns I found last night, still sifting through it: http://elitetrader.com/vb/showthread.php?s=&threadid=42947&perpage=6&highlight=marketdelta&pagenumber=1

thrunner, thanks for that info. I had not realized the start time changed things THAT much. I figured the pre market volume would be swamped after the open and not change things to much of a degree. Blowfish, that is kind of what I figured as far as those two charts go. In some sense aren't some of these algorithms just updating too slow for how many times we see price under the 3rd std dev? I mean if getting under the 2nd band is a 98% move away from the mean, shouldnt price virtually never get under the 3rd band? Thats pretty much what investors r/t "proprietary" calculation does. Even if more accurate, maybe its less usefull as price then just rides down the band on a big move from what i've seen so far.

I've basically become a convert to this tool. The odd thing is i think the footprint type charting is the least usefull thing. The volume profile is top notch and cant be beat. The peak volume intra bar marker is just so nice and obvious. A really interesting feature is plotting the chart as delta bars. Here is a chart that only plots a bar once 300 contracts have been hit volume wise on one side of the bid/ask. Its pretty easy then to stay on the trend, then when the low bar is in but with delta in the opposite direction then the move is almost by nature stalling out. The tempo of the market is pretty easy to feel this way too as on this chart, the down move took 20 minutes. Then that one bar took 20 minutes to print near the left side as the market stalled and became indecisive. I'm not sure how much this software makes sense if you use candle patterns or what not. For MP trading though it fits like a glove.

Well I don't mean skew like the volume stuff in Jerry's thread. Brett Steenbarger has alot on his blog about little tweaks he does to $tick. He keeps a cumulative tick as a long range sentiment indicator but I would think knowing if the cumulative tick is positive, flat or negative and how its changing intraday would be a nice guage as far as how the cash market is developing. I've been also looking at getting into neoticker eventually. I know it can build its own custom version of the $tick. I would think a custom tick of only the Dow 30 would be pretty deadly for YM.

Ninja only costs money if you want to trade real money with the chart trader/super DOM. Its free for charting/backtesting/sim. You could try that with opentick. That would essentially be free but you get what you pay for data quality wise with them. DTN iq you can get for 55 a month if you just stick with spy/qqqq, 75 or so if you want cbot emini data.

I don't know, there is something very wrong with both Ensign and the TS vwap/bands in those charts. I wonder if Jerry could post a chart from that day? I've noticed with alot of the versions people have wrote up, something is totally off with the variance calculations for the bands. With that big drop at the open the dev band away from price should be expanding. Alot of the versions people have made the bands just look like channels while in Jerry's videos they look more like "claws". Investors r/t seems to be the closest to what Jerry did in his videos. Here is a chart from marketdelta/investors RT with DTN iq feed. The variance setting for investors r/t seems to get like what Jerry does, then the proprietary is different as price never seems to get beyond the 2nd standard dev band on any chart i've pulled up.

James, any chance you could make a video on how you use the internals with MP? Something I'm starting to find very interesting is to look at the skew of $tick. Here is the battle point at 950 right now with massive positive skew on $tick. Not sure how to use this info right yet. I guess its possible the market has used up all its firepower to get up to 950 and will get rejected.The only problem with that i soppose is I've noticed on a balancing day tick is pretty even and on a trend day it has massive skew.

Great video James. That 950 area is definitely a key area IMO too. Just had a nice test and rejection of it. Here is a 5 day volume composite of YM. Up above 950 there is virtually no volume until 13075 or so. Another interesting thing IMO is if we auction down to the bottom of that volume range, the lower part is pretty ledgy. Could be a good place to look for a breakout down. One thing with marketdelta that is really starting to sell me is the black lines on the bars are at what price the most volume traded for that bar. It makes it very easy to see during a move if the market is facilitating trade at higher/lower prices or not.

I don't think it even matters what you buy now, everthing is so insanely fast. The only thing I would consider though is maybe wait for quad core 2 to become more standard as the cpu has really come down lately. I was looking around tigerdirect the other day and you can build a machine with these specs right now for about 800 bucks 2.6ghz intel quad core 2 4 gigs of ram 150gig 10,000 RPM main hd 1 terrabyte external Hd. Thats so much power I dont see how anyone would even use it.

I think we are pretty limited software wise with MP because anyone who puts it out has to pay the monthly CBOT fee. Its probly just too much of a headache to bother with. With tradestation I still think the best option is to get ninjatrader which is free, feed TS data and then get the finalg version for $250 one time fee. http://fin-alg.com/tpoandvolumechart.html He just seems to be ignoring the cbot fee. Marketdelta's MP chart is just a partnership with investors r/t, its exactly the same thing you get with investors r/t. I tried to find every option available and those + esignal are the only real options but your going to have to pay for this service one way or another.

by Ganapathy Vidyamurthy. I just ordered this book the other day after having read a pdf version for about a month. While even after having read alot of this I would not want to get into pairs trading this is an excellent introduction to the "quant" side of trading. In some sense this could be titled "Statistical Arbitrage for Dummies" or "Financial Time Series Analysis for Dummies". While to be useful one would have to understand rather heavy math/stats, this is the only text I've found that focuses on explaining the concepts rather than explaining things mainly via equations/models. If anything this book has inspired me to become numerate. The most interesting aspect of this book is none of this stuff really comes up on retail message boards and the quant boards are mostly filled with discussions on derivatives/exotics and their price models rather than the basic statarb stuff. I read in Trader Magazine about a trader who trades outright directional plays but uses a statarb model with only taking one side of the trade. This could be a very interesting area to explore and this is the best introduction to that kind of trading.

Great stuff James. I totally agree with $TICK and MP as a good combo. One thing I've noticed is that if price is inside the value area, if it takes extreme tick readings to move price to the top/bottom of the value area than it may setup a nice $TICK fade trade. I love Dalton's idea that volume slows price down, which makes perfect sense if your looking at volume by price. Its almost as if the market runs out of firepower to push through the value area if it takes extreme $TICK readings in order to get to the top. Something that might make for an interesting discussion is with using composite profiles across multiple days, how far back to go, how can we quantify when market conditions have changed enough that past auction information for the same price area is no longer relevant. Also, I thought Ant said Dalton has a new book coming out next year. Anyone know anything about this?

While that was pretty cool to see, i'm really still not convinced the footprint chart is that useful. It almost seems to me you can get the exact same info from multiple time and sales windows. Regular time/sales, time/sales filtered to only show trades at the bid with X number of contracts, then the same thing for the ask. I'm pretty much done with this trial of market delta now. Pretty much agree with every review i've read of it. Its pretty interesting but not interesting enough to warrant the price they charge for it.

I think the problem is we have a bias in everday life towards randomness being like a coin flip and not the more precise definition of a stochastic process: "A stochastic process, or sometimes random process, is the counterpart to a deterministic process (or deterministic system) in probability theory. Instead of dealing only with one possible 'reality' of how the process might evolve under time (as is the case, for example, for solutions of an ordinary differential equation), in a stochastic or random process there is some indeterminacy in its future evolution described by probability distributions. This means that even if the initial condition (or starting point) is known, there are many possibilities the process might go to, but some paths are more probable and others less." It just seems like the popular financial literature on this gets these two mixed up. Shows a chart of coin flips and how it looks just like a stock chart, hence the market must be just like flipping coins. That would only make sense if each market participant were making a buy/sell decision with one piece of information on both sides. The reality is its thousands of participants each making decisions on thousands of pieces of information. I think the markets are random as I can't think of a better definition than a stochastic process but the reason you can trade is because of the bold part in that definition.

Thats interesting, I would be interested in hearing how you view the time information as far as this stuff is concerned. I have really been wrestling with this lately as to the utility of time information, I'm just not convinced its really that usefull but might be missing something. Here is a chart from this morning that I had been waiting to see from reading Dr Bretts market delta posts on his blog. The top chart is all trades, the bottom is filtered to only 10 lots +. Its pretty interesting in that the smaller traders drove price up but were basically just providing liquidity for the larger traders. If you were only watching the deltas of all trades it would just look like the ask was getting hit but the larger traders were hitting bids all the way up. After that chart the larger traders just kept hitting bids and drove price down. pretty interesting information.

Thats a tough one. I could completely see how trading could cause some problems in a marriage. I'm really not sure how avoidable this is if your wife isn't really into the idea. I'm 30, would love to get married and have kids but I've pretty much put that on the backburner until I'm a very successful trader. Outside of casual dating/flings, a relationship just takes too much time for me right now. Women don't seem to like volatility in general either, I'm really not sure what the answer is.