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theman

Institutions Buying Vs Traders

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Hi there

 

EOTPRO have a new indicator that plots 3 subgraphs (indicator),

 

the 1st one shows you how many novice traders (so to speak) are buying/selling

 

the 2nd shows the how many professional traders are buy/selling

 

the 3rd one shows you how many institutions are buy/selling. The institutions being the big boys in trading.

 

So, if a novice (1st one) are selling, there making the wrong move as the 3rd subgraph i.e. institutions are buying.

 

So youre not supposed to trade like small traders i.e. 1st one, you go with the Institution traders i.e. 3rd one.

 

Dont know if this makes sense?

 

 

 

I hope you can help me?

 

Thanks

Edited by stanlyd

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My hunch is that their breaking order sizes into "small", "medium", and "large" (such as 1-10 = small, 10-50 = medium, 50+ large, or whatever), and then doing volume at bid/ask for each.

 

Not too complicated, and the concept has some definite uses. Not sure if you could trade straight off it, though.

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My hunch is that their breaking order sizes into "small", "medium", and "large" (such as 1-10 = small, 10-50 = medium, 50+ large, or whatever), and then doing volume at bid/ask for each.

 

 

Wouldn't the use of iceberg orders really make this an inaccurate view? I dont know, i would be very careful of anyone selling something that looks like it actually can make money. If it could actually make money there's no need to sell it.

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As you can see, the orange one is where you get the novice traders selling (when its below the 0 line i.e. white line), but if you look at the purple line I put, the institutions are buying (when its above the 0 line i.e. white line), and if you look at the chart, thats what happened.

 

How cool!

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Wouldn't the use of iceberg orders really make this an inaccurate view? I dont know, i would be very careful of anyone selling something that looks like it actually can make money. If it could actually make money there's no need to sell it.

 

Exactly, I think you are right. I also agree with atto in how it is choosing to segment. Iceberging certainly happens quite a lot, and I have tried to measure that by rebuilding 1 seconds worth of ticks. However, I read there are also more involved methods of iceberging then just sending a stream of small orders in close succession. I have explored various types of volume breakdown segmenting in the past. I didn't find any consistent mechanical edge there. Using discretion, there may well be an advantage.

 

A model like this, you also assume that each order is a directional bet and they actually want the price to move the way they are pushing. I used to believe this, but have since revised my beliefs.

 

With kind regards,

MK

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keep in mind that just because it worked today does not mean it will work tomorrow and being consistent is the hard part of the game. So maybe you keep an eye on this indicator daily, log it's gains and losses over 6 months and see what the results are. Then think about how it works or doesn't work in a trading plan. I would be up for hearing the results.

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keep in mind that just because it worked today does not mean it will work tomorrow and being consistent is the hard part of the game. So maybe you keep an eye on this indicator daily, log it's gains and losses over 6 months and see what the results are. Then think about how it works or doesn't work in a trading plan. I would be up for hearing the results.

 

Exactly....................... the bloke's only developed this a week ago and it can't be backtested as it only runs on live data.

 

So he's only eyeballing the nice trades, amazing how the human mind can spot these.

 

Cheers

 

Blu-Ray

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Iceberg orders would be a serious issue as the goal there is to make it look like many smaller orders. Open ECry has a nice Iceberg feature and here is what the user guide says about icebergs:

 

attachment.php?attachmentid=7341&stc=1&d=1216680964

 

Order user guide attached to post for anyone that could use it. Nice info in there, even if not using OEC.

 

===============================

 

As for the indicator, give it a test in real-time and see how it goes. It looks like you got a trial or purchased it, so give it a go and report back what you find. Real-time will be the key obviously.

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Iceburging would be a huge problem, and it's trivial for large size traders to do this. Hiding order size isn't the only reason to break up trades, by the way. Additionally, any arbing or hedging could actually go the other direction, even in huge size. The ES isn't a closed market, people trade it many different ways.

 

I examined a few charts with this indicator on them, and I couldn't find a significant edge (small sample size, but these were cherry picked charts to begin with). In fact, a few times, the small orders led the market much sooner. This whole setup also assumes that bid/ask volume is correct, and truely represents buying/selling exactly (it doesn't). Also, I noticed an undo emphasis was placed on the zero line, but in reality, that shouldn't have that much more significance than any other line.. a "slightly below the zero line, so they're net sellers, so it's ok to short" is not very different than a "slightly above..." in terms of actual orders. Finally, this assumes that everyone is trading on the same timeframe. A 60 minute chart trader enters in a zone he defines as "buy" or "sell", regardless of the micro movements below him, and regardless of his size.

 

The concept seems interesting, and may be a good tool, but it isn't as simple as he leads you to believe, in my opinion. If he finds this thread, I welcome him to respond to these issues.. I'd love to be wrong about it.

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I to ran across this new indicator on Richard's site and it seems like a good idea. I follow his posts every now and then and he's really geeked about his new baby: the "Volume Splatter" indicator. Yes, it may now work well because it is so new and thus does not have a lot of back testing behind it. Yet, I'm interested in how he does it.

 

Two basic things are going on here:

 

1) Richard is splitting the different traders into three camps (small traders, medium traders and big traders). Each camp has it's own indicator window. It appears Richard is, for example, defining "big" traders as those who initiate a position with 51 or more contracts. Does anyone have an idea how this information is obtained in TradeStation with EasyLanguage? How does he split the “big” traders from the “small” or “medium” sized traders?

 

2) It then appears he takes the amount of volume to build the size of the dot or "splatter" mark for each of the appropriate camps. Once we have the different traders split apart what would be a good way to compute the size of the dot?

 

I think it’s an interesting concept but I’m not clear on how this can be done with EL. Hopefully someone with more experience in EL can help me get this started. Any ideas?

 

Thanks,

Jeff

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Guest Tresor
If there is a trial, get it and try it out for yourself. Report back on what you see.

 

Unfortunately, this indicator will be part of Elite Series (non-standard package) and cannot be trialed.

 

:doh:

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Iceberg allows big traders to hide the actual order size. But from my observation... even Iceberg orders can not conceal supply/demand entirely.

 

At key turning points, the DOM leaves a clue. Lets say the bid/ask is around 300 lot each on the ES coming down to support. The bid remains at 300... the tape shows contracts being hit at the bid. The bid falls to 80 contracts, however no matter how many sellers hit the bid the level doesnt drop. In other words, though the bid looks thin enough to get taken out it is holding. The bid is refreshing everytime to lets say around 80 lot. This is showing accumulation at that level. The true order size is hidden at the bid... but the tape is showing buying. Its probably alot better showing this visually... but hope this makes sense.

 

Also, I dont think all exchanges support Iceberg orders?

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Good post soultrader. It is true that not all exchanges support iceberg, however it doesn't need to be natively supported to be widely utilized. Brokers and various order entry frontends do simulate it.

 

Your example described above is what I term as passive buying. This is indeed how a lot of the turns occur. Recognizing it in a timely fashion I have found difficult. Its always something I notice in hindsight. I'd like to automate this somehow, but so far I haven't been able to describe it in code properly. :(

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I have always thought it would be interesting to write an indicator to look at the order book and tape compare orders filled with orders pulled ... add in ease of price movement too maybe. I have always had a hunch that seeing a level refreshed (or orders pulled) would be a good indicator of short term intent.

 

If the splatter plot simply divides by block size and then plots a suitable sized dot it should be pretty trivial to code btw.

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Guest Tresor

Maybe someone could give a try and code this?

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Unfortunately, this indicator will be part of Elite Series (non-standard package) and cannot be trialed.

 

:doh:

 

Buyer beware if there is no trial offered.

 

If this was as good as advertised, why not let someone give it a go for a week or two? If it is that good, most would surely purchase it...

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Guest forsearch

Moreover, a competent software vendor would have the ability to encrypt their source code and time-out the trial to lockout folks who didn't subscribe afterward.

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How is live testing going on this ? by the way nobody posted a link to the actual product .. I just saw the attached pictures, sorry for the dumb question...

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How is live testing going on this ? by the way nobody posted a link to the actual product .. I just saw the attached pictures, sorry for the dumb question...

 

Read first post, use google to find product. ;)

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