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UrmaBlume

Trade Intensity

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Here are 2 indicators I managed to get working over the weekend.

 

TickPerSecond_Counter counts the ticks that happened each second, only useful on bars that update quicker that once per second. eg: a 1 tick chart. It gives a saw tooth pattern that covers a 1 second interval.

 

 

TickPerSecond_MAX_Counter also counts the ticks that happened each second, but only displays the highest value it counted per second that happened over the period of 1 bar. This is the one to use on bars that take longer that 1 second to complete.

 

I have only checked them on Replay Mode over the weekend with a quick try on live data just now, but they seem ok.

 

You can ignore the standard BuySell volume indicator I have on the chart, or not :-), one thing I noticed is on a high intensity spike where most of the BuySell bars are RED for that 1 second, price rises soon after.

These indicators will only display on live data and going forwards in time, they do not display on historical data. They also work in Replay but only correctly if at 1x speed as they use the PC clock for timing. I do not yet know what will happen if your PC gets very busy.

 

Dean.

TicksPerSecond_v1.zip

Indicators1.thumb.png.ce505fdf94dab6ae240f313e95991de0.png

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These indicators will only display on live data and going forwards in time, they do not display on historical data. They also work in Replay but only correctly if at 1x speed as they use the PC clock for timing. I do not yet know what will happen if your PC gets very busy.

 

Dean.

 

Cool, look forward to messing with these tomarrow..On a down note in reference to the above I read today on the ninja forums the 7 beta is delayed until the second quarter now...dohhh.

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Please move all of your stuff to the Automated Trading Forum.

We don't need any "Proprietary" , " not for sale in a million years" kind of indicators in the Technical Analysis Forum

 

Actually I have to disagree...but I guess that's the nature of forums :) I have managed to recreate all but one of the tools presented (Oh and obviously not the dashboard - however it seems kind of obvious what that is displaying). Maybe I shouldn't have said that I don't want to get UB in trouble with his partners.

 

Point number 2 is that these could as easily be used as decision support tools as they could for trading automated.

 

Finally, whilst I was sceptical (like most) at first there is quite a lot of information presented in these threads for those prepared to 'read between the lines' a little.

 

Just my :2c: each to there own of course :)

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Guys, please stop this. There is really no sense in arguing on an anonymous forum. We don't want this to turn into ET.

 

Actually I already had my 2c but this should be quoted for truth. +1 from me

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Actually I have to disagree...but I guess that's the nature of forums :) I have managed to recreate all but one of the tools presented (Oh and obviously not the dashboard - however it seems kind of obvious what that is displaying). Maybe I shouldn't have said that I don't want to get UB in trouble with his partners.

 

Point number 2 is that these could as easily be used as decision support tools as they could for trading automated.

 

Finally, whilst I was sceptical (like most) at first there is quite a lot of information presented in these threads for those prepared to 'read between the lines' a little.

 

Just my :2c: each to there own of course :)

 

Well , Deanz certainly agree with you, and he also see my point. That is because he is a brilliant guy(or gal ?) . He just coded some useful ninjacript and I have not seen you and Darth bother to thank him .

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He just coded some useful ninjacript and I have not seen you and Darth bother to thank him .

 

Well if you notice I've never thanked anyone :)

My experience with rating systems in online communities is they simply reinforce the status quo while pushing new and interesting stuff to the back of the line.

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Well , Deanz certainly agree with you, and he also see my point. That is because he is a brilliant guy(or gal ?) . He just coded some useful ninjacript and I have not seen you and Darth bother to thank him .

 

OAC Having completely coded the trade intensity indicator to my satisfaction some time ago I didn't pay too much attention to Deanz post ...sorry Deanz, but respect to you for getting your sleeves rolled up mate, the only way to learn imho, good job.

 

Maybe you missed that OAC, read more carefully? If you look earlier in the thread (I think it was this one) I showed the Ninja constructs I used. I don't know ninja or C sharp but had it done in a couple of hours, not because I am smart but because its straight forward if you bother to a) read the thread carefully and b) apply yourself to the job. I posted a couple of charts that showed the output with peak trade intensity (unsmoothed...they need smoothing imho). The real deal no approximations works on any bar type any magnitude. I guess you did miss that OAC feel free to add thanks :).

 

I have shared some code snipets with those that have asked by PM,but out of respect to UB I have not posted them here or given out complete indicators.

 

OAC read more carefully mate all the information is here its not really that hard to find however if you want specific assistance ask. However it seems that you don't and just wanna blow steam what with your shouting (huge bold caps) and childish posturing. Really ET is a much better venue for that. I have always enjoyed interactions with you in the past so I am surprised by these outbursts, there have been a couple recently. Seriously mate if you find no interest here just put the thread on ignore. There are clearly people that are interested. Chill :cool:.

 

As for me, anything that attempts to quantify "buying/selling" pressure" in a meaningful way has my interest. Mainly because I am too old and too slow to see it when I sit staring at the time and sales and DOM.

 

Cheers.

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I would like to thank everyone on behalf of everyone for sharing information, indicators, charts and opinion so everyone can feel good about himself or herself, and so we can finally stop this childish "oh, see what i have done, you haven't done anything, so who are you to comment?". Seriously, this is not even funny anymore.

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Good, let Urma prove me wrong. As someone already said: Time will tell.

But at this point I am just bothered by his behavior of keeping creating new threads and ignore many questions addressed to him in other threads. The every first question asked on his very first thread was what datafeed he uses. I am still waiting.......

 

I am about done with jerk offs like u that know nothing and contribute nothing. So tell your boss to ban me or let him know that I ask u to f*ck off dummy.

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I am about done with jerk offs like u that know nothing and contribute nothing. So tell your boss to ban me or let him know that I ask u to f*ck off dummy.

Good luck to your future endeavors. On behalf of the members here, I want to thank you for bringing a few insights that had seemed to stimulated some new thinking among our members. If we make any major discoveries here, I will make sure that we relate them to you.

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Deanz,

 

Could I ask you a question. Im only a newbie at all this stuff but wanted to ask you about the resolution of the chart you posted with Ninja ( 6E 03 09). The two indicators below your candle stick chart seem to have a much higher resolution than that of the bars in the chart? Is this something Ninja can do or is it something special you created ?

Ive been looking for a charting package that could do this for another idea to do with different time frames .

 

Any help would be great.

 

Thank you

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Deanz,

 

Could I ask you a question. Im only a newbie at all this stuff but wanted to ask you about the resolution of the chart you posted with Ninja ( 6E 03 09). The two indicators below your candle stick chart seem to have a much higher resolution than that of the bars in the chart? Is this something Ninja can do or is it something special you created ?

Ive been looking for a charting package that could do this for another idea to do with different time frames .

 

Any help would be great.

 

Thank you

 

Sure, it's a 10 Volume or Contract, chart. The indicator counts how many trades/ticks happen in 1 second, each saw tooth pattern on the middle indicator is 1 second and looking at the scale on the right there were about 100 trades in each of those 3 large teeth. I had help making those indicators from one of the moderators at the ninja forum, they are quite helpful guys.

 

From counting those bars there looks to be about 15 in that last big tooth which equals 150 contracts made from 100 trades so each trade was only between 1 and 2 contracts, very small trades fired off very rapidly, which is what the starter of this thread kindly wanted to point out to us.

 

Dean.

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Oh I think I misunderstood your question, you mean can Ninja produce 2 or more plots on the histogram for only 1 bar on the chart, sorry I do not know the answer, my chart is actually very compressed but there is one place where 4 candle tails are next to each other and they are the same exact spacing as the histogram, so it's just an illusion in this case.

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Oh I think I misunderstood your question, you mean can Ninja produce 2 or more plots on the histogram for only 1 bar on the chart, sorry I do not know the answer, my chart is actually very compressed but there is one place where 4 candle tails are next to each other and they are the same exact spacing as the histogram, so it's just an illusion in this case.

 

So if you expand the chart there is only one bar of the histogram for each candle ?

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Deanz,

 

Ive been looking for a charting package that could do this for another idea to do with different time frames .

 

Ninja can do different time frames but its more of a work around plotting right now. There is an indicator that is easy to setup a 1 minute candle chart on the top pane then a 30 minute candle chart on the bottom.

However if you wanted to do a 1 minute candle on top, a 5 minute MACD under that and a 15 minute volume delta under that there are no settngs on the chart to just type in 1 minute for this, 5 minutes for that, 15 minutes for the next thing..you would have to program those yourself. The chart itself is set to a certain amount of time/ticks/volume/range then you would have to multiply/divide/count your way out of that with the other indicators.

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Folks, Hello. It seems to me all you are trying to do here is detect an iceberg order. All high end execution platforms have a feature for iceberging or "berging" an order, nothing special about it. I am not sure if you can find it in a retail Futures platform though.

 

As far as how helpful this would be to a retail trader, I don't know, for instance a large player could just be dumping at a certain price, and if you are in a trend the trend will stall and then continue, or there could be genuine buying at a certain price and you get the start of a trend or maybe a trend reversal, and obviously the same is true with selling. So you would have to know the motivation of the size to be certain of the direction.

 

Now Spot Currency is another animal completely, on the high end order systems, like CurreneX, you have RFQ and RFT, the traders talk to one another by chat. I won't get into all the abbreviations and traderspeak, but the reality is one asks for a quote and size, the other responds, and then the seller puts up the size in an iceberg. Lets say 500 million units, they will specify to the platform a size of 10 million, next they will push a button and you will see continual trades of 10 million on your DOM or L2 (whatever you want to call it), until he reaches 500 million, and then they vanish just like the wind.

 

Again how helpful this could be I don't know, but the first time you see it, you can't help but be impressed.

 

The Ever Helpful VIPER

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No Viper, I think you are confusing the iceberg orders and what trade intensity is trying to detect. Iceberg orders are limit orders that where only part of the order is placed in the order book / L2 (thus only the "tip of the iceberg" is seen) and the orders are 'refilled' when they are traded until the desired size is executed.

 

Trade Intensity detects market orders that were split up to disguise the actual size of a big market order.

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Makes sense to me...

 

if I am not misstaken this kind of orders were seen

very frequently in the weeks of 7-17 Okt. not seen so freqeuently

often like this now only occassionly occouring and price move.

 

Price moved in a few minutes very small distances but very clear in one and only one direction .... 30-50-70 Points. And with

high speed . 1-3 points distance ....again and again and again ....very very often one after the other...you could here your PC

very busy calculating all the data coming in ...

 

somwhat musst have pushed the price in a totally different way

 

cheers

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No Viper, I think you are confusing the iceberg orders and what trade intensity is trying to detect. Iceberg orders are limit orders that where only part of the order is placed in the order book / L2 (thus only the "tip of the iceberg" is seen) and the orders are 'refilled' when they are traded until the desired size is executed.

 

Trade Intensity detects market orders that were split up to disguise the actual size of a big market order.

 

Hi AgeKay,

 

I don't understand your distinction here. Limit buy orders can appear on the offer and still be icebergs. They would appear on the tape as if they were market orders but one cannot assume they are.

 

With kind regards,

MK

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Hi AgeKay,

 

I don't understand your distinction here. Limit buy orders can appear on the offer and still be icebergs. They would appear on the tape as if they were market orders but one cannot assume they are.

 

With kind regards,

MK

 

The distinction is limit orders vs. market orders. Limit orders do not appear on the tape, ever. You never know the actual size of the limit order that sits in the order book. One could place a 1000 contract order or ten orders of 100 contracts. Looks exactly the same. It could be one trader with an iceberg order or other traders that place their limit orders when the best bid or ask is taken out. You never actually know whether it is an iceberg order or not and how big it actually was since it is impossible to detect while automated trading that splits up a large market order in several smaller market orders is possible to detect.

 

That's the difference.

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Ahhh, the plot thickens. Hehehehe

 

1. The standard Limit order is basically a Market order with a trigger. In other words once the price is hit, the platform will send out a market order. In a normal market this is usually not a problem, but in a fast market you can get massive slippage, the same as a manually entered Market order. Some platforms like CurreneX now have "Best or Better" but that is a totally different subject.

 

2. As far as what kind of order can been seen on the "time and sales", I believe that you only will see that recorded on your trade blotter. Furthermore it is my observation that exchanges do not record what type of order was placed on the "official" record, only time, size, bid, ask, cancellation, etc. All they want to keep track of is the transaction, that was completed on their exchange. Orderes do not "rest" on their servers, only on the brokers servers, then from the broker they are transmitted to the exchage.

 

Without spending any $$$ you can go here and see what I mean. http://www.cmegroup.com/market-data/datamine-historical-data/timeandsales.html

 

This FAQ helps to see what is incuded in the book Data http://www.cme.com/files/historicaldataFAQ.pdf

 

The More You Know The More You Grow VIPER

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Ahhh, the plot thickens. Hehehehe

 

1. The standard Limit order is basically a Market order with a trigger. In other words once the price is hit, the platform will send out a market order. In a normal market this is usually not a problem, but in a fast market you can get massive slippage, the same as a manually entered Market order. Some platforms like CurreneX now have "Best or Better" but that is a totally different subject.

 

If this is how your trading platform works, then you need to get a new trading platform as this is not how limit orders work.

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