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UrmaBlume

Trade Intensity

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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.

 

:rofl: Oh, soooo funny. I was gonna ask Viper to just shut up since he apparently he doesn't have a clue how the market works.

 

Viper, seriously, you're confusing a limit order with a stop market order. Limit orders and market orders are fundamentally different. That's why they have different names! :crap:

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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

 

Viper, the complete post is false. Please stop spreading misinformation, there is already enough of it out there. Believe it or not, exchanges keep track of all limit orders and market orders and more information that you are probably not even aware of, which they then sell as historical data. You might not see this in real-time but they save the information.

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Isn't CurreneX for Forex only? We are talking about Futures markets here.

 

Interesting, I have been trading on the CurreneX platform for 5 years now and that is how the limit orders work, recently they have added BOB, but before this thats how it was.

 

 

The Ever Cool Viper

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What is provided officially by the CME are in the links, If you are saying there is more, well I would not doubt that for one second but as you say there is no access in realtime. So what the OP is stating is that by Volume Intensity you can see these types of trades, I differ on this but if it helps someone make a buck ok.

 

Look I don't want to start a fight, however I have been in Spot Currencies for a while now, and I am only telling how CX executes and what I have heard from full time futures traders. And yes there are super fast quants that will bite size one piece at a time. But what I doubt is that any retail trader could compete with this.

 

 

 

The Ever Somewhat Respectful VIPER

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I agree, I don't want to fight either.

 

Look I don't want to start a fight, however I have been in Spot Currencies for a while now, and I am only telling how CX executes and what I have heard from full time futures traders. And yes there are super fast quants that will bite size one piece at a time. But what I doubt is that any retail trader could compete with this.

 

Spot Forex is very different from Futures since they are not traded on an exchange (Globex is an exception but the volume is not meaningful there). You couldn't even calculate Trade Intensity with currencies since not all trades of all traders are shown.

Please ask your full time futures traders friends to explain to you how limit orders and market orders in futures markets work. And you don't need super fast quants to bite size an order, just a simple piece of code.

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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.

 

Hmm...are you sure that limit orders don't appear on the tape? That doesn't really make sense from what I understand unless you ment to say they don't apprear on the book.

I think this thread is getting quite off track. To me the two most important things here is first Urma mentioned that to trade this you need to have auto execution. I'm just really not sure what good these indicators are that have been posted unless you are looking to do algo high frequency stuff. By the time you move you mouse this stuff is already done.

Secondly, I think what we should be talking about is what level of premium triggers this. That kind of thing you might be able to gain some information on with a mouse.

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Hmm...are you sure that limit orders don't appear on the tape?

 

Yes, I am sure. Just to make things clear. I mean time & sales when I mean tape. So market orders appear in the time & sales and limit orders can be seen in the order book, but you never know the size of individual limit orders.

 

You're right. This has not much to do with the original thread, so let's stop this discussion.

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Interesting, I have been trading on the CurreneX platform for 5 years now and that is how the limit orders work, recently they have added BOB, but before this thats how it was.

 

 

The Ever Cool Viper

 

I think you are probably confusing stop and limit as was mentioned.

 

From Currenex "On the Currenex service, users can place Limit, At Best and Stop Loss orders exclusively with user-defined bank counterparties. ESP™ Limit Orders are filled automatically by the first counterparty bank to stream a price that matches the order." My bolding.

 

A limit order is an order to buy or sell an instrument at a specific price. A buy limit order can only be executed at the limit price or lower, and a sell limit order can only be executed at the limit price or higher. When you place a market order, you can't control the price at which your order will be filled.

 

Sorry to flog a dead horse :) but everyone should be crystal clear on order types.

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I've finished developing the indicator. As UrmaBlume said, there are issues with the way NinjaTrader handles Zen-Fire data. Particularly, NinjaTrader takes the Zen-Fire tick timestamps, which have microsecond precision, and reprocesses them in such a way that it ends up with second precision. But even if you can't get the real timestamps, you can record the time at which your computer receives the tick and hope that is accurate enough.

 

Through watching this indicator, I've figured out that the spikes in trade intensity represent the instantaneous distribution of contracts that extremely large traders have accumulated over a trend. They are dumping all of their contracts in the most liquid direction. That is why only some spikes lead to a reversal in the trend, while others seemingly have no effect on the ongoing trend. This makes the indicator a little hard to work with as it is not a sure-fire signal of reversal.

5aa70eca2a737_NinjaTraderChart.thumb.jpg.8f009cb3e80452950539d1e3355c0759.jpg

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I've finished developing the indicator. As UrmaBlume said, there are issues with the way NinjaTrader handles Zen-Fire data. Particularly, NinjaTrader takes the Zen-Fire tick timestamps, which have microsecond precision, and reprocesses them in such a way that it ends up with second precision. But even if you can't get the real timestamps, you can record the time at which your computer receives the tick and hope that is accurate enough.

 

Through watching this indicator, I've figured out that the spikes in trade intensity represent the instantaneous distribution of contracts that extremely large traders have accumulated over a trend. They are dumping all of their contracts in the most liquid direction. That is why only some spikes lead to a reversal in the trend, while others seemingly have no effect on the ongoing trend. This makes the indicator a little hard to work with as it is not a sure-fire signal of reversal.

 

Correct.

Yes I have coded it as well, I used my own coded platform with Zenfire feed and IQ FEED and some direct API action...

There is a way to distinguish the tree from the forest....Just concentrate on market structure and you will get it ....If you get my meaning you will add a very small math filter...

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There is a way to distinguish the tree from the forest....Just concentrate on market structure and you will get it ....If you get my meaning you will add a very small math filter...

 

Sorry, I have not gained any further insights on trade intensity from concentrating on market structure. If you would like, please explain further.

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Has anyone tried coding this up for TS?

 

I think it sounds like a very intriguing premise and one i'd like to look into further.

 

I am just digging around in the dark here trying to code it myself and not making much progress thus far.

 

I've been trying to take the number of ticks over a certain period of time and dividing them out to get a value. The higher the value, the higher the intensity?

 

Is my logic correct or am I going about this the wrong way?

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I'm just trying to replicate the Ninjatrader version people have posted and are using. I see nothing in that code or platform that TS wouldn't be able to replicate?

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Aren't there issues with TS not time stamping data properly? I think its mentioned earlier in the thread. I wrote it in Ninja as the Zenfire data feed is pretty superior to TS anyway.

 

Incidentally I empirically tested (albeit shortly) volume intensity, tick intensity and a couple of other similar themed tools and found that a time histogram with short constant volume bars gives god results. I actually preferred them.

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Has anyone tried coding this up for TS?

 

I think it sounds like a very intriguing premise and one i'd like to look into further.

I am just digging around in the dark here trying to code it myself and not making much progress thus far.

I've been trying to take the number of ticks over a certain period of time and dividing them out to get a value. The higher the value, the higher the intensity?

Is my logic correct or am I going about this the wrong way?

 

The examples posted were all taken from TradeStation. The problem with TradeStation having a time stamp that is only granular down to the minute is overcome by accessing the windows kernel.

 

Ticks are useless as they don't count volume only transactions and without volume how can you determine intensity?

 

cheers

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...I empirically tested (albeit shortly) volume intensity, tick intensity and a couple of other similar themed tools and found that a time histogram with short constant volume bars gives good results....

 

Can you post an example of what this would look like?

 

Thanks

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Here is some order size and market impact data that may be useful for tweaking the volume filters of the trade intensity indicator.

 

I love this kind of information. Please post more if someone has more information like this.

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