Jump to content

Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.

  • Welcome Guests

    Welcome. You are currently viewing the forum as a guest which does not give you access to all the great features at Traders Laboratory such as interacting with members, access to all forums, downloading attachments, and eligibility to win free giveaways. Registration is fast, simple and absolutely free. Create a FREE Traders Laboratory account here.

UrmaBlume

Trade Intensity

Recommended Posts

My motivation was to understand what the approach was all about, implementing the indicator (partly for the sake of doing so) made that easier to see for myself. I quite like looking at novel approaches that meet certain criteria (which this did despite relying on an indicator!) . I don't actively look for them and my primary motivation is curiosity rather than anything to do with my own trading.

Share this post


Link to post
Share on other sites

so I change the chart I have from 2m to 1s and this is what I see. Conclusion; you still need to interpret what you are seeing. It's of nowhere near what OP's indicator caliber but it helps showewhat, thanks.

1243360166_58_UploadImage.thumb.png.ead32bedadff6b2d9180ad25106274a4.png

Share this post


Link to post
Share on other sites

Absolutely....of course that is the nature of trading regardless of approach. Tools don't make the craftsman. My grandfather was a scratch golfer and he could go round 2 under just as happily with 5 clubs as a full bag. I was grateful for that when I cadied for him :)

 

Eidt: btw the OP recommends constant volume bars for reasons described earlier in the thread.

Share this post


Link to post
Share on other sites

Nice Honvly,

 

Where they soley based of intensity or did you have S/R levels or something? Are you looking at absolute values or relative, I notice some faint grid lines on the histogram and the trades all seemed +1000.

Share this post


Link to post
Share on other sites
Some trade intensity based trades taken today:

 

Nice trades and well done. I can see why you would take every trade except the last one listed to the right of your chart. Can you say why this was taken ?

 

 

Paul

Share this post


Link to post
Share on other sites
Nice Honvly,

 

Where they soley based of intensity or did you have S/R levels or something? Are you looking at absolute values or relative, I notice some faint grid lines on the histogram and the trades all seemed +1000.

 

I was looking at absolute values >1100 yesterday. The automated trades were based on intensity filtered by high values on the unnamed indicator below that.

 

The trade on the right edge was taken because the red intensity went above 1100.

Edited by honvly

Share this post


Link to post
Share on other sites

Thanks, pretty much as I guessed. I'd be interested if you see many failures as you are watching it real time. One of the greatest drawbacks (imho) of these sorts of chart are that they are real time only so you can't study historical charts. Maybe with NT 7.0.

Share this post


Link to post
Share on other sites

Honvly I wonder if you are prepared to share the code? I never quite put the finishing touches on my version and it looks like you have. Understand if not of course.

Share this post


Link to post
Share on other sites
I just think that is an awesome indicator. Thanks for sharing your screenshots honvly. Now if only I was smart enough to convert it to .eld.... ;)

 

Here are some shots from yesterday's trade that show an upgrade to the original - both of which run in Trade Station.

 

http://www.traderslaboratory.com/forums/f34/commercials-very-active-today-filtered-intensity-6064.html#post66410

Edited by UrmaBlume

Share this post


Link to post
Share on other sites
The link appears to be broken UB, I am getting a 404?

 

Heres the real one...

 

http://www.traderslaboratory.com/forums/f34/commercials-very-active-today-filtered-intensity-6064.html

 

UrmaBlume - I know they run in TS but I belive you said you had to create a new .dll to house all of the data, etc. right?

 

Is there anyway to get a proxy of this information in a more simple, if not less accurate way?

Share this post


Link to post
Share on other sites

Here's something that bothers me does tradestation plot Constant Volume bars correctly?

 

For example with CV 100 bars. If you have a bar already with 95 contracts in and an order for 150 contracts completes will tradestation a) complete the first bar b) plot a full 100 vol bar c) start plotting an incomplete bar with 45 contracts??

 

I had a feeling it was one of these apps that stuffed everything into one bar?

Share this post


Link to post
Share on other sites
Here's something that bothers me does tradestation plot Constant Volume bars correctly?

 

For example with CV 100 bars. If you have a bar already with 95 contracts in and an order for 150 contracts completes will tradestation a) complete the first bar b) plot a full 100 vol bar c) start plotting an incomplete bar with 45 contracts??

 

I had a feeling it was one of these apps that stuffed everything into one bar?

 

They add the last trade so that sometimes the constant volume bar is a little over, if it is an especially big transaction it will print multiple bars at the same time. This has no effect on intensity if you know the true elapsed time, the true volume and apply the proper time of day normalized filters. BTW these filters also must deal with the change in buying and selling volume designation that happens on these extremes - its not just volume/time - there is much more required for optimal performance of this indicator.

Share this post


Link to post
Share on other sites
Here's something that bothers me does tradestation plot Constant Volume bars correctly?

For example with CV 100 bars. If you have a bar already with 95 contracts in and an order for 150 contracts completes will tradestation a) complete the first bar b) plot a full 100 vol bar c) start plotting an incomplete bar with 45 contracts??

I had a feeling it was one of these apps that stuffed everything into one bar?

 

 

don't know about TradeStation, but MultiCharts is doing a pretty good job: it would take the left over and use it to start the next bar.

 

You can check to see if the software is handling the volume properly by adding the volume histogram to the volume bar chart. The volume is supposed to cap at the CVB resolution.

 

 

attachment.php?attachmentid=10989&stc=1&d=1243528809

CVB.gif.67864e2d2058342607b0c9510a7b6dea.gif

Share this post


Link to post
Share on other sites
Honvly I wonder if you are prepared to share the code? I never quite put the finishing touches on my version and it looks like you have. Understand if not of course.

 

The code isn't ready to be shared, as the indicator values still seem inaccurate when compared to UrmaBlume's original. There are still too many failures to reverse, good trades below the absolute threshold, etc.

Share this post


Link to post
Share on other sites

Fair enough. I have to say I didn't post code mainly out of respect to UB's work though sent code privately to a few people.

 

I am comfortable that ninja and zenfire are getting the data that is required accurately. I would bet you a penny to a pound that it is more accurate than the TS setup. I think maybe 'accuracy' is not your issue. I wonder if what sets the OP's charts apart are filtering and smoothing? The underlying principles I think are probably well understood by people and not what's at issue.

 

My early code (which was only a proof of concept in ninja) whilst ragged looking and not as 'nice' as the originals seams to reveal the same behaviour. There will also be visual differences due to how TS plots stuff. If I get 500 contracts with the same time stamp (this could be one 500 lot or 500 one lots) NT will display this as 5 or 6 bars. I keep 'ramping up' the intensity in this case which seems appropriate behaviour if the change in time is 0. The fact that UB's charts dont have many series of bars where ohlc are all the same suggests to me TS isn't plotting correctly because they occur in Ninja and Multicharts all day long with 100 contract bars. This maybe has the effect of emphasising those high intensities in TS. Sometimes flaws in implementation produce desirable artefacts. My method of carrying over intensities emphasises them too. (i posted some charts earlier in the thread where you can see this 'sawtooth' effect).

 

Hope that made some sense (lucidity goes down hill after midnight) and might give you some things to look at.

 

btw I have mentioned before but it bears repeating...I think if you get a decent low (or zero) lag smoother you might be pretty impressed with the results. You could try Hursts or one of Ehlers maybe. My hunch is that might be the 'secret sauce', mind you a dull old ema would probably do.

Share this post


Link to post
Share on other sites

Sorry I'm late to this party, I'm just now looking at this thread. It makes me think: if my assumption is that a market player is 'pulsing' the market with orders to hide their considerable volume, then:

 

1) Intensity would be high (contracts/time)

2) total pulsed volume would be high (otherwise who cares?)

3) total pulsed volume would be largely directional (mostly upticks or mostly downticks)

 

(doesn't that seem sensible, or am I missing the point?)... so any algorithm I'd devise would combine the 3 factors.

 

so maybe... volume/time is intensity... and if I post-process the 'pulsy' trades, then: some variation of volume^2/time would highlight high volume 'pulses' over low volume ones... and if I change it to (volume*(upvol-downvol))/time it would be similar to volume^2/time in amplitude if the pulse is highly directional, and diminished if it is a mix of buys and sells.

 

I don't know, just thinking out loud. I may just try it, sometime.

 

 

(and yeah, it sucks that TS doesn't split trades for their volume bars like the rest of the world... it causes our users all kinds of "my chart doesn't look like your ninja chart" anxiety)

Share this post


Link to post
Share on other sites
Sorry I'm late to this party, I'm just now looking at this thread. It makes me think: if my assumption is that a market player is 'pulsing' the market with orders to hide their considerable volume, then:

 

1) Intensity would be high (contracts/time)

2) total pulsed volume would be high (otherwise who cares?)

3) total pulsed volume would be largely directional (mostly upticks or mostly downticks)

 

(doesn't that seem sensible, or am I missing the point?)... so any algorithm I'd devise would combine the 3 factors.

 

so maybe... volume/time is intensity... and if I post-process the 'pulsy' trades, then: some variation of volume^2/time would highlight high volume 'pulses' over low volume ones... and if I change it to (volume*(upvol-downvol))/time it would be similar to volume^2/time in amplitude if the pulse is highly directional, and diminished if it is a mix of buys and sells.

 

I don't know, just thinking out loud. I may just try it, sometime.

 

 

(and yeah, it sucks that TS doesn't split trades for their volume bars like the rest of the world... it causes our users all kinds of "my chart doesn't look like your ninja chart" anxiety)

 

A couple of points:

 

First you are getting close, we describe this indicator as:

 

When taken in combination, the acceleration and deceleration of buying and selling volumes, total volume and the velocity/rate of change in the balance of trade reveal a certain dynamic that we find present at many, if not most, intra-session extremes. While these indications occur throughout the session, here are some shots of session extremes from 6/18 in ES.

 

Second there is a very strange dynamic that occurs on the extremes that throws your thoughts about Up/Dn into confusion. This dynamic is not present elsewhre throughout the sesssion and is concerned with auto executions.

 

Here is a shot of the session low and the session high from 6/18.

 

BTW - it makes no difference how TS or anybody else breaks up the volume bars as while the chart is presented on a 1k contract price bar chart the data for the indicator comes from elsewhere.

 

Also BTW RichardTodd - I used to live in Dalls (worked in Lincoln center at LBJ & Tollway) and would love to go back just to eat - The Blue Goose, Snuffers, The Riveria, The Mansion at Turtle Creek, Campesi's, and of course Sonny Bryan's.

 

618Lo.jpg

 

 

618Hi.jpg

Edited by UrmaBlume

Share this post


Link to post
Share on other sites
Sorry I'm late to this party, I'm just now looking at this thread. It makes me think: if my assumption is that a market player is 'pulsing' the market with orders to hide their considerable volume, then:

 

1) Intensity would be high (contracts/time)

2) total pulsed volume would be high (otherwise who cares?)

3) total pulsed volume would be largely directional (mostly upticks or mostly downticks)

 

(doesn't that seem sensible, or am I missing the point?)... so any algorithm I'd devise would combine the 3 factors.

 

so maybe... volume/time is intensity... and if I post-process the 'pulsy' trades, then: some variation of volume^2/time would highlight high volume 'pulses' over low volume ones... and if I change it to (volume*(upvol-downvol))/time it would be similar to volume^2/time in amplitude if the pulse is highly directional, and diminished if it is a mix of buys and sells.

 

I don't know, just thinking out loud. I may just try it, sometime.

 

 

(and yeah, it sucks that TS doesn't split trades for their volume bars like the rest of the world... it causes our users all kinds of "my chart doesn't look like your ninja chart" anxiety)

 

Richard,

I've started working on this as well (and was going to post about being 'late to the party' too!).

 

My first step was to measure n volume over time, currently using a static value for n. On some days this alone produces useful signals, more often far too many signals.

 

Step 2 (which I'm just starting) is to measure tick velocity, with some sort of size filter, and see how that corresponds to and interacts with the first method.

 

UrmaBlume refers to a strange dynamic at the extremes; it seems that those spikes are often marked by huge disparities between bid/ask hits, with the relation opposite to what one might expect. Many contracts are hitting the offer toward and at the high, but the offer is being replenished. Once the buy orders are exhausted, price starts to drift down, and gradually picks up speed...but I think there's more to it than this.

 

A good deal can actually be seen on a volume chart with a standard velocity histogram (1/(t2-t1)), but keeping the measure independent of the bars means provides more precision, and makes it independent of the particular chart used for display.

 

UrmaBlume, thanks for your post, and please feel free to correct or comment on mine!

Share this post


Link to post
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.
Note: Your post will require moderator approval before it will be visible.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.


  • Topics

  • Posts

    • NFLX Netflix stock watch, local support and resistance areas at 838.12 and 880.5 at https://stockconsultant.com/?NFLX
    • NFLX Netflix stock watch, local support and resistance areas at 838.12 and 880.5 at https://stockconsultant.com/?NFLX
    • Hello citizens of the U.S. The hundred year trade war has leaked over into a trading war. Your equity holdings are under attack by huge sovereign funds shorting relentlessly... running basically the opposite of  PPT operations.  As an American you are blessed to be totally responsible for your own assets - the govt won’t and can’t take care of you, your lame ass whuss ‘retail’ fund managers go catatonic  and can't / won’t help you, etc etc.... If you’re going to hold your positions, it’s on you to hedge your holdings.   Don’t blame Trump, don’t blame the system, don’t even blame the ‘enemies’ - ie don’t blame period.  Just occupy the freedom and responsibility you have and act.  The only mistake ‘Trump’ made so far was not to warn you more explicitly and remind you of your options to hedge weeks ago.   FWIW when Trump got elected... I also failed to explicitly remind you... just sayin’
    • Date: 7th April 2025.   Asian Markets Plunge as US-China Trade War Escalates; Wall Street Futures Signal Further Turmoil.   Global financial markets extended last week’s massive sell-off as tensions between the US and its major trading partners deepened, rattling investors and prompting sharp declines across equities, commodities, and currencies. The fallout from President Trump’s sweeping new tariff measures continued to spread, raising fears of a full-blown trade war and economic recession.   Asian stock markets plunged on Monday, extending a global market rout fueled by rising tensions between the US and China. The latest wave of aggressive tariffs and retaliatory measures has unnerved investors worldwide, triggering sharp sell-offs across the Asia-Pacific region.   Asian equities led the global rout on Monday, with dramatic losses seen across the region. Japan’s Nikkei 225 index tumbled more than 8% shortly after the open, while the broader Topix fell over 6.5%, recovering only slightly from steeper losses. In mainland China, the Shanghai Composite sank 6.7%, and the blue-chip CSI300 dropped 7.5% as markets reopened following a public holiday. Hong Kong’s Hang Seng Index opened more than 9% lower, reflecting deep concerns about escalating trade tensions.           South Korea’s Kospi dropped 4.8%, triggering a circuit breaker designed to curb panic selling. Taiwan’s Taiex index collapsed by nearly 10%, with major tech exporters like TSMC and Foxconn hitting circuit breaker limits after each fell close to 10%. Meanwhile, Australia’s ASX 200 shed as much as 6.3%, and New Zealand’s NZX 50 lost over 3.5%.   Despite the escalation, Beijing has adopted a measured tone. Chinese officials urged investors not to panic and assured markets that the country has the tools to mitigate economic shocks. At the same time, they left the door open for renewed trade talks, though no specific timeline has been set.   US Stock Futures Plunge Ahead of Monday Open   US stock futures pointed to another brutal day on Wall Street. Futures tied to the S&P 500 dropped over 3%, Nasdaq futures sank 4%, and Dow Jones futures lost 2.5%—equivalent to nearly 1,000 points. The Nasdaq Composite officially entered a bear market on Friday, down more than 20% from its recent highs, while the S&P 500 is nearing bear territory. The Dow closed last week in correction. Oil prices followed suit, with WTI crude dropping over 4% to $59.49 per barrel—its lowest since April 2021.   Wall Street closed last week in disarray, erasing more than $5 trillion in value amid fears of an all-out trade war. The Nasdaq Composite officially entered a bear market on Friday, sinking more than 20% from its recent peak. The S&P 500 is approaching bear territory, and the Dow Jones Industrial Average has slipped firmly into correction territory.   German Banks Hit Hard Amid Escalating Trade Tensions   German banking stocks were among the worst hit in Europe. Shares of Commerzbank and Deutsche Bank plunged between 9.5% and 10.3% during early Frankfurt trading, compounding Friday’s steep losses. Fears over a global trade war and looming recession are severely impacting the financial sector, particularly export-driven economies like Germany.   Eurozone Growth at Risk   Eurozone officials are bracing for economic fallout, with Greek central bank governor Yannis Stournaras warning that Trump’s tariff policy could reduce eurozone GDP by up to 1%. The EU is preparing retaliatory tariffs on $28 billion worth of American goods—ranging from steel and aluminium to consumer products like dental floss and luxury jewellery.   Starting Wednesday, the US is expected to impose 25% tariffs on key EU exports, with Brussels ready to respond with its own 20% levies on nearly all remaining American imports.   UK Faces £22 Billion Economic Blow   In the UK, fresh research from KPMG revealed that the British economy could shrink by £21.6 billion by 2027 due to US-imposed tariffs. The analysis points to a 0.8% dip in economic output over the next two years, undermining Chancellor Rachel Reeves’ growth agenda. The report also warned of additional fiscal pressure that may lead to future tax increases and public spending cuts.   Wall Street Braces for Recession   Goldman Sachs revised its US recession probability to 45% within the next year, citing tighter financial conditions and rising policy uncertainty. This marks a sharp jump from the 35% risk estimated just last month—and more than double January’s 20% projection. J.P. Morgan issued a bleaker outlook, now forecasting a 60% chance of recession both in the US and globally.   Global Leaders Respond as Trade Tensions Deepen   The dramatic market sell-off was triggered by China’s sweeping retaliation to a new round of US tariffs, which included a 34% levy on all American imports. Beijing’s state-run People’s Daily released a defiant statement, asserting that China has the tools and resilience to withstand economic pressure from Washington. ‘We’ve built up experience after years of trade conflict and are prepared with a full arsenal of countermeasures,’ it stated.   Around the world, policymakers are responding to the growing threat of a trade-led economic slowdown. Japanese Prime Minister Shigeru Ishiba announced plans to appeal directly to Washington and push for tariff relief, following the US administration’s decision to impose a blanket 24% tariff on Japanese imports. He aims to visit the US soon to present Japan’s case as a fair trade partner.   In Taiwan, President Lai Ching-te said his administration would work closely with Washington to remove trade barriers and increase purchases of American goods in an effort to reduce the bilateral trade deficit. The island's defence ministry has also submitted a new list of US military procurements to highlight its strategic partnership.   Economists and strategists are warning of deeper economic consequences. Ronald Temple, chief market strategist at Lazard, said the scale and speed of these tariffs could result in far more severe damage than previously anticipated. ‘This isn’t just a bilateral conflict anymore — more countries are likely to respond in the coming weeks,’ he noted.   Analysts at Barclays cautioned that smaller Asian economies, such as Singapore and South Korea, may face challenges in negotiating with Washington and are already adjusting their economic growth forecasts downward in response to the unfolding trade crisis.           Oil Prices Sink on Demand Concerns   Crude oil continued its sharp slide on Monday, driven by recession fears and weakened global demand. Brent fell 3.9% to $63.04 a barrel, while WTI plunged over 4% to $59.49—both benchmarks marking weekly losses exceeding 10%. Analysts say inflationary pressures and slowing economic activity may drag demand down, even though energy imports were excluded from the latest round of tariffs.   Vandana Hari of Vanda Insights noted, ‘The market is struggling to find a bottom. Until there’s a clear signal from Trump that calms recession fears, crude prices will remain under pressure.’   OPEC+ Adds Further Pressure with Output Hike   Bearish sentiment intensified after OPEC+ announced it would boost production by 411,000 barrels per day in May, far surpassing the expected 135,000 bpd. The alliance called on overproducing nations to submit compensation plans by April 15. Analysts fear this surprise move could undo years of supply discipline and weigh further on already fragile oil markets.   Global political risks also flared over the weekend. Iran rejected US proposals for direct nuclear negotiations and warned of potential military action. Meanwhile, Russia claimed fresh territorial gains in Ukraine’s Sumy region and ramped up attacks on surrounding areas—further darkening the outlook for markets.   Always trade with strict risk management. Your capital is the single most important aspect of your trading business.   Please note that times displayed based on local time zone and are from time of writing this report.   Click HERE to access the full HFM Economic calendar.   Want to learn to trade and analyse the markets? Join our webinars and get analysis and trading ideas combined with better understanding of how markets work. Click HERE to register for FREE!   Click HERE to READ more Market news.   Andria Pichidi HFMarkets   Disclaimer: This material is provided as a general marketing communication for information purposes only and does not constitute an independent investment research. Nothing in this communication contains, or should be considered as containing, an investment advice or an investment recommendation or a solicitation for the purpose of buying or selling of any financial instrument. All information provided is gathered from reputable sources and any information containing an indication of past performance is not a guarantee or reliable indicator of future performance. Users acknowledge that any investment in Leveraged Products is characterized by a certain degree of uncertainty and that any investment of this nature involves a high level of risk for which the users are solely responsible and liable. We assume no liability for any loss arising from any investment made based on the information provided in this communication. This communication must not be reproduced or further distributed without our prior written permission.
    • AMZN Amazon stock watch, good buying (+313%) toi hold onto the 173.32 support area at https://stockconsultant.com/?AMZN
×
×
  • Create New...

Important Information

By using this site, you agree to our Terms of Use.