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UrmaBlume

Trade Intensity

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So, I was playing with this again. I'm attaching an image. The magenta is price action (each circle is a transaction--FYI: it's 5/28/2009 on the ES, basically random day), the rest is a "trade intensity" calculation I'm trying out (blue is "at the bid", cyan is "at the ask" and green is total). As you can see, it might be interesting. I marked just the 4 biggest spikes, though the others are potentially interesting as well.

 

Anyway... the trade intensity thing intrigues me, and it certainly appears worth further investigation.

 

Thanks again, UrmaBlume.

528-allday-intensity.thumb.png.325c9fa67990e32db74ba68d2ff04212.png

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  UrmaBlume said:
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

 

Would you share with me what you mean by "balance of trade"?

 

And I assume you're defining your derivatives with respect to clock time.

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For those that have been able to reverse engineer these indicators none of this will be new information. For those that are still working on it, another hint - it's not just volume or transactions over time. The calculation involves both acceleraton and deceleration as well as measures of both buying and selling.

 

While these spikes occur throughout the session they are present on almost every session extreme.

 

The session extremes on both Thursday and Friday were all FORETOLD by this measure of commercial trade;

 

On Thursday 08/27 the session low came at 0710+ and 7-8 minutes BEFORE that low there was a very intense spike in commercial buying as shown below:

 

thurslow.jpg

 

 

Some hours later, at 1144, and 1 minute before the session high there was a corresponding spike in selling:

 

thurshi.jpg

 

 

On Friday 08/28, just at the Open there was a sell spike that came some 7 minutes before and within .50 of the session high:

 

frihi.jpg

 

 

Soon after the session high there was a buy spike that offered the opportunity for a "reaction trade" of some 4-5 points:

 

friopp.jpg

 

 

Friday's session low occurred arount 0925 and was Preceded by a strong spike in intense commercial buying:

 

frilow.jpg

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Thanks for the post UB. I guess it is time for me to demonstrate my lack of understanding....if each bar of the hist (I'm not saying your hist is this, I'm just theorizing) was buy, sell, and total volume over time, then wouldn't the difference from one bar to the next, and even compared over several bars depict the acceleration and deceleration? I guess I'm not seeing how it would be incorporated into the calcs, but rather assumed it was part of the interpretation of the data presented. Am I making any sense?

 

With kind regards,

MK

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  MidKnight said:
Thanks for the post UB. I guess it is time for me to demonstrate my lack of understanding....if each bar of the hist (I'm not saying your hist is this, I'm just theorizing) was buy, sell, and total volume over time, then wouldn't the difference from one bar to the next, and even compared over several bars depict the acceleration and deceleration? I guess I'm not seeing how it would be incorporated into the calcs, but rather assumed it was part of the interpretation of the data presented. Am I making any sense?

 

 

I'm fairly sure that UB is doing this calculation as each tick comes in. Given that, the acceleration and such is calculated across ticks, not across bars. The result on the chart is a summary or result of the calculation that occurred during that bar.

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  taotree said:
I'm fairly sure that UB is doing this calculation as each tick comes in. Given that, the acceleration and such is calculated across ticks, not across bars. The result on the chart is a summary or result of the calculation that occurred during that bar.

 

taotree - absolutely correct and very well said.

 

cheers

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Cross currents from non-speculative trade can often confuse certain indicators.

 

Premium arbitrageurs don't care about trading near an extreme they care that the premiums they are trying to capture are at the proper level. Because of liquidity issues almost all of this kind of trade occurs during the day session.

 

Oftentimes during the nite session there is striking precision in the occurrence of these signals - last night was no exception:

 

precision.jpg

Edited by UrmaBlume

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Today's trade/volume (08/31) was less than 70% of normal and the range was less than half of normal.

 

In spite of that there was obvious intense commercial activity on the session extremes as well as at least 2 other points during the session.

 

The session low was made shortly after the open and the high was made on the close. The total range of the day session was only 8.25 points. In spite of that very limited range this indicator demonstrated 3 opportunities, each good for 3 - 5 points, that total more than the total range for the entire session.

 

The session low was established shortly after the open at 0652 and was foretold by a buy spike at 0630:

 

0831low.jpg

 

 

Later at 1155 came a sell spike that propelled price down to near session lows:

 

0831s1.jpg

 

 

At 1225 there was a buy spike that propelled prices to the session high on the close:

 

0831b1.jpg

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first i'd like to thank all on this tread for their contributions and ideas, especially UB for the catalyst and guidance.

 

i created a timer for trades using DateTime.Now with totalmilliseconds and ticks also to find a lot of 0 values. it looks like the minimum trade time on my machine was around 15 ms. anything under was a zero. while reading online about DateTime properties i came across another way to measure time which is much more granular. the stopwatch class. now, instead of zeros i can theoretically measure trades down to 1 tick which is 100 nanoseconds.

 

so, if zenfire is a raw feed like they claim to be, the only difference between my timestamps and the actual would be connection latency. the time difference between each trade should be the same as it was straight from the exchange.

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Hi UB,

 

When you get a chance I would be curious to see what your indicators did for ES between 1100-1200 est today 9/1/09. I have a feeling that you got some false signals.

 

Thanks in advance

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  jcash said:
i created a timer for trades using DateTime.Now with totalmilliseconds and ticks also to

 

 

use DateTime.Now.Ticks. That gives you to the 100 nanoseconds. Not that it's actually that accurate of course, but... I did some checking at the actual granularity was I think 16 microseconds or something? Can't remember exactly.

 

 

  Quote
so, if zenfire is a raw feed like they claim to be, the only difference between my timestamps and the actual would be connection latency. the time difference between each trade should be the same as it was straight from the exchange.

 

Not quite. Internet latency is not just a delay, it's a jittery delay. One packet might take 10 ms to get here, the next might take 100 ms to get here. So... Although one might expect some level of average delay to hold true in general (which also will go up and down depending on lots of factors), there will be lots of noise in that delay as well.

 

So... In reality, my guess is the error is pretty high, in the 10's of ms at least, but... I think sequence is pretty reliable since it's using tcp. And if you calculate over a number of ticks coming in, the errors should average out.

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  Mustang- said:
Hi UB,

 

When you get a chance I would be curious to see what your indicators did for ES between 1100-1200 est today 9/1/09. I have a feeling that you got some false signals.

 

Thanks in advance

 

Interesting you mention that. I would like to hear UB's take on today as well. Here is that time frame from my chart (time is pacific). Lots of spikes (down spikes generally signify a buying pressure--its backwards) along that time.

 

Interestingly, the biggest spike of the day so far for me was a sell pressure spike at 9:45 eastern. It then continued up over 5 points after that. Second highest just happened 12:22 eastern suggesting buying pressure.

 

Granted, UB includes other things in his calculation than I do at this point, and I don't think these "false" spikes are an issue for him, if they even show up as proper spikes at all.

09_09.01-spikes.thumb.png.6f0f7691de12a9ffa776ac7bd6bb818a.png

Edited by taotree

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  jcash said:
so, if zenfire is a raw feed like they claim to be, the only difference between my timestamps and the actual would be connection latency. the time difference between each trade should be the same as it was straight from the exchange.

 

Yes, but that assumes your latency is consistent - which it is not....

 

 

** Edit: I see taotree beat me to this point.

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Today's (09/02) trade in ES was very slow indeed - Considerably less than average volume and less than half of the normal range.

 

In spite of that these spikes still pointed to the 2 best trades of the day.

 

The first occurred on the session low at 0731+ PST and the second a sell near session highs at 1219 PST. Both are shown below:

 

090209sesslow.jpg

 

 

090209sell1.jpg

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The point that is missed by some, is that if you import your data into NT directly from Zen your latency really will not matter since all ticks are stamped based on exchange time and not on the time that they are received by your machine. If you process within NT you must estimate a ticks time based on the last time your machine processed a tick - which could introduce latency (up to 1 second) since you are estimating the time in which the trade occurred based on when your machine processed the data. The maximum precision of the Zenfire feed is in the milliseconds.

Edited by davewolfs

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  become said:
Yes, but without an API, how does one gain access to the ZenFire data before it is processed by NT?

 

By thinking creatively.

 

The ZenFire API is free and available to anyone who would like access.

 

From there its a matter of bringing the data into NT in the same manner that you would with any other software.

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  davewolfs said:
By thinking creatively.

 

The ZenFire API is free and available to anyone who would like access.

 

From there its a matter of bringing the data into NT in the same manner that you would with any other software.

 

Thanks for the response - I don't have trouble with creativity, but my programming skills are very ad hoc!

 

I had understood that the API wasn't available to retail clients, so I've written to my Mirus rep for more information.

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  UrmaBlume said:
Today's (09/02) trade in ES was very slow indeed - Considerably less than average volume and less than half of the normal range.

 

In spite of that these spikes still pointed to the 2 best trades of the day.

 

The first occurred on the session low at 0731+ PST and the second a sell near session highs at 1219 PST. Both are shown below:

 

090209sesslow.jpg

 

 

090209sell1.jpg

 

Yes there was good trade intensity with the trade to the 991's followed by a very nice "order flow transition". Also, that final price rotation off the 999.50 level finished with good sell response after a period of SHORT inventory accumulation;

 

Images | ChartHub.com

 

UB...I agree those were the two best trades of the day and I really like how you visualize the Transaction Level Analysis.

Edited by FulcrumTrader

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  ZOSO said:
I am also curious if this wonderful data translates into consistent profits. My intuition tells me it doesn't.

 

For what it's worth, I had important levels in the ES right at the turning points that were signaled by UB's indicator. I know too little about what he does to make a judgment...so let's see some more examples, preferably showing the whole trading session and not just the times when it worked.

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  FulcrumTrader said:
Yes there was good trade intensity with the trade to the 991's followed by a very nice "order flow transition". Also, that final price rotation off the 999.50 level finished with good sell response after a period of SHORT inventory accumulation;

 

UB...I agree those were the two best trades of the day and I really like how you visualize the Transaction Level Analysis.

 

Christopher,

 

Thank you very much for the kind words.

 

FYI another week and summer heat in Vegas will be well on its way. Should be very nice at your place by the water.

 

While we still remain between nite support and nite resistance as shown in the chart below I would not preclude a late sell-off.

 

The second chart shows the intensity spikes that occurred around the low at 0720 PST/Vegas time. Updates to these charts are posted regularly you know where.

 

e090309rpt2.jpg

 

090309intense1.jpg

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  UrmaBlume said:
Christopher,

 

Thank you very much for the kind words.

 

FYI another week and summer heat in Vegas will be well on its way. Should be very nice at your place by the water.

 

Yes indeed....Vegas will soon be very nice and I am looking forward to it! I am really looking forward to checking out City Center in November when the Online Trade Expo is going on at Mandalay....that will be very interesting to see.

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  Eiger said:
Facinating work. Thanks for posting this. Have you thought about how these traders know where to trigger their high volume trades? They must somehow know where liquidity is pooled, otherwise, (it seems to me) such high volume orders would tend to rocket price and they would be putting price up or down against thier interests.

Eiger

 

Correct.......at zones of resting inventory (areas I call Delta Zones). ;)

Edited by FulcrumTrader

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