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UrmaBlume

Trade Intensity

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The Force is what gives a Trader his power. It's an energy field created by all living things. It surrounds us and penetrates us. It binds the Markets together...

 

May the force be with you, my son.

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Indeed, the question Is how much of a turn do you need to see to confirm a change in the force .....err I mean flow (old starwars habits die hard). :)

 

Personally, I don't think its about confirming the change in force. I believe cum delta is about comparing price swings to previous price swings. Does this HH have a higher delta than the previous HH? Does this HL have a higher delta Then the previous HL? What happens when you get a LL but delta has a HL and vice versa? Works on all timeframes :).

 

 

http://www.sierrachart.com/userimages/upload_2/1253202337_83_UploadImage.png

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Today's much stronger than normal selling by commercials in the NASDAQ 100 is noted is a screen shot below.

 

While there is debate about the worth of cumulative market delta, the market delta footprint and pools of liquidity, NONE of them have anything to do with the dynamics that form the local extremes noted by this indicator.

 

This trade is not about someone responding to a liquidity pool it is about a response that simply overwhelms local trade. In the most liquid instruments this is usually a computer driven response to a price trigger.

 

091709rpt3.jpg

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I'd like to congratulate UrmaBlume for providing useful information and discussion with other traders and thus withdraw my suspicions and comments about his motivations in posting on the board. For the record - I guess I apologize :)

 

Thank you Kiwi - I am sorry for whatever I said that set you off and again - thanks.

 

From the thanks, emails, and PMs I get, I do feel I have made a contribution here and I accept your apology, I guess, lol.

 

Some time ago I was lucky enough to spend a few weeks down under. Spent a week diving off Cairns and a week in the bars in Sydney - loved every minute of it.

 

cheers

 

UrmaBlume

Edited by UrmaBlume

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UrmaBlume

 

Hi, I have 2 questions about your trade intensity indicator (I am trying to develop my own)

 

1. On the ES do you filter to only plot intensity of trades above a certain # of contracts, or is this not important because only the speed in which the trades are traded matters, or would all the retail traders who just happen to be trading as well make the number artificially higher? And if you don't mind could you share your thoughts on this.

2. Do you ever use a longer term chart? If not, why?Thanks for inspiring thought that goes far deeper than what is normally found on trading forums. If you do not want to answer that is fine, I know it is proprietary.

 

Good Trading,

Chris

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UrmaBlume Hi, I have 2 questions about your trade intensity indicator (I am trying to develop my own) 1. On the ES do you filter to only plot intensity of trades above a certain # of contracts, or is this not important because only the speed in which the trades are traded matters, or would all the retail traders who just happen to be trading as well make the number artificially higher? And if you don't mind could you share your thoughts on this. 2. Do you ever use a longer term chart? If not, why?Thanks for inspiring thought that goes far deeper than what is normally found on trading forums. If you do not want to answer that is fine, I know it is proprietary. Good Trading, Chris

 

Chris,

 

Thank you very much for the kind words in your PM.

 

1. We pay no attention to size. We do pay attention to velocities - both accelerations and decelerations - all in the millisecond time frame.

 

2. All of our traders have at least six screens. This indicator in ES is most always on a 1k chart - it is on a much smaller chart for NQ & YM. While most of our exectutions are in even shorter time frames we post this indicator to the time frame that works best for the particular market and execute in the time frame where we can best take advantage of the information from all our screens.

 

setup.jpg

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There was very strong very well coordinated commercial selling in today's (09/17)equity markets which can be seen here.

 

Today in the ES this indicator gave up 3 really good trades, 2 Sells and a Buy, times are PST:

 

091709rpt6.jpg

 

091709rpt10.jpg

 

091709rpt9.jpg

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Today in the ES this indicator gave up 3 really good trades, 2 Sells and a Buy, times are PST:

 

UrmaBlume,

 

You always mention entrances in connection with this indicator. Do you use it at all for exits? I ask because today there was no reason to exit that move starting ca. 11:29 until ca. 12:46, when there was a smaller but clear intensity spike indicating an exit or reverse was in order.

 

Unfortunately I lost my internet connection for a while and my version of the Intensity indicator vanished with it, but you can still see the spike fairly well in the 'standard' velocity histogram in the attached.

 

Thanks again for the pics, and for the ideas. This definitely helps me 'carve the turns' at times.

5aa70f2811cec_Intensityspikes.JPG.4aecaee5ceb6cdd7757d2e31d339532d.JPG

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UrmaBlume, I have your indicator working now. The way you plot your line is interesting, from what I can see the line you draw on your intensity has a min value of the total intensity and then is scaled upwards from that based on the rate of change between each blue bar - which based on my observations are trades that are happening at the ask.

 

One question for you. Is there a way to determine an ideal periodicity to use for a market. I've also noticed that this works much better in the ES then in other markets.

 

A side note for prospective users, my observations find that this indicator works best if you simply use it as a guide to determine possible changes in market direction. I do not enter based on this indicator, but I do trade using price action so once my existing strategies indicate that an opportunity exists I will go with the trade.

 

Today there were buy spikes at: 9:59, 10:38-10:42, 12:00, 12:21

 

Sell at: 10:17, 12:00

 

Of these spikes, 3 were followed by decent entries and those entries occurred on the biggest of the spikes..

 

Thank you UrmaBlume.

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UrmaBlume, I have your indicator working now. The way you plot your line is interesting, from what I can see the line you draw on your intensity has a min value of the total intensity and then is scaled upwards from that based on the rate of change between each blue bar - which based on my observations are trades that are happening at the ask. One question for you. Is there a way to determine an ideal periodicity to use for a market. I've also noticed that this works much better in the ES then in other markets. A side note for prospective users, my observations find that this indicator works best if you simply use it as a guide to determine possible changes in market direction. I do not enter based on this indicator, but I do trade using price action so once my existing strategies indicate that an opportunity exists I will go with the trade.

Today there were buy spikes at: 9:59, 10:38-10:42, 12:00, 12:21Sell at: 10:17, 12:00Of these spikes, 3 were followed by decent entries and those entries occurred on the biggest of the spikes..Thank you UrmaBlume.

 

 

Congratulations Dave. I applaud your efforts. Posts from guys like you who are smart enough and willing enough to do this work for themselves are so much more uplifting to the community than the never contribute, always knocking, intellectually bankrupt perpetual code leeches.

 

Funny you should mention the lack of efficacy in other markets. We find the opposite is true. We find that the indicator works better in almost every market other than the S&P, especially the overseas markets. Below is a shot of both intensity and money flow in this mornings trade in Soybeans (09/23) this market is another measure of inflation.

 

I believe the few remaining issues with your work are 1) missing inputs 2) missing parameters and 3) parameters incorrectly optimized for different markets.

 

Good Luck with your quest and congratulations on your progress.

 

beans0923.jpg

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I know that book... I have a copy somewhere... let me see...

 

Nothing gets by you Tams. Did you really buy one? I didn't know that you are a poker player, seems so many of the best ones here, are.

 

Working on the next one, market related, let me know if you would like to see some early peeks.

 

cheers

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Can I ask what software that was programmed in? Obviously we can't replicate this in TS due to datafeed restrictions. Just curious what you were using to code it up in?

 

This particular version was indeed written in Easy Language for Trade Station. We have our own dlls that allow us to use Trade Station data with much greater time granularity than is normally allowed.

 

At the very top of today's market higher prices attracted very strong, coordinated commercial selling in all three US traded equity futures. This charts shows all three futures and the spikes that drove all three futures to new session lows and formed a reversal day down on higher than normal volume.

 

092309rpt4.jpg

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Nothing gets by you Tams. Did you really buy one? I didn't know that you are a poker player, seems so many of the best ones here, are.

 

Working on the next one, market related, let me know if you would like to see some early peeks.

 

cheers

 

 

no, I am not a poker player... don't ask me why I have the book... I have to dig it up from the basement and read it now.

 

yes... I would be interested in an early peek of your next work... but I am still working on this one...

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This particular version was indeed written in Easy Language for Trade Station. We have our own dlls that allow us to use Trade Station data with much greater time granularity than is normally allowed.

 

At the very top of today's market higher prices attracted very strong, coordinated commercial selling in all three US traded equity futures. This charts shows all three futures and the spikes that drove all three futures to new session lows and formed a reversal day down on higher than normal volume.

 

092309rpt4.jpg

 

There was definitely blood in the streets today :) For those who follow PA (see the Brooks thread), UrmaBlume's chart was confirmed by a perfect final flag on the 5 minute bar chart. The pulses that occurred at 14:50 - 14:55 were small but sells and there were significant spikes as the market dropped to the 20 bar EMA.

 

My personal favorite occurred when pulses start firing again between 14:56 and 14:58 causing a pullback. The 15:08 pulse was the final nail in the coffin and confirmed the L1 entry where the market tumbled there after.

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This particular version was indeed written in Easy Language for Trade Station. We have our own dlls that allow us to use Trade Station data with much greater time granularity than is normally allowed.

 

At the very top of today's market higher prices attracted very strong, coordinated commercial selling in all three US traded equity futures. This charts shows all three futures and the spikes that drove all three futures to new session lows and formed a reversal day down on higher than normal volume.

 

092309rpt4.jpg

Urma, daedalus' question was, I believe, directed to Tooker, not you.

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This particular version was indeed written in Easy Language for Trade Station. We have our own dlls that allow us to use Trade Station data with much greater time granularity than is normally allowed.

 

I am struggling a bit working within the "confines" of a bar. I have been able to code up a dll that can count time between trades with ms granularity, but still need to do more processing within the bar to get significant values. For example, you could take each trade's contract volume divided by the elapsed time since the previous trade, and average those values across the last N values. Or you could accumulate the elapsed time it takes to reach a certain contract threshold.

 

I had some time over the weekend to examine a "spike" down to the tick level. For those of you who haven't done this, it is quite interesting. In particular the spike in intensity on 9/17 @ 11:28.50 EST had the following (approximate) characteristics:

 

Duration: less than 3 seconds

# of trades: ~700

# of contracts: ~ 12,000

Distribution of sizes (in bins): 1 lot....311

5 ....211

10 ....56

20 ....47

30 ....20

40 ....7

50 ....5

75 ....17

100 ....3

200 ....5

300 ....1

400 ....4

500 ....2

>500 ....5

 

Empirically, the "bursts" of intensity seem to happen all in groups of 10-20 trades. The are all "odd" lots (24,3,22,8,17,5,etc.) Sometimes the runs almost add up to a round number (random # generator splitting up the block?).

 

I saw no pattern as to bid or ask trades. The bursts were on side ticks (like a machine gun).

 

Hope this helps.

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A side note for prospective users, my observations find that this indicator works best if you simply use it as a guide to determine possible changes in market direction. I do not enter based on this indicator, but I do trade using price action so once my existing strategies indicate that an opportunity exists I will go with the trade.

 

I've found this too, and use it similarly, but I think that's also because my version isn't there yet - still working on scaling and noise.

 

I wanted to thank you for your insistence on the ZenFire API being readily available - the response I got from them was very different from what Mirus had told me, so I'm setting myself up with 'correct' data now - which should make further development easier.

 

And congrats on your work!

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This particular version was indeed written in Easy Language for Trade Station. We have our own dlls that allow us to use Trade Station data with much greater time granularity than is normally allowed.

 

Yea, I understand your version is, but because of your custom DLL's its not possible for us to re-create it in TS. Tooker apparently mimicked the programming in another program platform, however the platform in his screen capture isn't familiar to me and I wanted to know what he was using.

 

But Urma - huge thanks for all the insight you've given us with this idea. I have been very impressed with the amount of information you have on the subject and your willingness to share your ideas with the forum. For that - THANKS!!!

 

I just wish I could code it up in TS. :( Is it even worth attempting to get some sort of proxy to what you see or is the limitation of the data really so severe it really can't be attempted without first addressing the data granularity issues?

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I've found this too, and use it similarly, but I think that's also because my version isn't there yet - still working on scaling and noise.

 

I wanted to thank you for your insistence on the ZenFire API being readily available - the response I got from them was very different from what Mirus had told me, so I'm setting myself up with 'correct' data now - which should make further development easier.

 

And congrats on your work!

 

My plan is as follow in the coming weeks.

 

I want to create an application that will connect to the Zen-Fire API and record the data to a database, allowing for precise millisecond precision. I already have the client connecting, I just need to record the data and patch it through to NT. Version 7 might make this vision easier. Also, Zen-Fire is in the works of updating their API to support historical intraday replay for every tick, so the plan is that as long as the app is connected by EOD, you can capture all tick data for the session.

 

I'm hoping that I can then patch the data through to NT, similar to what gom from paris has done. The advantages of having this in a DB will be the ability to perform other statistical analysis so we can all have our own custom dashboard with relative ease ;) I'm hoping to have some free time in the coming weeks, so hopefully I can crank this out over a few brews.

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That's pretty much what I'm working on - wish I'd started maintaining my own database ages ago.

 

I am wondering about the utility of feeding it back into NT, though, as opposed to just using NT for time charts, and hard-coding the volume charts I'd want from the API data.

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