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UrmaBlume

Trade Intensity

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As an aside some while back I wrote code to measure trade intensity. The (pretty simple) routine to do this could easily be used to re-aggregate large orders onto the time and sales. I don't really know Ninja that well, most of the aggro is finding out the mechanism to achieve something. How to display data on TS is precisely that sort of aggro. Too busy to take a look at that now but might if there is sufficient interest.

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Blowfish,

 

If you could get a trade intensity indicator and a rebundling indicator programmed for Ninja, I think you would be wildly popular (if they were any good of course ;) )! Maybe some members with a c# knowhow could get together to help you out on the project...

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Blowfish,

 

If you could get a trade intensity indicator and a rebundling indicator programmed for Ninja, I think you would be wildly popular (if they were any good of course ;) )! Maybe some members with a c# knowhow could get together to help you out on the project...

 

I have prototyped bundling trades and to be honest I don't think it's that useful. The problem is one has to make a lot of assumptions that are often incorrect. Just because two trades occur at the same time doesn't mean it was the same trader who made them. That sort of thing. I'm curious to know how others have handled this. The programming is not hard but it seems we don't have enough information to work with.

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I don't know cunparis. I have seen applications which do this in the past, but changes may now make this very difficult. I think it has just got to be an educated guess based on micro timestamp readings right? So if you have a really good data feed, the guess is more likely to be correct or closer to being correct.

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You will have to make assumptions that's true enough. If you get 300 1 lot trades all at exactly the same time (as reported by the API) it seems a reasonable to re bundle them. (with zen/ninjs I was surprised to find this happen quite a lot) .

 

Actually you could argue we are not really assuming anything....it is just easier to digest this on the tape as 300@xxx. Actually it is pretty much impossible to digest it all unless you do aggregate it. Essentially since the changes at CME it is impossible to read the tape (time and sales) without as prints (on some instruments) will scroll faster than the eye can see (let alone the brain process.

 

Negotiator, exactly you have no other real possibility other than setting a 'delta time' threshold. I'm not really inclined to program it at the moment (I do have urges to program now and then!). It really is pretty trivial though (not quite so sure about the displaying things in a scrolling grid). Having said that Ninjas sample code for OnMarketData displayed on a grid I think.

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All these indicator doesn't well on 100 tick charts?

 

 

Bomberone1,

 

The indicaors in our Indicator Pack are designed to work with volume charts as described in a TL Post Here or by downloading the Indicator Pack Manual HERE.

 

The Velocity/Intensity indicator works best on volume bars that are around .0004 of the average daily volume of the target instrument. For ES we find good results using 1,000 bar chart.

 

Today's session high (so far) was posted at 1008 PST in ES @ 1355.50. The HUGE spike in velocity shown in the chart below and the negative divergence between price and indicator V94 led to a 15 point drop in ES.

 

The chart below shows the session high today and how it was well indicated by these indicators. Some of the indicators in the pack indicate continuation and some such as shown in this chart indicate reversal.

 

TPS00005.jpg

Edited by UrmaBlume

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jojojo, if your hat is off in sarcastic appreciation, stop reading unless you're interested in an alternative pov.

 

UrmaBlume is in my top ten all time best of multiple objective measures. He publishes original research extending what already exists. He's disclosed what has existed but has not been previously disclosed. He walks the path he talks. He is a Saint by comparision to the claims of others I've observed.

 

Oh - Now the cat is out - clever marketing , chapeau

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We developed this indicator and all of our traders use it every day, in fact we have 2 different versions of it and they use both.

 

The HUGE CAVEAT with this indicator is that it can give the signal of a reversal when it is really a signal of continuation.

 

The good news is that with the proper filters based on order flow and the balance of trade it becomes easy to tell which is which. Without such filters or other corroboration its use can be very problematic.

 

cheers

 

UB

First off thanks UB for the thread! I spent the time to code up what I believe to be a crude NT version. I can now say with the utmost confidence that when I see intensity accelerate and then decelerate the market will either reverse or continue! :-)

 

Any chance you'd toss us a bone or pointer re order flow and/or balance of trade filtering?

NQ_9_4_2012-c.thumb.png.90aaf92b21262a2141a00266bde86442.png

NQ_9_4_2012-ru.thumb.png.92cf774b84479a3812a0f7f7cfc638ff.png

NQ_9_4_2012-rd.thumb.png.34d473975a760a1ecb8f3bcc2327d377.png

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First off thanks UB for the thread! I spent the time to code up what I believe to be a crude NT version. I can now say with the utmost confidence that when I see intensity accelerate and then decelerate the market will either reverse or continue! :-)

 

Any chance you'd toss us a bone or pointer re order flow and/or balance of trade filtering?

 

AZMike,

 

Thanks for the kind words.

 

As to our work with order flow and the balance of trade, there is more coming. By the end of next month TradePoint Software will bring out new software that will include an updated version of our Indicator Pack and an Update to the HUD. This will include more information about how to use Intensity to spot runs on stops and buy/sell programs.

 

To demo the efficacy of this software we will start a free room whose main purpose will be to demo and support the software.

 

To demo the software we will show real-time, real-money trade by bots who use inputs from the indicators in the indicator pack as their main source of trade decision support information.

 

To start, I will run the room and be open to questions about the software and trading in general. Participants will be encouraged to join the discussion and be given access to either phone in, Skype in or VOIP in. From those participants I will be looking to hire someone to take over the room to allow me more time for my work with the development of automated systems.

 

Besides offering a demonstration and support for my software, my goal with this room is to provide more useful trading support and information for free to traders of any level than is provided by any of the paid rooms.

 

As always I am open to any questions or comments by anyone. Contact info including phone is on our site.

 

cheers

 

UrmaBlume

Edited by UrmaBlume

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I just read this entire thread and saw I had posted in it a few years ago.

 

I tried to make something like this in SierraChart but it seems SC is limited by its smallest unit of time being 1 second. So with tick or volume charts, I can check to see if the time it took to create the bar was less than one second, which is basically 0 seconds, because SC cannot work with values less than 1 second but faster than zero seconds.

 

So I was able to using a tick chart of any size and measure the time between bars. Naturally the smaller size tick charts, the more accurate this would be. However, since it is limited to 1 second at the smallest, using too small of a tick chart size results in too many signals, and using too big of a tick chart size results in too few signals.

 

ES 500 tick chart:

http://www.sierrachart.com/Download.php?Folder=SupportBoard&download=185

 

ES 2000 volume:

http://www.sierrachart.com/Download.php?Folder=SupportBoard&download=186

 

ES 250 tick chart:

http://www.sierrachart.com/Download.php?Folder=SupportBoard&download=187

 

You can see there are many false signals on that last one.

 

I'm sure this isn't really close to UrmaBlume's but I also don't think you can get any closer with SC since 1 second is as fast as they can get.

Edited by metalhead

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