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

    • TDUP ThredUp stock, watch for a top of range breakout above 2.94 at https://stockconsultant.com/?TDUP
    • TDUP ThredUp stock, watch for a top of range breakout above 2.94 at https://stockconsultant.com/?TDUP
    • NFLX Netflix stock watch, local support and resistance areas at 838.12 and 880.5 at https://stockconsultant.com/?NFLX
    • Date: 8th April 2025.   Markets Rebound Cautiously as US-China Tariff Tensions Deepen     Global markets staged a tentative recovery on Tuesday following a wave of volatility sparked by escalating trade tensions between the United States and China. The Asia-Pacific region showed signs of stability after a chaotic start to the week—though some pockets remained under pressure. Taiwan’s Taiex dropped 4.4%, dragged lower by losses in tech heavyweight TSMC. The world’s largest chipmaker fell another 4% on Tuesday and has now slumped 13.5% since April 2, when US President Donald Trump first unveiled what he called ‘Liberation Day’ tariffs.   However, broader sentiment across the region turned more positive, with several markets rebounding sharply after Monday’s dramatic sell-offs. Japan’s Nikkei 225 surged over 6% in early trading, rebounding from an 18-month low. South Korea’s Kospi rose marginally, and Australia’s ASX 200 gained 1.9%, driven by strength in mining stocks. Hong Kong’s Hang Seng rose 1.6%, though still far from recovering from Monday’s 13.2% crash—its worst day since the 1997 Asian financial crisis. China’s Shanghai Composite added 0.9%.   In Europe, DAX and FTSE 100 are up more than 1% in opening trade. EU Commission President von der Leyen repeated yesterday that the EU had offered reciprocal zero tariffs on manufactured goods previously and continues to stand by that offer. Others are also trying again to talk to Trump to get some sort of agreement that limits the impact.   Much of the rally appeared to be driven by dip-buying, as well as hopes that the intensifying trade war could still be defused through negotiations.   China Strikes Back: ‘We Will Fight to the End’   Tensions reached a boiling point after Trump threatened to impose an additional 50% tariff on all Chinese imports unless Beijing rolled back its retaliatory measures by April 8. ‘If China does not withdraw its 34% increase above their already long-term trading abuses by tomorrow... the United States will impose additional tariffs on China of 50%,’ Trump declared on social media.   If implemented, the new tariffs would bring total US duties on Chinese goods to a staggering 124%, factoring in the existing 20%, the 34% recently announced, and the proposed 50%.   In response, China’s Ministry of Commerce issued a stern warning, stating: ‘The US threat to escalate tariffs is a mistake on top of a mistake... If the US insists on its own way, China will fight to the end.’ The ministry also called for equal and respectful dialogue, though signs of compromise on either side remain scarce.   Beijing acted quickly to contain a market fallout. State funds intervened to support equities, and the People’s Bank of China set the yuan fixing at its weakest level since September 2023 to boost export competitiveness. Additionally, five-year interest rate swaps in China fell to their lowest levels since 2020, indicating potential for further monetary easing.   Trump Talks Tough on EU Too   Trump’s hardline approach extended beyond China. Speaking at a press conference, he rejected the European Union’s offer to eliminate tariffs on cars and industrial goods, accusing the bloc of ‘being very bad to us.’ He insisted that Europe would need to source its energy from the US, claiming the US could ‘knock off $350 billion in one week.’   The EU, meanwhile, backed away from a proposed 50% retaliatory tariff on American whiskey, opting instead for 25% duties on selected US goods in response to Trump’s steel and aluminium tariffs.     Volatile Wall Street Adds to the Drama   Wall Street experienced wild swings on Monday as investors processed the rapidly evolving trade conflict. The S&P 500 briefly fell 4.7% before rebounding 3.4%, nearly erasing its losses in what could have been its biggest one-day jump in years—if it had held. The Dow Jones Industrial Average sank by as much as 1,700 points early in the day but later climbed nearly 900 points before closing 349 points lower, down 0.9%. The Nasdaq ended up 0.1%.   The brief rally was fueled by a false rumour that Trump was considering a 90-day pause on tariffs—rumours that the White House quickly labelled ‘fake news.’ The market's sharp reaction underscored how desperate investors are for any sign that tensions might ease.   Oil Markets in Focus: Goldman Sachs Revises Forecasts   Crude prices also reflected the uncertainty, with US crude briefly dipping below $60 per barrel for the first time since 2021. As of early Tuesday, Brent crude was trading at $64.72, while WTI hovered around $61.26.   Goldman Sachs, in a note dated April 7, lowered its average price forecasts for Brent and WTI through 2025 and 2026, citing mounting recession risks and the potential for higher-than-expected supply from OPEC+.       Under a base-case scenario where the US avoids a recession and tariffs are reduced significantly before the April 9 implementation date, Goldman sees Brent at $62 per barrel and WTI at $58 by December 2025. These figures fall further to $55 and $51, respectively, by the end of 2026. This outlook also assumes moderate output increases from eight OPEC+ countries, with incremental boosts of 130,000–140,000 barrels per day in June and July.   However, should the US slip into a typical recession and OPEC production aligns with the bank’s baseline assumptions, Brent could retreat to $58 by the end of this year and to $50 by December 2026.   In a more bearish scenario involving a global GDP slowdown and no change to OPEC+ output levels, Brent prices might fall to $54 by year-end and $45 by late 2026. The most extreme projection—based on a simultaneous economic downturn and a full reversal of OPEC+ production cuts—would see Brent plunge to below $40 per barrel by the end of 2026.   Goldman noted that oil prices could outperform forecasts significantly if there was a dramatic shift in tariff policy and a surprise in global demand recovery.   Cautious Optimism, But Warnings Persist   With both Washington and Beijing showing no signs of backing down, markets are likely to remain volatile in the days ahead. Investors now turn their attention to upcoming trade meetings and policy decisions, hoping for clarity in what has become one of the most unpredictable trading environments in recent years.   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.
    • CVNA Carvana stock watch, rebound to 166.56 support area at https://stockconsultant.com/?CVNA
×
×
  • Create New...

Important Information

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