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UrmaBlume

Trade Flow - Harmonic of Trade

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We have developed an algorithm that uses constant volume structures to produce what we call our Harmonic of Trade Flow.

 

In the bottom secion of the graph the red solid line represents selling power and the blue line represents buying power.

 

The Blue crosses indicate that the buyer is in charge and the red indicates the seller.

 

The lines and crosses in the bottom graph are our calculation of recent buying and selling volumes smoothed by a zero phase Jurik Adaptive Moving Average.

 

The graph below shows 4 very clear signals in just over an hour in the S&P.

 

Please not that the crosses in the bottom graph most often change color before price changes direction.

 

The bottom graph is calculated using different volume inputs only. This confirms that indicators with price as their only input have a natural lag and that it is buying and selling that motivates price.

 

Our experience tells us that the best indicators of price usually don't have price as any part of their calculation.

 

V94RawHarmonic.jpg

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This is your third thread in 2 days. I am not going to pull any punches:

(1)How is this going to help us trade the market ?

(2)Are you trying to inspire us to write our own software ? If not, are these posts just an exercise in self-glorification ?

Or

(3) are you planning to become a vendor at some point ?

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  OAC said:
This is your third thread in 2 days. I am not going to pull any punches:

(1)How is this going to help us trade the market ?

(2)Are you trying to inspire us to write our own software ? If not, are these posts just an exercise in self-glorification ?

Or

(3) are you planning to become a vendor at some point ?

 

I am trying to stimulate thought and conversation beyond market conventional wisdom.

 

While I am indeed proud of our work my purpose in these postings is to demonstrate the value of thinking outside the box.

 

None of this technologiy is for sale or lease and we have no plans to take any of this to the market. Many years ago a couple of guys on the CBOT shared what was then beyond conventional thinking and technology and those teachings formed the basis of our work today. I thought I would try to return the favor and share some of our concepts and technologies with the 1% of the trading community that will dare to "go beyond."

 

How will all of this will help you to trade the market? I don't know. For some there is nothing that can help them trade the market and for others all it takes is the slightest clue.

 

What I have tried to do here is to share and to learn. My thoughts are that I have shared new and useful concepts and technologies that subscribers to this board would have no other way to access.

 

You are a moderator - if you don't approve of the material I post or my motives for posting it, please just cancel my membership on this board.

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  UrmaBlume said:
I am trying to stimulate thought and conversation beyond market conventional wisdom.

 

While I am indeed proud of our work my purpose in these postings is to demonstrate the value of thinking outside the box.

 

 

What I have tried to do here is to share and to learn. My thoughts are that I have shared new and useful concepts and technologies that subscribers to this board would have no other way to access.

 

.

 

Frankly, you do smell like a rat. So far you just sound like a snake oil salesman to me. if openly sharing ideas is your purpose here, the how come you never answer Janus's questions addressing to you in the Trade Intensity thread :

 

"

The concept of 'trade intensity' is not new. There is no truth in saying that it is not discussed/used anywhere.

 

MarketDelta has implemented IOAMT's Trade speed ideas ( I am not affiliated with any of them) in TradeSpeed Indicator.

 

http://www.marketdelta.com/kb/article.aspx?id=10585

 

http.http://www.marketvolume.com has products/pending patents based on this idea of spikes in volume. Their SBV Indicator uses the idea of trade intensity/spikes in volume.

 

I request the thread starter to elaborate and comment if his ideas are different from the above."

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  OAC said:
Frankly, you do smell like a rat. So far you just sound like a snake oil salesman to me. if openly sharing ideas is your purpose here, the how come you never answer Janus's questions addressing to you in the Trade Intensity thread :

 

"

The concept of 'trade intensity' is not new. There is no truth in saying that it is not discussed/used anywhere.

 

MarketDelta has implemented IOAMT's Trade speed ideas ( I am not affiliated with any of them) in TradeSpeed Indicator.

 

http://www.marketdelta.com/kb/article.aspx?id=10585

 

http.http://www.marketvolume.com has products/pending patents based on this idea of spikes in volume. Their SBV Indicator uses the idea of trade intensity/spikes in volume.

 

I request the thread starter to elaborate and comment if his ideas are different from the above."

 

 

One would think that new, original content would be of value to the forum as it might attract subscribers which would increase your ad revenues.

 

My posts sell nothing and promote no one and certainly, in concept, go beyond the normal discussion on this board concerning dated, off-the-shelf, price based indicators.

 

As to the other question, market delta is about volume on the bid and asked which is entirely different our work and I am unaware of the other product.

 

At any rate what I have discussed is certainly new in concept to this board and some have found it useful. On the other hand, you as moderator, have the duty to ban objectionable persons and posts from the community.

 

You don't know me, know my enviornment, or my motives. There is not the slightest indication that I am out to sell anything to anybody. I think all of your rat and snake oil buschwa is petty, personal, unfounded and, uh, oh yes, unprofessional.

Edited by UrmaBlume

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I think OAC (who is normally - healthily - skeptical) might have been turned off by your use of "we". Maybe also by so many buzz words back to back - harmonic trade flow

 

Is that the "royal" we? Are you just the bagman (Lebowski quotes, sorry)?

 

How is "trade intensity" any different from using a simple tick or volume share chart?

 

We are all welcome to new ideas, especially on this forum, if they are not accompanied by hints of vending (proprietary formulas, etc.). Most traders here are past looking for the holy grail, so we are talking about concepts - not specifics. For example - most of us don't care if you are smoothing with Jurik or Buckwheat's hyper adaptive fractal diffusion index - it's immaterial.

 

"... This confirms that indicators with price as their only input have a natural lag and that it is buying and selling that motivates price.

 

Our experience tells us that the best indicators of price usually don't have price as any part of their calculation."

 

these are valid ideas. can you bring something to the table to further explain or quantify reasons why your method is valid?

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  waveslider said:
I think OAC (who is normally - healthily - skeptical) might have been turned off by your use of "we". Maybe also by so many buzz words back to back - harmonic trade flow

 

Is that the "royal" we? Are you just the bagman (Lebowski quotes, sorry)?

 

How is "trade intensity" any different from using a simple tick or volume share chart?

 

 

In other posts I have mentioned that we are a small private group of traders, poker players and programmers. The we is us.

 

In answer to your question - Our indicator of trade intensity is designed to spot size automated execution by commercial trade. Tick charts only show transactions and not size and volume charts have all the same volume.

 

We break time down into milliseconds and then measure x trade over a constant unit of time. When these spikes occur they really stand out as you can see in the graph below. This spike happened a little under 4 hours ago. These spikes during the nite session are especially indicative of commercial intent.

 

recent.jpg

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Hmm...I can't seem to see the chart from the original post. Would you mind re-posting it? Or maybe something funny with the forum? Or maybe with my setup here....

 

I agree with the value of thinking outside the box. Maybe in this thread you will give a hint or two so as to narrow the infinity of space outside the box ;)

 

With kind regards,

MK

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  MidKnight said:
Hmm...I can't seem to see the chart from the original post. Would you mind re-posting it? Or maybe something funny with the forum? Or maybe with my setup here....

 

I agree with the value of thinking outside the box. Maybe in this thread you will give a hint or two so as to narrow the infinity of space outside the box ;)

 

With kind regards,

MK

 

Indeed there was a problem with attachments caused by the new chat software. Resolved for now, perhaps you might re attach it UB?

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  MidKnight said:
Hmm...I can't seem to see the chart from the original post. Would you mind re-posting it? Or maybe something funny with the forum? Or maybe with my setup here....

 

I agree with the value of thinking outside the box. Maybe in this thread you will give a hint or two so as to narrow the infinity of space outside the box ;)

 

With kind regards,

MK

 

Both harmonic charts have been reposted, thank you for noticing.

 

As to the infinity of space outside the box - the good news is that there are paths that will help to parse or limit this infinity of space. The bad news is that there are false paths and no matter which path you choose, you must walk it alone. Some say that as a rule the most difficult path will most often be best.

 

cheers

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  trader273 said:
you do know that TS doesnt build volume bars correctly? Makes you wonder if what you have here is actually just a coincidence.

 

I was thinking that would distort things. Volume surges in single prints that exceed the volume of the old bar, still get put in that bar rather than being split across to the new bar. So for example if you are 149 lots into your 150 lot bar and 200 hits the tape that is all put into that existing bar for a total of 349.

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  BlowFish said:
I was thinking that would distort things. Volume surges in single prints that exceed the volume of the old bar, still get put in that bar rather than being split across to the new bar. So for example if you are 149 lots into your 150 lot bar and 200 hits the tape that is all put into that existing bar for a total of 349.

 

Whether or not there is distortion depends on how you read the data. While it is true that in trade station contsant volume bars don't always carry a constant number of contracts you can still read the upticks and downticks within the bar to determine the total order flow.

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Thanks for fixing up those attachments Urmablume. Interesting charts. I do agree that there are more useful things to look at then price of the futures. I'm at a loss how to proceed in dialogue, because it appears you don't want divulge any specifics - which is fine. Thanks a lot for your post.

 

All my best,

MK

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Hello Urma ,thank you for the posts.

Do you monitor the price ranges where these after hour spikes occur as potential S/R zones and if you do is there a typical length of time that they stay relative. I have attached a screen shot of this morning the purple lines bracket the "price zone".

srzone.thumb.jpg.7f067b8ffb22c3a85ee37d26022f76bf.jpg

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so you are using a 150 volume chart and tallying up some statistic based on the tick by tick data but also spread out over millisecond to millisecond?? confused::confused::confused: one chart you show is 150 contract and the other is 8000, how are the 2 charts you posted related? so what exactly are you doing el mysterio?

 

 

 

  UrmaBlume said:
In other posts I have mentioned that we are a small private group of traders, poker players and programmers. The we is us.

 

In answer to your question - Our indicator of trade intensity is designed to spot size automated execution by commercial trade. Tick charts only show transactions and not size and volume charts have all the same volume.

 

We break time down into milliseconds and then measure x trade over a constant unit of time. When these spikes occur they really stand out as you can see in the graph below. This spike happened a little under 4 hours ago. These spikes during the nite session are especially indicative of commercial intent.

 

recent.jpg

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  Minetoo said:
UrmaBlume, please post the elds and studies used so we can advance this discussion beyond 'hey nice chart'.

 

This is really why I don't understand the point of these threads..

Sure if your small enough, with robust enough software you can hit the high frequency arbitrage guys liquidity problems and ride the wave they make..

I'm sure something like that works better than technical analysis...until the account grows and your own lack of liquidity puts you up against the real high frequency guys blow for blow.

On the flip side though I do see Urma's point, alot of the ideas on this board are just utter garbage and not in tune with the reality of the modern markets.

The real problem though is we are talking at the limit of an internet message board. I have alot of ideas on this type of stuff with zero reason to ever post them until I've explored them dry.

A more technical/software focused direction to these threads would probly be better than techniques.

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I think UrmaBlume is onto something real here, but unfortunately your chart and vague descriptions do not get the concept across of what you are doing.

 

Please don't understand me wrong. I do appreciate you sharing your indicators and that's why I want to understand them. Your effort of writing these threads is wasted if no one understands what you mean exactly, so please define the following terms that you used in your first post:

 

1. Selling power and buying power. What does ... power mean?

2. Buyer is in charge and seller is in charge. What does being 'in charge' mean?

3. Buying and selling volumes. What are buying and selling volumes? Volume on the current bid or ask?

 

4.

  Quote
The bottom graph is calculated using different volume inputs

 

What volume inputs exactly? All I am aware of is the trade size and whether the trade was on the current bid or ask. How do these relate to each other?

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I was specifically asking UrmaBlume to comment on his terms since many people mean different things by them (as evidenced by your definition).

 

The bid/ask delta that you are talking about was made popular by MarketDelta.com, which has much better visualisations of this information than the product you mentioned.

 

I don't think it is fair to say that this is superior to UrmaBlume's approach since he has not explained yet exactly what it is.

 

  waveslider said:
All of this "in charge" is related to your trading time frame and the trend of the time frame you are looking at.

 

I found this product, which seems to be a much superior way of expressing the concept that Urmablume is working toward.

 

http://codefortraders.com/Tradestation/Indicators/BidAskDelta.htm

 

opinions?

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AgeKay I can understand UB's reluctance to disclose too much but there are clues to be had, I mean there is a fairly small set of information available about each trade. Having said that I would like to know more! of the few things presented I am finding this the tricky one to 'work out'.

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