Net Commercial Trade

[UrmaBlume 10]

The chart below is our calculation of cumulative net commercial trade.

 

Selling by commercial traders took out the low from November in the middle of January and has increased dramatically since then - foretelling that the November low was in Jeopardy.

 

It is our estimate that these longer term commercial traders do about 20% of the total volume. We KNOW that they go to great lengths to disguise their participation via such means as intense series' of automated orders separated by only a few miliseconds. It is often these bursts of intense trade that form local intra-session highs and lows.

 

See a post on how we detect and trade these spikes in intensity http://www.traderslaboratory.com/forums/f34/trade-intensity-5277.html

 

[mike_ITL 10]

Interesting thread UrmaBlume.

 

With the term "Commercial" do you mean "Liquidity Data Bank CTI2", the "Commitment of Traders Commercials" (not so different, in any case) or something else?

[UrmaBlume 10]

Interesting thread UrmaBlume.

 

With the term "Commercial" do you mean "Liquidity Data Bank CTI2", the "Commitment of Traders Commercials" (not so different, in any case) or something else?

 

The CTI2 data is from days of old when Peter Steidlmayer was still very influential at the board of trade and reflects trade by known commercial traders. Our calculation is broader than that and is designed to catch the trade of traders such as hedge fund operators which certainly fit the description of commercial traders but at the same time would not met the criteria of CTI2 trade.

 

Almost 3 decades ago I was an avid follower of Peter's work and spent weeks at his ranch in Butte Meadows forming what has become the base of most everything I do.

 

Along these same lines you might find value in a post I made on "Order Flow - Then and Now" at http://www.traderslaboratory.com/forums/34/predicting-breakouts-accumulation-distribution-5289-2.html#post60085

 

Thank you for the kind words, I am glad you found some value in my work

 

cheers

[mike_ITL 10]

Hi UrmaBlume,

 

thank you for your kind reply.

 

I am a fan of Steidlmayer's work and I'm trying to update his teachings - with the help on an English gentleman - to the modern electronic markets.

 

Did you follow Steidlmayer's work with Capflow? (my last question on this, since I don't want to transform your thread in a Market Profile oriented one).

 

Cheers.

[HAL9000 10]

Our calculation is broader than that and is designed to catch the trade of traders such as hedge fund operators which certainly fit the description of commercial traders but at the same time would not met the criteria of CTI2 trade.

 

Hi,

 

so I would like to ask you, what in fact, is your definition for the description of commercial traders?

[UrmaBlume 10]

Hi,

 

so I would like to ask you, what in fact, is your definition for the description of commercial traders?

 

There are several algorithms and methods deployed to spot, ever more elusive, commercial trade. Some do it by transaction size alone, trade intensity is another while still others deploy variations of the motivated buyer/seller themes.

 

As to our definition of commercial trade, we define it as the speculative, not arb, trade done by professional, size traders. Our calculations use some of the methods mentioned above and others designed to pick out or more heavily weight commercial trade that is desinged to span the current session.

 

Knowing where these guys do their spec trade is all you need because it is this trade that sets many local extremes.

 

As I have mentioned before these traders go to great lengths to disguise their entries and exits. The use automated executions sometimes separating orders by only a few miliseconds and sometimes even putting up opposing trades to do as the old timers used to say, "sell a little to buy a lot."

 

While they can hide their methods and whether the trade was an opening or closing transaction they CAN NOT hide the fact of their transactions and that's where the clues begin.

[HAL9000 10]

Urma,

 

well, maybe you gave me not a definition, but I agree with you in some point.

 

Let me explain; well some people like tape reading.

 

You know, if nothing works, just read the tape. But I am a poor (proud customer) of IB. They sample 300 ms frames and you are not able to see spikes

at all. But they have 5 sec bars, which should be exact.

 

Yes a 5 sec bar is also in addition 1 sec late. Anyway, these 5 sec bars seem to show me the following (I have implemented a 5 sec bar tape reader :crap:):

 

Watching corn and other things, 5 sec -> 130 contracts -> 60 trades and so on. Or in other words: No big volume on a single transaction.

 

Now I am asking myself, what are all these data vendors worth, when they show up 100 or more contracts on a single trade?

 

I wonder.

 

Are they sampling the data as well?

 

Currently I would draw my conclusion this way:

 

Transaction size may be hidden. Volume stays.

Maybe because of many "small" trades tick charts work!?

 

 

So now, what's your view?

[HAL9000 10]

Well, regarding your definition;

 

for me is a definition, whatsoever defines a calculation that leads to a defined result.

 

So if persons a, b, c would use this definition, they should have the same result.

 

Just to clarify this.

 

I am still interested.

 

:beer:

[UrmaBlume 10]

Well, regarding your definition;

for me is a definition, whatsoever defines a calculation that leads to a defined result.

So if persons a, b, c would use this definition, they should have the same result.

Just to clarify this.

I am still interested.

:beer:

 

For me there is a difference between the definition and the calculation.

 

I have introduced a concept. I have provded my definition. I have indicated how others make a similar calculation, I have provided hints on how I make the calculation and have even provided clues as where to look for answers. The rest is up to you.

 

Don't forget - We all have access to the same base unit of data, the transaction/tick. What makes all the difference for all of us is how we process those ticks.

[HAL9000 10]

What makes all the difference for all of us is how we process those ticks.

 

Maybe that's the point.

 

One year ago, maybe I would said: "Damn, give me your calculation, if you show me your your charts"!

 

Today: "I accept the given!"

 

You, start a thinking process. I think.

 

Maybe, my conclusion is different (not right, or wrong, just different),

but anyway, its about thinking.

 

Think!

 

OK; P.S. for now:

 

"There are a thousand ways to scalp a cat!"

 

and sometimes I am the

 

cat. :crap:

 

Hopefully, not more often, than not!

 

THINK!

 

Lost contact for now,

 

Hal

 

P.S.: What does Hal stand for, BTW?

[UrmaBlume 10]

I want what he smokes.

[HAL9000 10]

Some more,

 

just simple questions:

 

Do you know a data vendor, that sends transaction data real time, as far as possible?

You know, transaction for transaction under real time constraints?

(Or in other words for newbies: Nearly to BOOM!)

 

Another question, which data vendor do you use?

 

Do you use a T1?

If not, what do you use?

 

Hal

 

:question:

[HAL9000 10]

I want what he smokes.

 

Really?

 

Message is too short so far. Anyway, just for fun:

 

Hal

 

P.S: Am I so stone old: HAL what does it stand for? :helloooo:

[UrmaBlume 10]

Some more,

just simple questions:

Do you know a data vendor, that sends transaction data real time, as far as possible?

You know, transaction for transaction under real time constraints?

(Or in other words for newbies: Nearly to BOOM!)

Another question, which data vendor do you use?

Do you use a T1?

If not, what do you use?

Hal

:question:

 

 

Zen-Fire is very fast real time data. You can get it for free with Ninja from any of several brokers.

 

My internet connection is a couple of steps higher than t1 and I use Trade Station and one other service I would rather not name.

 

It's getting late in Germany - time to take your meds and go night-night.

[HAL9000 10]

Why?

 

If no one can rebuild your system, why you share it?

 

If a retail trader without a T1 or higher don't gets your data, what should s/he

do with your information (better: data)?

 

What about the things you don't like to name?

 

Once more:

 

Why?

[HAL9000 10]

It's getting late in Germany - time to take your meds and go night-night.

 

I don't need meds, I just like answers!

 

Give me some!

 

Well, time; Coffee helps! :coffee:

 

Some say its late!

Some say its early!

 

Hal

 

P.S.: ??? No clue about HAL yet ???