Volume Splitter

[agon 10]

Where can I find sample code for this indicator approach ?

 

 

[swansjr 10]

I wish I knew. I saw those videos as well and it's an interesting indicator.

 

I'm interested in how one breaks the orders into various sizes using EasyLanguage. Does anyone know how this is done?

[Tams 20]

  swansjr said:

I wish I knew. I saw those videos as well and it's an interesting indicator.

I'm interested in how one breaks the orders into various sizes using EasyLanguage. Does anyone know how this is done?

 

If you can articulate the process in English,

you can program it in EasyLanguage.

 

... just write out:

-- one thought at a time,

-- one action per sentence,

-- one sentence per line...

 

and in no time you will have your strategy coded.

[bathrobe 10]

  swansjr said:

I wish I knew. I saw those videos as well and it's an interesting indicator.

 

I'm interested in how one breaks the orders into various sizes using EasyLanguage. Does anyone know how this is done?

 

I know you guys wanted it for TradeStation, but I think TS and NT are compatible, if not you can get a demo for NT through Mirus which will never run out and apply it there.

 

I believe this is it for NT. This is not my own creation. I downloaded it off of NT Script page. I will let you know tomorrow how it works. I have it set to filter at 100 so it does not work in after hours really.

BAVolCounterGtr.zipFetching info...

[swansjr 10]

Thanks for posting the code. Looks like that's a c# program which I don't believe will work with TS.

 

I did some research and found the EasyLanguage command TradeVolume which displays the trade volume on the last trade. I'm trying it out on a 1-tick chart in the after hours market on EC. It looks like a crude start.

[bathrobe 10]

  swansjr said:

Thanks for posting the code. Looks like that's a c# program which I don't believe will work with TS.

 

I did some research and found the EasyLanguage command TradeVolume which displays the trade volume on the last trade. I'm trying it out on a 1-tick chart in the after hours market on EC. It looks like a crude start.

 

Let me know how it works for you and if it is like the one in the video. I could use MultiCharts with my feed.

[cooper59 10]

What this person is doing is programing is time and sales (on Tradestation). Using Tradestations Time and sales, you can input it to show orders in any quantity you want. In this case, he is representing the indicator to move higher as Time and sales flashes buy orders of 100 or more. The larger the order along with the frequency, has the indicator moving up. Using the same thought process on the orders of 5 contracts and less (which make up a great deal of the time and sales format). In the middle of the day when things are quiet, you will notice the large order line will move very little and will generally chop just above and under the zero line. On the other hand, this is when you will see the 5 contracts and less line moving around more. It's generally a choppy time of the day and the smaller traders are usually doing much of the trading (which is obviously not a good time to be in the market). Unfortunately I am not a programmer but have used the information he is referring to for many years. He is simply (well maybe it not simple) plotting the times and sales on a chart. I hopes that helps a little

[bathrobe 10]

  cooper59 said:

What this person is doing is programing is time and sales (on Tradestation). Using Tradestations Time and sales, you can input it to show orders in any quantity you want. In this case, he is representing the indicator to move higher as Time and sales flashes buy orders of 100 or more. The larger the order along with the frequency, has the indicator moving up. Using the same thought process on the orders of 5 contracts and less (which make up a great deal of the time and sales format). In the middle of the day when things are quiet, you will notice the large order line will move very little and will generally chop just above and under the zero line. On the other hand, this is when you will see the 5 contracts and less line moving around more. It's generally a choppy time of the day and the smaller traders are usually doing much of the trading (which is obviously not a good time to be in the market). Unfortunately I am not a programmer but have used the information he is referring to for many years. He is simply (well maybe it not simple) plotting the times and sales on a chart. I hopes that helps a little

 

Thank you for the breakdown of how it works, I am trying to code in NT, using the wizard........this will help very much.

[swansjr 10]

  cooper59 said:

What this person is doing is programing is time and sales (on Tradestation). Using Tradestations Time and sales, you can input it to show orders in any quantity you want....Unfortunately I am not a programmer but have used the information he is referring to for many years. He is simply (well maybe it not simple) plotting the times and sales on a chart. I hopes that helps a little

 

Thanks. I understand that the Volume Splitter is plotting time vs. sales (or more specifically the volume in terms of "large" orders when you have it set to follow large contract players). Cooper59, I'm interested in what indicator you are using to see the order size in TradeStation. If you are using "Sales" to help in your trading, how are you accessing this information in TradeStation?

 

Thanks again for the help.

[agon 10]

  Quote

Thanks. I understand that the Volume Splitter is plotting time vs. sales (or more specifically the volume in terms of "large" orders when you have it set to follow large contract players). Cooper59, I'm interested in what indicator you are using to see the order size in TradeStation. If you are using "Sales" to help in your trading, how are you accessing this information in TradeStation?

 

Thanks again for the help.

 

if this can help :

[bathrobe 10]

This is the indicator I posted above using NT, filtered to 100 or more contracts on a 610tick chart.

[bathrobe 10]

Also, it says here Trading Platforms. NINJATRADER. Brokerage and Data Feed Support. that NT and TS are compatible. Hope it helps.

[Tams 20]

  bathrobe said:

Also, it says here Trading Platforms. NINJATRADER. Brokerage and Data Feed Support. that NT and TS are compatible. Hope it helps.

 

 

TradeStation is BOTH a broker/datafeed AND charting software.

 

 

in the page link above, it is referring to TradeStation as a Supported Market Data Vendors.

 

They are not talking about NT and TS as code compatible.

[daedalus 10]

I've tried to duplicate the EOT Volume splitter before but to no avail. I'm just not that good with easylanguage.

 

Good luck to anyone who does get it because I truly think its a great idea and a valid concept (and the EOT guys are making a killing using it to confirm trades!).

[swansjr 10]

Deadalus, I tried to create it as well. I’m not familiar with how to extract the required information. For example, there are two pieces of information I need.

 

 

1) How to extract the order size. In TS there is a command called “TradeVolume” (find an example here) which is suppose to give the size of the last trade. But how does that work in relation to an indicator that might be running on a 233-tick chart.

 

2) Next, how do you determine if a given trade size was a Long or a Short?

 

 

I’m not familiar enough with the underlining functionality of TS. I’ve been doing some research but no avail. :crap:

[bathrobe 10]

  daedalus said:

I've tried to duplicate the EOT Volume splitter before but to no avail. I'm just not that good with easylanguage.

 

Good luck to anyone who does get it because I truly think its a great idea and a valid concept (and the EOT guys are making a killing using it to confirm trades!).

 

I was not as impressed with the Ninja Trader version as I hoped (eotpro seems to make calls before the move quite often, the indicator I posted acted more like an RSI or a fast MA (after the fact).

 

I have been in contact with some C++ programmers to build one the same as eotpro.com's. The programming is somewhat expensive, however if it ends up being the same as eot it would be well worth the price over and over.

 

Anyhow, what I am getting at was you should look into this option, I am sure there are many more TradeStation programmers than those for NT.

 

I hope it works out for you guys.

[daedalus 10]

Well i started trying to code something like this up again today. But don't hold out hope folks... i'm about as useful with easylanguage as a blind person is at officiating a boxing match.

 

TradeVolume does seem to mimic the T&S window - but does so sporadically... also I can't seem to be able to pull any of its data off and store it in a variable as yet...

 

But i'll keep messing with it.

 

Cheers!

[swansjr 10]

  daedalus said:

Well i started trying to code something like this up again today. But don't hold out hope folks... i'm about as useful with easylanguage as a blind person is at officiating a boxing match.

 

TradeVolume does seem to mimic the T&S window - but does so sporadically... also I can't seem to be able to pull any of its data off and store it in a variable as yet...

 

But i'll keep messing with it.

 

Cheers!

 

Thanks. When possible, I'll lend a hand with coding.

[daedalus 10]

Couple things to note thus far...

 

I can't find TradeVolume anywhere on google searches... it just references me back to this thread actually. It would be nice to know exactly what and how i'm calling things up.

 

BUT

 

Some things to consider... in the EOT videos they are able to show volume history on the indicator historically (ie it doesn't have to run in real time) which is somewhat odd because the TradeVolume function doesn't allow you to call up historical data.

 

It throws an error if you try and use TradeVolume[1] to get the previous entry... so maybe they are doing it some other way?

[swansjr 10]

TradeVolume is an elusive beast. I found it on the Trade Station Forum about a week ago.

 

I started a thread on TradeStation's EasyLanguage Forum and John from TS just replied about TradeVolume:

 

  Quote

Individual trade volume is not provided by the exchange for the ES contract. The volume of several trades can be consolidated into a single tick. This practice is known as "tick netting."

 

"The quote field TradeVolume is not updated with each trade tick. Like other quote fields it is updated periodically... It is what we refer to as "snapshot" data.

 

So, what we seem to have is an imperfect way of obtaining trade volume on an intrabar basis. This is a start.

 

However, now it seems the EOT indicator can be used with historical data?! This is strange.

[HAL9000 10]

Hi,

 

if I see it right, in the second video MultiCharts is used.

I think you have seen this already, but just in case.

 

 

Well, I don't use EL myself, but one thought about these "snapshots":

My broker made clear right from the start, that he uses this method.

Currently I think, that many brokers use it. In this way or another.

But in my view the raw data, would simply overload the internet at some times (for example FOMC days).

Using this method, they control the data traffic, they know the maximum load for their servers

and they know they maximum throughput. If they just would send every single tick out,

they and you would pay this in time (i.e. you lag or crash).

 

On the other hand, it seems to me, that nowadays (electronic age)

you don't just order 200 ES contracts, instead you order 200 times 1 ES contract.

You "pulse" your order. From the commissions side it should be the same, so it makes sense to me.

 

I use a tape reader that is based on 5s bars which are received 1s late,

these bars provide also the wap, volume and number of trades, but

my broker says they should be accurate, and it seems to be true.

Looking at these information, you still see the patterns

(i.e. move on very high volume or move on very low volume to prepare ... whatsoever).

I think you see it even better.

 

OK, just my thoughts.

Maybe I look for some screenshots of my tapereader tomorrow to show,

what I meant to say. If you like?

Edited April 30, 2009 by HAL9000
hmm...

[swansjr 10]

  HAL9000 said:

OK, just my thoughts.

Maybe I look for some screenshots of my tapereader tomorrow to show,

what I meant to say. If you like?

 

Thanks Hal9000. Yes, please do post your screenshots.

[swansjr 10]

I modified the Bid/Ask Pressure indicator to use TradeVolume instead of Volume or Ticks. This should give an approximate value representing the trade volume of the last order. Further modification may be necessary to the indicator will most likely be needed.

 

Below is a chart from the overnight ES market. I know it’s not the best time to run the indicator but I just wanted to see if I was on the right track.

 

The first indicator was using an order size filter of 50 or greater. The second indicator (the one on the bottom) had an order size filter of 1.

 

The first thing you notice is they do track differently. I will let this run during “normal” market hours today and post the results. I may play around with the indicator a bit more (as I have some ideas to test) then if all looks well, I’ll post it.

 

[daedalus 10]

Good work man! You got a lot further than I did. I spent the evening in the EOT free indicator class trying to look at splitter examples for clues...

 

Didn't come up with much. Even with modifying the BA Pressure indicator to look for size it still leaves the fundamental question of how they are pulling this data historically and not just real time... and its one I don't have an answer to just yet.

[salsaman 10]

Awesome SwanJR. Look forward to your observations today.