Volume Splitter

[Tams 20]

i guess making a combination of more then just one index could be done

by reffering to more data's like data2 data3 etc but in order to make that

succesfull i think it is cruicial that we are satisfied with the "main" splitter as a

"combination"-splitter would only longer the skript but not make it much more

complex

 

could anyone of you guys be so kind to please post a text version of the

VS_MACD4 skript as i am unable to import the ELD files i am still runnig

the BlowFish bar-splitter without any smoothing

 

 

from this post

http://www.traderslaboratory.com/forums/56/volume-splitter-5824-9.html#post69064

 

here it is:

 

{Phall VS_MACD4
volsplitter version 4, using close compare
1)fix for Block reset implemented 6/17/09
2) change last close algorithm 6/24/09
3) added uptick/downtick tracking 6/24/09
}

{ PLOTS VERY SIMPLE MACD} 


inputs: 	
Length1(6),
Length2(10),
MACD_Length(3),
SmallBLockFilter(99),
LargeBlockFilter(9999);


variables: 	
	MyVol(0), 
color(yellow), 
avg(0),
intrabarpersist MyCurrentBar(0), 
  	intrabarpersist VolTmp(0), 	
intrabarpersist DeltaCu (0), 	
intrabarpersist DeltaH (0), 
intrabarpersist DeltaL (0), 
intrabarpersist DeltaO (0),  
intrabarpersist Block(0),
intrabarpersist LastClose(0),
intrabarpersist bool uptick(true);	

if LastBarOnChart then 
begin    	
	MyVol = Iff(BarType < 2, Ticks, Volume); 

	if CurrentBar > MyCurrentBar then 
		begin 		
			VolTmp = 0; 	
			MyCurrentBar = CurrentBar; 	
			DeltaO = DeltaCu; 	
			DeltaH = DeltaCu; 	
			DeltaL = DeltaCu; 
		end; 	

	Block=absvalue(MyVol-VolTmp);
		VolTmp = MyVol ; {rest block}

	{set uptick, down tick directop}
	if close>lastclose then uptick=true;
	if close<lastclose then uptick=false;
	LastClose=Close;


	if Block >= smallBlockFilter and Block <= LargeBlockFilter then 
		begin 		
			if uptick then	DeltaCu  = DeltaCu + Block
			else  DeltaCu = DeltaCu - Block;

		end; 
end ;   


DeltaH = maxlist(DeltaH, DeltaCu); 
DeltaL = minlist(DeltaL, DeltaCu);    




avg=(DeltaH+DeltaL+DeltaCu)/3;

value1=xaverage(MACD(avg,length1,length2),MACD_Length);


Plot1(value1,"MACD");
Plot2(0,"ref",Yellow);

 

 

 

in a text file:

VS_MACD4_(Phall).txt

[flyingdutchmen 10]

thanks alot it is very much appreciated

[kh_model 10]

The EOT version of Shelly's Volume that handles 4 markets is stated to be not available for Tradestation according to the EOT website, but it is available on MultiCharts. I think that is because Tradestation cannot handle "data2, data3, etc." on tick or volume-based charts whereas MultiCharts can. I'd be surprised if the developers decided that running the code on minute-based charts in Tradestation was not worth implementing, but I'd rather assume that they did not want repeated misunderstandings to arise when Tradestation customers couldn't run the code on their favorite tick-based and volume-based charts. A different approach that would probably solve the previously mentioned problems would be to create a composite symbol based on the required markets using a program like MetaServer RT which I think may have the ability to do that via its built-in scripting language. Of course, one might also need to feed the result to GlobalServer in Tradestation 2000i first, then use the integrated GlobalServer data source in OwnData to get the results into Tradestation 8.x. Trouble is, OwnData does not currently support Tradestation 8.5 or 8.6 as far as I know, so one would need to use a legacy version of Tradestation such as 8.1, 8.2, 8.3 or 8.4.

[RichardTodd 10]

I'd be surprised if the developers decided that running the code on minute-based charts in Tradestation was not worth implementing, but I'd rather assume that they did not want repeated misunderstandings to arise when Tradestation customers couldn't run the code on their favorite tick-based and volume-based charts.

 

Well... we implement stuff for ourselves, and then share it with our clients when we stumble onto stuff we like. So, even if something might be worth implementing, unless one of us wants it for ourselves, it won't get implemented.

 

None of us trade minute charts, so we wouldn't have tried out SV4 if it weren't for multicharts. Our TS customers do get the code, and they can indeed run it on minute charts to the best of my knowledge. But like you said, we don't go out of our way to advertise it because the questions would be endless.

 

Also that video must be over a year old now, and be aware that none of us at EOT uses SV4 anymore. I honestly don't remember why we quit (maybe just because ER2 went to TF and we were too lazy to reconfigure!), so maybe an investigation would renew interest. Sometimes we have so many ideas going that some get lost along the way.

 

BTW if you did try to clone SV4, you'd quickly find that you have to go a completely different way than your close-comparison solution. So, it won't be just a matter of making the script "longer" as someone put it. Multi-symbol indicators going tick-by-tick are still tied to the primary symbol to which you apply them... so even though you have access to data1 data2 etc, you'd only be executing on each of data1's ticks. So you can't detect data2's big trades the way you are currently doing it. If you don't understand what this paragraph means, then don't even try it until you've built a few simpler multi-symbol indicators. It takes some getting used to.

[flyingdutchmen 10]

i am not a tradestation user but a tradesignal user hence the reason

i cant open those eld files, only thing i have to do is replace intrabarpersist

by numericstatic and the skript will run in this software as it supports most of easy language

thx again for the code

 

even if one could refer to a composite symbol's volume or being

succesfull at multiplying volume from other data's like data2 data3 etc

i think the real problem is seperating all correct volume from bid and ask.

my software is able to handle volume of more data's on tick-by-tick

base but you must seperate the volume to bid volume and ask volume

for each single index making this skript far more komplex as i tought

 

if a bid volume at ES occured it is not said that the volume of YM

will also be at the bid side wich makes it impossible correctly calculating

a simple skript as i eventually tought like..

 

myvol = volume * volume data2 * volume data3 * volume data4;

 

if close < insidebid then....// this part only refers to data1 which makes

whole calcuation incorrect

 

i have a hard time believing that within 1 skript it could

be possible to seperate all volume from bid and ask side for 4 or more

symbols

 

i will run some tests tomorrow trying to seperate volume from 2 symbols

[flyingdutchmen 10]

BTW if you did try to clone SV4, you'd quickly find that you have to go a completely different way than your close-comparison solution. So, it won't be just a matter of making the script "longer" as someone put it. Multi-symbol indicators going tick-by-tick are still tied to the primary symbol to which you apply them... so even though you have access to data1 data2 etc, you'd only be executing on each of data1's ticks. So you can't detect data2's big trades the way you are currently doing it. If you don't understand what this paragraph means, then don't even try it until you've built a few simpler multi-symbol indicators. It takes some getting used to.

 

your post was just ahead of mine

 

thats what i tought,

i will follow your advice and test with some multi-symbol indicators

on tick-by-tick base to get litle more understanding about it

[phall 10]

 

if close < insidebid then....// this part only refers to data1 which makes

whole calcuation incorrect

symbols

 

does tradesignal provide the ask/bids synchronized with the ticks?

if they are not, as in tradestation, this will run wild... they only provide a "snapshot" quote field, which is why the blowfish4 doesn't work properly in TS

 

interested in which datafeeds do support synchronized bids/asks if anyone can provide guidance

 

phall

[flyingdutchmen 10]

The EOT version of Shelly's Volume that handles 4 markets is stated to be not available for Tradestation according to the EOT website, but it is available on MultiCharts. I think that is because Tradestation cannot handle "data2, data3, etc." on tick or volume-based charts whereas MultiCharts can.

 

 

 

there is a second video about SV_4 which i just watched

 

[ame=http://www.youtube.com/watch?v=uN3Y-uUMBxQ&feature=channel]YouTube - Shelly volume 4[/ame]

 

were at the beginnig of the 3th minute he said

"i simply added the volume of all indices by using data2 data3 etc

and dividet the endsum by 4"

 

but he also stated to have some problems in the beginning due to

his computer being to slow to calculate all data's

 

i found out today tradesignal5 (not tradestation) can handle

commands like

insidebid of data2

or

insideask of data3

 

im not sure yet how reliable the outcome will be; time will tell

 

this would not be possible with tradestation you believe ?

 

after reading the skript from MACD_4 i see there are no more

commands refering to bid or ask but rather using upticks (true/false)

and by an uptick the volume is simply addet to the DelaCU visa versa

if uptick=false;

this would mean on every uptick we would make the skript

believe last volume was volume at ask, is this correct ?

is this done to avoid possible fast movements

which could eleminate any failures or questioning the reliability of the insidebid/insideask command?

Edited June 28, 2009 by flyingdutchmen

[phall 10]

the computer that runs the eot indicators keeps freezing up today, so i won't be able to post charts, upgraded to TS 8.5 this week and have had a total of 5 freezes since.

 

i had this problem too. if you upgraded from the last version you will have problems. i found that if you remove all prior versions of TS from your machine and then download 8.5 it works really well. not sure why.

 

make sure you save workspaces from all versions because TS loves to mix up MyWork folders between versions, if one is not attentive.

 

phall

[BlowFish 10]

For multiple symbols the best option might be ADE (if using V@B V@A rather than plain old upticks/downticks).

[become 10]

I just read through this thread - some interesting threads, though it sure started with a lot of struggle over the code.

 

Interested NinjaTrader users who don't know of it should download the GomCD indicator from the NT forums. It prints cumulative delta bars, has 3 different calculation methods, a volume filter, and records the data on the hard drive so you have a historical record and can see cumulative delta across multiple sessions.

Delta Buy/Sell Volume - NinjaTrader Support Forum

[cunparis 10]

I'm testing out the VS_MACD4. Took me a while to understand the code. I set it to use 25 for the min block size, I thought 100 seemed hi. I figured I'm trading 1 contract so if someone is trading 25 they must know more than I. After studying the Time & Sales window I think that's true for the majority but not for all of them.

 

My only "issue" is the lag caused by the MACD. From what I see on a tick chart, it follows price pretty closely but lags behind it. In the EOT video the guy was bragging about how it leads price. The video was too small to see what timeframe he was using but in the video it does seem to lead price.

 

I'm curious if anyone has noticed this and if anyone has some ideas to eliminate some of the lag. I'm using 200 & 600 tick charts.

 

Thanks to the person who coded it. I think this has a lot of potential.

[RichardTodd 10]

I figured I'm trading 1 contract so if someone is trading 25 they must know more than I. After studying the Time & Sales window I think that's true for the majority but not for all of them.

 

Maybe you can use 25+ sized ticks well (on ES I assume), and maybe not. All I can say is that there is no shortage of 200+ sized ticks, and 25 contracts are obviously NOTHING to the bigger players. In other words, if you see lots of 25 contract market sales and you think "well, they know more than I do so I should sell too"... then you are blatantly in error from what I can tell. Traders who trade in the 1000's could frankly be doing just about anything in 25 contract increments. To put it another way, I don't think those trades carry much information, in an information-theory sense. It's just noise on your signal.

 

 

My only "issue" is the lag caused by the MACD. From what I see on a tick chart, it follows price pretty closely but lags behind it.

 

I know I sound like a broken record, but no one seems to hear me when I say: the main function of the indicator is to bring out times when large traders are in a big enough hurry to show their hands with large market orders. A secondary use of the indicator is to show that the small orders tend to be against the direction of the eventual move. All of the other stuff people want to believe they can see might be in there, but is probably better shown by another (possibly related) indicator.

 

There are plenty of times every day when, if you understand this, the indicator can help you find high-quality entry points. To find them, you have to think about what the line means, compared to what price means. I pointed out one very simple strategy a few posts ago against the macd version on a 610-tick chart posted here. There are other tradable ideas, and in some conditions the line will turn ahead of the move, sure enough. But it's not a magic line that always leads the market. If you are looking for that, you will have "issues" with every indicator you find out there.

 

I know I probably sound harsh, and I don't claim to know everything about how to use the indicator, but I do wish people would start from what the indicator means, and not blindly look for divergences or leading action or whatever. I would say the same thing about any indicator.

[cunparis 10]

Well I'm assuming v4 was in red, right? (I just hope it's not the middle one!) :-)

 

Anyway, if you look at the red line on the 610 chart in particular, you can see that just before 9:30, just before 10:16, and just before 11:04, and right around 12:48 and 12:59 are places that price pulls back but the splitter doesn't turn. This indication that the big boys and girls are fading the pullback is one of my primary entry techniques as long as it's with the trend. I've gone over this simple technique a couple times with my live room folks, and it's always popular.

 

Thanks Richard for your reply to my last post. I changed my setting to 100 and I'll keep increasing it to experiment.

 

I looked up your prior post that you referred to. I have studied the chart and I'm seeing something different than you so I hope you can elaborate a bit. You say that price pulled back but the big traders kept going in their direction. From what I see the big traders did participate in the pullback and the smoothing effect of the MACD makes the macd line flatten out a but it doesn't pull back.

 

To use this as an entry I think we need less lag. I'm seeing a lag of up to a couple bars.

 

If anyone has the EOT version, I'd love to see some comparisons between the v4 and the EOT indicator to see if the EOT version really leads price as seen in the video or if the example used in the EOT video was a rare case.

[BlowFish 10]

I just read through this thread - some interesting threads, though it sure started with a lot of struggle over the code.

 

Interested NinjaTrader users who don't know of it should download the GomCD indicator from the NT forums. It prints cumulative delta bars, has 3 different calculation methods, a volume filter, and records the data on the hard drive so you have a historical record and can see cumulative delta across multiple sessions.

Delta Buy/Sell Volume - NinjaTrader Support Forum

 

Thanks! I had planned to write something for ninja (event driven is certainly the way forward) when I got bored of a MMORPG that I just signed up for - Now I can play longer and just butcher this if needs be!

Edited June 30, 2009 by BlowFish

[BlowFish 10]

If I was to tackle block size as a project I would look at some sort of statistical analysis of blocks to determine dynamically what was 'large'. Not sure how well that would work but would dynamically adjust for seasonality and may be even fast enough to adjust for open, lunch, globex etc. I think this might be surprisingly powerful, send me a cheque if you make millions from it

[pimind 10]

My brother's away today so i have the eot indicators all to myself if there is a particular chart on the eot volsplit anyone wants to see let me know.

 

Also I believe that is extremely important to have a block size line thickness on the indicator. The thickness could be set to the size of the block trades or to the # of the block trades the more trade blocks + ? the thicker the line it may actually even be able to be defined as both, Color for frequency and thickness for size. I wish I could code this, But my Ts coding skills are not at that level.

 

Also from watching my brother trade he uses larger sizes 300+ and really looks at 700+ , 1000+ which occur less often seem really be a point to look at, he uses a combination of the EOT volsplit and looks at the T&S. Example after a huge move you start to see 1000+ orders in the opposite direction , it may be time to get out of trade and start looking for reversal. Also if you are short and 1000+ orders going long against you then you may want to reconsider your short.

[phall 10]

... the main function of the indicator is to bring out times when large traders are in a big enough hurry to show their hands with large market orders. A secondary use of the indicator is to show that the small orders tend to be against the direction of the eventual move. All of the other stuff people want to believe they can see might be in there, but is probably better shown by another (possibly related) indicator.

.....

I pointed out one very simple strategy a few posts ago against the macd version on a 610-tick chart posted here. There are other tradable ideas, and in some conditions the line will turn ahead of the move, sure enough.....

 

amen, brother

 

just to remind everyone using the VS_MACD4, the MACD method compares two trendlines to look for a divergence in the separation to indicate strengthening or weakening.

 

to look at just the "absolute" trend behavior, you can modify the last calculation in the code from

 

value1=xaverage(MACD(avg,length1,length2),MACD_Length);

 

to

 

value1=xaverage(avg, MACD_Length);

 

the MACD_length input will now be an EMA length (rename it an remove the other two inputs if you want it clean) and will now plot an EMA of the net change bar to bar.

 

this will tell you the past direction of the big traders and can be used to look for divergences off this central tendency

[cunparis 10]

amen, brother

 

just to remind everyone using the VS_MACD4, the MACD method compares two trendlines to look for a divergence in the separation to indicate strengthening or weakening.

 

 

I was playing around with this although I used simple MA instead of EMA. It reduces the lag a bit.

 

I'm monitoring 1 contract traders, 100-199, and 200+. It's interesting to see how each group reacts differently. Sometimes the 200+ group starts buying into the down trend (it was the case today). They were way early. Then 100-199 started buying. Finally the 1 contract players.

 

Sometimes the 1 contract players seem to be first however, and sometimes the 100-199 move in a different direction than 200+.

 

It'll take a lot of time and observation to learn how to use this info but I think it has a lot of potential.

[cunparis 10]

My brother's away today so i have the eot indicators all to myself if there is a particular chart on the eot volsplit anyone wants to see let me know.

 

Any ES tick chart would be great for me, if you can put EOT + VS MACD4 on the same chart that would be great.

 

I hear good things about EOT and their chat room. I'm considering giving them a try.

[pimind 10]

A 2500 VOlume Chart:

 

 

[cunparis 10]

A 2500 VOlume Chart:

 

 

[ATTACH]11801[/ATTACH]

 

They are surprisingly close. Maybe faster ma periods would make for less lag.

 

Also the EOT indicator doesn't lead as much as I initially thought.

[Tasuki 10]

pimind,

If you changed the settings on the VS_MACD4, would you be able to get it to more closely match the EOT vol splitter?

Tasuki

edit: cunparis, I swear that your post wasn't posted when I added my two cents. I guess great minds think alike---(now, where are those damn smiley faces when you need them?)

[pimind 10]

what setting would you suggest and i can try them.

[cunparis 10]

what setting would you suggest and i can try them.

 

Try 3/10 and 3/7

 

My message is too short so I write this.