Volume Splitter

[RichardTodd 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

 

Actually I did this last summer when it annoyed me that sometimes during lunch there were no 100 contract traders at all. The version I did can trade on a single chart from the day session into the evening session and it transitions over a few bars to the new environment(s).

 

While it's neat that it can do that, I wouldn't say it's surprisingly powerful. "Wonderfully convenient" is more like the extent of it. I was actually a little disappointed. It does seem to take a little noise out of the line when really big players come to the game (since it starts focusing only on them), but on fast charts those same really big players will be so much of the volume that they will dominate the shape of the splitter line anyway.

 

So, I didn't even bother to release it (because I was too lazy to make the enhancement for TS, eSignal, and our other platforms) (I did it on ninja). But, lately it's been pointed out that people have trouble finding the 'right' settings for their splitter on other markets besides ES, and the dynamic splitter would 'solve' that problem for the common case where you just want to follow the big players. So, sometime in the next month my company wants me to release it after all.

 

The new version will have a few enhancements to how it judges the line thickness as well.

Edited July 1, 2009 by RichardTodd

[RichardTodd 10]

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.

 

Well, if you consider how a macd works, then you know the line flattens out because the ema's are still separating but at a slower rate than before. So, momentum is coming out of the underlying in those cases, but the underlying isn't pushing down. Price coming down during an uptrend without big traders bothering to sell == potential for profit$$$

[cunparis 10]

Well, if you consider how a macd works, then you know the line flattens out because the ema's are still separating but at a slower rate than before. So, momentum is coming out of the underlying in those cases, but the underlying isn't pushing down. Price coming down during an uptrend without big traders bothering to sell == potential for profit$$$

 

Thanks for the explanation, it makes sense to me that it flattened out but did not turn down.

 

I'm curious, for ES, what is the best trader size to follow? Yesterday I followed three groups:

 

1,1

100,199

200,9999

 

it was interesting that there was a difference between 100-199 and 200+. It appeared the 200+ traders seemed to be a bit early around the turns. I suspect it's because when you're trading 200+ contracts you must sell into increasing prices and buy from decreasing prices and also that it was their activity which turned the market.

[BlowFish 10]

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.

 

I think I mentioned this earlier in the thread but you could use one of the 'fancy' low lag MA's Jurik, Hurst, Ehlers etc.

[BlowFish 10]

.......Actually I did this last summer when it annoyed me that sometimes during lunch there were no 100 contract traders at all......

 

Using SD's actually is a no brainier (well it is to me but then I am a no brainer myself )....except they are rather slow in execution unless you implement them as a continuous algorithm.

 

I also wonder whether it is worth eliminating outliers in certain cases. For example Globex allows you to negotiate blocks with a counter party outside the auction process (i.e. off the exchange). This is then reported as a single large block trade. There is a minimum size to use this feature (can't recall what) but it is probably worth eliminating them altogether.

[RichardTodd 10]

Using SD's actually is a no brainier (well it is to me but then I am a no brainer myself )....except they are rather slow in execution unless you implement them as a continuous algorithm.

 

Yeah, I used an alternate method that's eager to jump down and a bit more reluctant to jump up. The reason is that there's not much penalty for including too many traders for a bar or two (just a bit more noise), but including too few traders leaves the line flat.

 

I also wonder whether it is worth eliminating outliers in certain cases.

 

That's funny you should say that, because the dynamic splitter I made had both a minimum and a maximum that you could set. They were just static inputs, rather than SD-style outlier detection, though. In other words, no matter how slow the market was, I didn't want my splitter telling me that 5 contract trades were "big." I put in the maximum thinking of those extraordinary blocks you see in the tape on stocks sometimes, which in my experience has the opposite effect of a normal block if it has any effect at all. I actually didn't know about off-market globex trades. I don't think I've ever noticed an obvious one, so that's very interesting. Maybe I don't know how to spot them.

[AgeKay 10]

I actually didn't know about off-market globex trades. I don't think I've ever noticed an obvious one, so that's very interesting. Maybe I don't know how to spot them.

 

Me neither. Does anyone know how to spot these and what affect on the market this can have?

[BlowFish 10]

I did have a search of the CME before I posted and if there was an obvious helpful link I would have posted it (honest I did). There are quite a few links returned and I went through the first few but nothing that helpful (just talking about it in principle). There is a minimum size that is set (and sometimes adjusted) by the exchange. Eurex has the same feature too incidentally.

[AgeKay 10]

I am wondering whether off-exchange block trades even matter since they do not change the inside market. They would have to appear in the DOM and time & sales to have an effect on the market, no?

[shrike 10]

hi

 

thanks for sharing your works

[BlowFish 10]

I am wondering whether off-exchange block trades even matter since they do not change the inside market. They would have to appear in the DOM and time & sales to have an effect on the market, no?

 

I am pretty sure they are reported (i.e. cross the tape) but you are right they would not show up on the order book. It puzzles me exactly how it works if it is negotiated away from the market price.

[RickAce 10]

I think I mentioned this earlier in the thread but you could use one of the 'fancy' low lag MA's Jurik, Hurst, Ehlers etc.

 

Hello BlowFish,

 

I was wondering if you could add to your VolumeSplitter a reset to zero at the morning open (09:30 est) - or allow it to be at adjustable times.

 

inputs: 
Desc("AddText"),
UpColor(darkgreen), 
DownColor(red), 
DeltaBar(1), 
MaxBlock(9999),
MinBlock(0),
ResetDeltaEachBar(0);   

variables: 
MyVol(0), 
Block(0),
color(yellow), 
intrabarpersist MyCurrentBar(0), 
intrabarpersist VolumeAtBid(0), 
intrabarpersist VolumeAtAsk(0), 
intrabarpersist BAVolRatio(0), 
intrabarpersist VolTmp(0), 
intrabarpersist Delta (0), 
intrabarpersist DeltaH (0), 
intrabarpersist DeltaL (0), 
intrabarpersist DeltaO (0);  

if LastBarOnChart then begin    
MyVol = Iff(BarType < 2, Ticks, Volume); 
if CurrentBar > MyCurrentBar then begin 
VolumeAtBid = 0; 
VolumeAtAsk = 0; 
BAVolRatio = 0; 
VolTmp = 0; 
MyCurrentBar = CurrentBar; 

if ResetDeltaEachbar = 1 then Delta =0;
DeltaO = Delta; 
DeltaH = Delta; 
DeltaL = Delta; 
end; 

Block = Myvol - VolTmp;
if (Block >= MinBlock) and (Block <= MaxBlock) then
if Close <= InsideBid then
Delta  = Delta - MyVol + VolTmp else 
if Close >= InsideAsk then 
Delta = Delta + MyVol - VolTmp ;  
VolTmp = MyVol ;
end;  

DeltaH = maxlist(DeltaH, Delta); 
DeltaL = minlist(DeltaL, Delta);    
if Delta <= 0 then color = DownColor else 
color = UpColor;  
plot1(DeltaO, "DO"); 
Plot2(DeltaH, "DH"); 
Plot3(DeltaL, "DL"); 
plot4(Delta, "DC");

 

 

Thank you very much in advance - these indicators have increased my success in the markets!

[flyingdutchmen 10]

I was wondering if you could add to your VolumeSplitter a reset to zero at the morning open (09:30 est) - or allow it to be at adjustable times.

 

what would you want to do reset it, are you having the skript running 24/5?

 

as long as you open it before market will open it will not run any data and start

calculate all variables at "0"

in case it is still your wish place something like this in the code

inputs: ResetTime ( 0530 );

if t = ResetTime then begin //the 0530 is an example replace it by the future's closing-time - the time the last bar of that session will close
DeltaO =0;
DeltaH = 0;
DeltaL = 0;
Delta  = 0;
VolumeAtBid = 0;
VolumeAtAsk = 0;
BAVolRatio = 0;
VolTmp = 0;
end;

[flyingdutchmen 10]

i found this litle peace of info on another forum (yes that one)

can someone confirm this

 

I have been a TS customer for 4 years( not anymore ) so a few warning about TS Datas:

- If you trade futures, Implied prices sizes on DOM and prints in T§S are missing. Depending on the market, it can be half the prints...

-bid/ask datas( important for HF systems ) are not real time . It's just a snapshot at every tick.

[Tams 20]

You might be surprised to find out...

MOST of the data providers supply quotes in snapshots.

 

You can check the fine prints in your service contract for detail.

[flyingdutchmen 10]

im not realy that surprised

well ok, if it suits the quotes as well maybe i am

untill today i have not been able to customize any indicator that

shows correct t&s data

 

it indeed looks like a snapshot using skripts with commands like insidebid/insideask

 

wenn using upticks/downticks i am sure the information is an "average" only

as i see in my T&S window that within a single tick there could be over 10

different orders at mixed bid/ask

 

just wondering if you guys experience the same,

if so this all would be flawed

[cunparis 10]

i found this litle peace of info on another forum (yes that one)

can someone confirm this

 

I have been a TS customer for 4 years( not anymore ) so a few warning about TS Datas:

- If you trade futures, Implied prices sizes on DOM and prints in T§S are missing. Depending on the market, it can be half the prints...

-bid/ask datas( important for HF systems ) are not real time . It's just a snapshot at every tick.

 

I was wondering about this cause I sometimes see 1000 contracts on the ES T&S window and I was wondering if there were 1000 contract traders or if it was a sum of several trades. But at the same time I have a lot of 1 contract trades so if it were doing snapshots then wouldn't all the 1 contracts get combined?

[BlowFish 10]

Could be 'flawed' but still 'work' FD. I believe zenfire is a complete feed (that of course is in respect to actual prints) not sure about the inside bid and ask info they provide, one could always shoot them an email and ask. In any case I think NT it is a better platform for this sort of analysis as it is event driven.

[become 10]

Could be 'flawed' but still 'work' FD. I believe zenfire is a complete feed (that of course is in respect to actual prints) not sure about the inside bid and ask info they provide, one could always shoot them an email and ask. In any case I think NT it is a better platform for this sort of analysis as it is event driven.

 

Yes, probably. I have noticed lately, though, that NT's T&S window will sometimes drop trades if they occur too quickly (this is a filtered window > 99). Also, the T&S window trade direction sometimes disagrees with the direction of the trade according to their own bid-ask volume indicator. I have yet to investigate this thoroughly, but I suspect it's something in the T&S window itself rather than their basic tick processing.

 

Interestingly (btw) in intense periods indicator script appears to be processed immediately, while drawing the charts lags, and T&S lags even more.

[cunparis 10]

In any case I think NT it is a better platform for this sort of analysis as it is event driven.

 

I'm curious part of the event driven APIs you find more suited for the volume work. I ask because I am currently using tradestation and I can't think of anything NT provided for the bid/ask that TS doesn't.

 

The advantage I see of NT's event driven API is that you get call backs for order state changes and executions. But this is the only "event driven" thing I've used with NT.

[BlowFish 10]

I believe you can program ninja to generate order book changes. In tradestation you get 'events' for actual ticks within the event processing you 'peak' at the current bid ask. This leads to race conditions or sequencing errors. You can minimise the effect of this in TS but not totally eliminate it.

[phall 10]

I am wondering whether off-exchange block trades even matter since they do not change the inside market. They would have to appear in the DOM and time & sales to have an effect on the market, no?

 

most exchanges require all "off floor" trades be reported in a timely manner. the trouble is that this can be be out of phase with the current action. so if a large block trade is negotiated "upstairs" it will only affect the marked when it gets reported. this is part of the trouble with watching big trades only; they are not necessarily in response to other large block trades. also, the big trade has to respect all orders between the reported price and current so it will have the effect of firing off orders in the order book between the reported price and current. the large trading desks spend alot of time making sure it's not too expensive for them

 

for a detailed description, i would recommend Larry Harris's book: "Trading and Exchanges"

[RickAce 10]

what would you want to do reset it, are you having the skript running 24/5?

 

as long as you open it before market will open it will not run any data and start

calculate all variables at "0"

in case it is still your wish place something like this in the code

inputs: ResetTime ( 0530 );

if t = ResetTime then begin //the 0530 is an example replace it by the future's closing-time - the time the last bar of that session will close
DeltaO =0;
DeltaH = 0;
DeltaL = 0;
Delta  = 0;
VolumeAtBid = 0;
VolumeAtAsk = 0;
BAVolRatio = 0;
VolTmp = 0;
end;

 

Thank you flyingdutchmen...

 

When using a "GAP" chart this is how the indicator looks in the morning (chart started 2 minutes before opening bell):

 

 

As you can see the indicator does not start out at zero. It seems to always give some sort of previous volume.

 

Any other insights will be greatly appreciated.

[bbj_anchor 10]

I've just gone thru the thread... is there a NINJA version on here any where? I'd like one as using Zen-fire w/NT and find the data is excellent and I'm not a programmer (trying to learn NT scripting). I think this indicator is quite telling and would love to have a NT version to play with.. enhance my trading!

 

I saw some disparaging comments about VSA in my wandering. the use of upthrusts and downthrusts has improved my entry/exits emensely... I have watched many of TradeGuiders video/webinars live, and frequently out do them with their own indicators/ideas... but they wait for confirmations of one sort or another. This indicator would likely be my confirmation in my mind.

 

Thanks for your help.

 

BillyBob

[cunparis 10]

I saw some disparaging comments about VSA in my wandering. the use of upthrusts and downthrusts has improved my entry/exits emensely... I have watched many of TradeGuiders video/webinars live, and frequently out do them with their own indicators/ideas... but they wait for confirmations of one sort or another. This indicator would likely be my confirmation in my mind.

 

How/Where did you see the videos? I'd love to see them but it looks like you have to buy their software. I'm trying to program in some of their signals into tradestation.

 

I'm curious how people are using this volume splitter. I'm not sure which trader group to follow, sometimes smaller traders lead and other times the big traders lead. So far I'm not finding any one group better than the others. The fact that it's real-time only does make it difficult to analyze things.

 

As for an NT version, it shouldn't be difficult to write. The code is quite simple really. Ask on the NT forums.