Volume Splitter

[swansjr 10]

 

Below is the code put together. note that the triple average is not a straight TRIX because you can't take the log of a neg number in TS. you'll need to play with the averaging length to get what you need.

 

I just wanted to note that this code counts the trade volume between ticks; this is not the same as true time and sales data because you can get many small trades before you move the tick value. It's probably a decent approximation if using large enough lot size minimum as the big bids will move the tick value pretty consistently. (you can see this in the Time and Sales window)

 

if you are a user of TS, please go on the easylanguage forum and VOTE for providing the real T&S data. if we can get them to move this up their development priority list, then we can really do this with the right data.

 

If the EOT guys have access to the real time trade data by trade (not ticks), theirs will be much more accurate. if anyone knows how they get this (dll or whatever) please post

 

Thank you to all who put up code and provided comments

 

Thanks for the post phall. Yes, I noticed the Log issue as well.

 

I've not used the Time&Sales window in TS but apparently it works as expected. If true this would imply the data from TradeStation does contain Time&Sales data however, such data is not accessible via EasyLanguage. This would corroborate a message from a TS Easylanguage specialist that stated Time&Sales data is not accessible in EasyLanguage. Thus EOT may be using a DLL, as you suggested, accessing the data and passing it to an EasyLanguage indicator.

 

I second Phall's request for any insight into this.

 

Thanks again.

[bakrob99 11]

not having a go at you but those two statements are not synonymous .

 

You are right. I was mistaken. I am using TS to capture Upticks/Downticks becuase their Bid-Ask information is only a snapshot and not complete. Having said that, I am very happy with the results (for me) as using Upticks and downticks as indicating support and resistance levels.

 

I derive them from a 1 tick chart because I can store the values and use them to backtest and/or develop strategies to support or disqualify my theories.

 

As an aside - their use on the EMD contract is unbelievably accurate.

[BlowFish 10]

At the end of the day that's all that matters! If one method 'works' for you then chances are so will the others. To be quite honest despite seeing potential value in these sorts of indicators I find that they end up confusing me as often as not and I end up going back to plain old price and volume.

[flyingdutchmen 10]

i have said this before and you can hear the guy ftom EOT say it

in the second film "Dumb Money Part2" somewere in the midle of the film

 

this indicator is plotting ONLY ON LIVE STREAM and can NOT be used

with hystorical data

 

no DLL no nothing just plain simple calcuations just as we are trying to skript here

[bakrob99 11]

this indicator is plotting ONLY ON LIVE STREAM and can NOT be used

with hystorical data

 

You are assuming that the Bid-Ask information is not avilable on a tick by tick basis . This is not true for some platforms. Some of them have the ability to access that information "historically". TS is not one that does this.

[flyingdutchmen 10]

You are assuming that the Bid-Ask information is not avilable on a tick by tick basis . This is not true for some platforms. Some of them have the ability to access that information "historically". TS is not one that does this.

 

i am teling that the indicator you guys see in the youtube-film is working on

LIVE FEED only and the guy in the films admits it saying

 

" i have turned on the pc at 9am this morning it takes a while for

the indicator to plot because it only works on live feed "

 

i am talking about EOT's indicator and can not recall i have spoken about what can or can not be done by tradestation or

any other software

Edited May 7, 2009 by flyingdutchmen

[swansjr 10]

i have said this before and you can hear the guy ftom EOT say it

in the second film "Dumb Money Part2" somewere in the midle of the film

 

this indicator is plotting ONLY ON LIVE STREAM and can NOT be used

with hystorical data

 

no DLL no nothing just plain simple calcuations just as we are trying to skript here

 

I may be misreading you flyingdutchmen, but executing from a DLL does not necessarily imply they must be using historical data. As you have pointed out the EOT indicator appears to require live data yet, this does not suggests a DLL is not being used. A DLL is often used to add functionality beyond the scope of EasyLanguage. I'm wondering if they are accessing Time&Sales information - their own version of the Time and Sales window found in TS - and pass this to their indicator. But this is pure speculation.

[zdo 20]

re historical data for fields TS doesn't keep

you can always harvest the data off each day to SQL server to build up a tick level backtesting database.

Alternatively, for these short time frames, forget backtesting and just forward test several variants of a system- sizing cautiously of course... the comparative costs are surprisingly near equivalent

[cooper59 10]

I know very little about programnning but can tell you that the Volume Splitter by EOT works as well on TS as it does on Ninja. This may be a very obvious comment at this point and if it is I do apologize for the ignorance of this post, From a non-program person, it seems as if some are saying that this indicator cannot be produced for TS? Yet, EOT does provide it for TS, Ninja and I believe E-signal as well.

[Tasuki 10]

So, let's recapitulate. After nine pages of discussion, it looks like we still don't know what the folks in the videos of the first post were doing. I've tried to use the code that was posted on previous pages, but the resulting indicators were blank or simply drew a straight line, even though they verified successfully. (not sure why that would be).

 

swansjr, your post in permalink #23 from May first was pretty darn good---modifying the bid/ask pressure indicator. Can you share with us how that works?

[flyingdutchmen 10]

indeed the way it looks sofar

is that we have various posters here im tread claiming it can be

done; some even say it is "easy" yet untill today after 9 pages

we have not succeed to make a replica of the dumb/smart-money

indicator nor did we even come close

and yes i have also not succeed

[swansjr 10]

Yes, it's interesting how some people say this is easy. Yet, I don't see any working code. That's how easy it is. :crap:

 

TradeStaton does not allow access of Time&Sales via EasyLanguage. So, it seems to me you either have to derive approximations of Time&Sales via clever programming or someone has written a DLL to access Time&Sales within the TradeStation data stream.

 

Anyway, here is my only attempt. It’s far from working like the EOT indicator. Occasionally it’s spot-on showing yet, other times it is dead wrong.

 

VOLUME_SPLITTER_V1.ELD

[daedalus 10]

Thanks for posting it up swan! I'll play with it and see if I can make any appreciable changes for the better!

[pimind 10]

Thanks swan. The Eot indicator is also wrong at times. The thinking is that smart money lets the dumb money make money sometimes.

[cooper59 10]

IMHO, The indicator itself is very clever and valuable if used correctly. You can set the indicator to read orders only greater then 100. You can then set the same indicator on the same chart one level under the first one. This indicator you can set to read only orders 50 are less. This indicator being used on your chart in two seperate levels (say levels 2 and 3) is now providing some very valuable information especially if you are a short term trader. If you see the 100+ has been quiet and the 50 and less has been selling, it gives you an idea of whats happening in the market. During that time period only small traders have been selling the market. If you are watching the indicators and now the 100+ starts moving up, you see the larger traders or large firms are buying the market. Take all that information and put it together and you now have a story. All the 50 and less traders will more likely then not need to cover or buy the market as they see the larger orders pushing the market higher. If you read price action you understand this. This indicator simply displays it on a chart and in any contract size.

Their must be something very different about programming this indicator because it seems to have baffled all. Which rarely happens in this forum.

:crap: :doh:

[BlowFish 10]

This should do what is required.

 

inputs:
Period(20),
MaxBlock(9999),
MinBlock(0),
UpColor(green),
DownColor(red);

variables:
MyVol(0),
Color(yellow),
SmoothedBA(0),
Length(squareroot(Period)),
Block(0),
intrabarpersist MyCurrentBar(0),
intrabarpersist VolumeAtBid(0),
intrabarpersist VolumeAtAsk(0),
intrabarpersist BAVolRatio(0),
intrabarpersist VolTmp(0);

if LastBarOnChart and BarStatus(1) <> 2 then begin
  	MyVol = Iff(BarType < 2, Ticks, Volume);
if CurrentBar > MyCurrentBar then begin
	VolumeAtBid = 0;
	VolumeAtAsk = 0;
	BAVolRatio = 0;
	VolTmp = 0;
	MyCurrentBar = CurrentBar;
end;
Block = Myvol - VolTmp;
if (Block >= MinBlock) and (Block <= MaxBlock) then
if InsideBid < InsideAsk then begin
	if Close <= InsideBid then
		VolumeAtBid = VolumeAtBid + Block
	else if Close >= InsideAsk then
		VolumeAtAsk = VolumeAtAsk + Block; 
	end;
if VolumeAtBid > 0 and VolumeAtAsk > 0 then	
	BAVolRatio = Log( VolumeAtAsk / VolumeAtBid );
VolTmp = MyVol ;
end ;
SmoothedBA = xaverage(xaverage(BAvolratio, Length), Length);
if SmoothedBA <= 0 then color = DownColor else color = UpColor;

plot1(SmoothedBA, "Pressure", color);
Plot2( 0, "ZeroLine" ) ;

[Blu-Ray 10]

To sum up the questions so far within this thread......... Yes this can definately be coded into Easy Language.

 

If somebody is currently having a trial of EOT's volume splitter, then can they let me know & we can get some screenshots and I'll do my best at replicating the indicator.

 

Cheers

 

Blu-Ray

[swansjr 10]

To sum up the questions so far within this thread......... Yes this can definately be coded into Easy Language.

 

If somebody is currently having a trial of EOT's volume splitter, then can they let me know & we can get some screenshots and I'll do my best at replicating the indicator.

 

Cheers

 

Blu-Ray

 

Any help would be appreciated. I don't have the indicator so I don't have a direct screenshot. However, here is one from their web site. It's an ES chart where they are tracking "big" traders. From previous videos it seems “big" is often 50 or 100 contract orders or larger.

 

You can also find a short video here:

http://eotpro.com/VOLUME%20SPLITTER.wmv

 

 

Thanks!

[Blu-Ray 10]

Any help would be appreciated. I don't have the indicator so I don't have a direct screenshot. However, here is one from their web site. It's an ES chart where they are tracking "big" traders. From previous videos it seems “big" is often 50 or 100 contract orders or larger.

 

You can also find a short video here:

http://eotpro.com/VOLUME%20SPLITTER.wmv

 

Thanks!

 

 

Thanks, but since the indicator is based in real time only, I need to get some specific screenshots, so I can synchronise some charts to replicate it.

 

Cheers

 

Blu-Ray

[Tams 20]

here are some chart examples from the TSSupport forum.

[Tams 20]

they have a whole collection of indicators... LOL... don't know which is what...

 

the commentaries sound enticing tho.

Edited May 11, 2009 by Tams

[Tams 20]

if you put enough of them on the screen, one of the will score...

[zdo 20]

(BluRay pls correct me if I'm wrong, but) I think what he is asking for is a screen shot of just price bars and their 'Splitter' indicator (or even just the 'dumb' or 'smart' part of it) using same timeframe each shot across maybe the first 2 hours of trading or so for a few consistent days. Please also post the instrument, timeframe/barcount, and parameters being used with their study - that way those working on it can have a reliable reference to compare to and approach...

[Blu-Ray 10]

Thanks Tams for the pics.... yes they have some bizzare indicators and the bloke on the videos talks like he's spaced out at times.

 

(BluRay pls correct me if I'm wrong, but) I think what he is asking for is a screen shot of just price bars and their 'Splitter' indicator (or even just the 'dumb' or 'smart' part of it) using same timeframe each shot across maybe the first 2 hours of trading or so for a few consistent days. Please also post the instrument, timeframe/barcount, and parameters being used with their study - that way those working on it can have a reliable reference to compare to and approach...

 

Thanks zdo.... yes what I'm after is someone who is trialling this indicator.

 

Once we've found someone using TS data then I would just need to arrange to take some screenshots of, for example, a 1min chart of the ES in real time..... so the chart is big enough to shows me the values and in the meantime I can run a chart concurrently at my side & i'll try & match it up.

 

Cheers

 

Blu-Ray

[swansjr 10]

While this chart will not help Blu-Ray I thought others might find it interesting. Richard from Move the Markets is the guy who coded the EOT indicator (if I remember correctly) and he had a recent post of the volume splitter on his web site.

 

"The top subgraph is the 50-contract traders. Below that are the 10 and 5 contract traders. "