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eurotrader

Tick Vs. Time Interval Charts

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Indeed though I thought AgentKay was talking about 'order book' ticks i.e. not generated by an actual trade (similar to how FX data providers generates ticks). It is my experience that using those as a proxy for volume is not nearly as useful as 'real' ticks. That's not to say the information is not useful, its just rather a dubious proxy for volume.

 

 

ok... yeah, real trades are very different from bid/ask quotes

 

I'm talking about traded ticks and volume

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Ticks and Volume have been shown through various research studies by the CME (I believe) to have a high degree of correlation... meaning you can use either.

Rahul

 

 

can you post the link?

 

I don't seem to be able to locate what you are talking about.

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Great topic, My 2 cents. low Tic, Vol and range bars will make your indicators fire off faster. So if that is your goal maybe they will help. but Indicators only tell you what price action is doing. I would study price action and price action patterns. I like using the five minute chart and I look for spots were early shorts or longs got sucked in and are jumping out. most of whom are using tic vol range and 1min charts. When they are forced out of their trades they are driving the market in my direction.

 

Also I find it hard to trade with an absent of time. just watch an emini 5 minute chart for a day and pay attention. don't be checking email and IMing. watch the chart. You will see a number of times through out the day that a bar will sell off and stay at its low but just before the bar closes it will shoot to the top of the bar and makes a bull close. It happens all the time. The 89 tic and it indicators are all saying sell. and now your trapped short. Also watch major closes. your 15, 30, 1hr closes.

 

 

I hope some of you try this and give feed back.

 

 

that's a great insight... sounds like anything else, changing markets require one to adapt.

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can you post the link?

 

I don't seem to be able to locate what you are talking about.

 

hmm, I just spent 30 minutes trying to find it as well, no luck.

 

I did find a couple studies referring to the difference between volume and trades (ticks) for mature markets vs emerging markets.

 

 

Emerald: Article Request - Trade size, trade frequency, and the volatility-volume relation

 

ScienceDirect - Journal of Financial Economics : Trade size, order imbalance, and the volatility–volume relation*1

 

 

This leads me to suspect that each market might need to be handled differently... or that preferred trading style will lead you to trade different markets.

 

Rahul

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I believe TradeStation displays inside bid/ask.... however, I'm unsure if it displays historical information or displays based on how long the chart is kept open.

 

Sorry but you are missing the point.

 

 

The quote to which the reference was made:

 

My favorite chart is one that shows you each individual price change based on the inside market because that is the only chart that does not require arbitrary parameters and it makes S&R easier to determine.

 

So it is not about showing bid/ask at some moment which many charting software does.

 

It is more about defining a distinct kind of charts that is different from the well-known types that take their basis from time, tick count, range or overall trade volume.

For all kinds of charts there must be a point when a new bar (or candle) starts. For time based that is after some time (e.g. 5 min), tick based some number of trade ticks (e.g. 100) and so on.

I understand the posting so that it is (theoretically) possible to start a new bar dependent on how much volume was traded at bid or ask.

 

The reaction of AgeKay to my request for further information makes me believe that he wrote his post rather theoretical - perhaps inspired by the other posting also.

 

 

Two things make me doubt that such charts exist or are of value:

 

- I cannot see depending on which condition exactly a new bar should be started

 

- Trades at bid and ask are highly manipulated. If you look even at a high-speed data stream you find that quite often there are subsequent trades that come in so fast that the quote source has not enough time to adjust bid or ask. Therefore it is easily possible that a trade that happened at bid is seen as a trade that happened at ask and vice versa.

The manipulation/disguise makes sense because if just from "hammering the ask with trades" you could know with a high chance that price is/will be going up it would be much too simple to make money from this.

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Also I find it hard to trade with an absent of time. just watch an emini 5 minute chart for a day and pay attention. don't be checking email and IMing. watch the chart . You will see a number of times through out the day that a bar will sell off and stay at its low but just before the bar closes it will shoot to the top of the bar and makes a bull close.

 

In my view this is a very important point that makes a difference between traders - staying alert, watching what happens.

 

I think it is so important, because the information you can get through watching does not later appear in a conventional chart!

If you do not watch it while it happens there is no way to see it later on the chart.

On the other hand this is a close to impossible task: Only a few will be able to stay alert for hours, watch every little move and recognize what it means.

 

 

There is only a minor number of variables in any data stream:

- price, time, volume

- with regard to either trade happened or order level in the book

 

Putting as much of this information together into a graphical presentation in a way that you can still digest makes a difference.

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It is more about defining a distinct kind of charts that is different from the well-known types that take their basis from time, tick count, range or overall trade volume.

 

Right.

 

I understand the posting so that it is (theoretically) possible to start a new bar dependent on how much volume was traded at bid or ask.

 

Wrong.

 

The reaction of AgeKay to my request for further information makes me believe that he wrote his post rather theoretical - perhaps inspired by the other posting also.

 

It's no theoretical and not inspired by the other post. I have an actual working version of this. I just don't want to post a screenshot of it. I have already talked more about it than I originally intended to. I am willing to trade ideas if they are original, but no free lunch for you.

 

- Trades at bid and ask are highly manipulated. If you look even at a high-speed data stream you find that quite often there are subsequent trades that come in so fast that the quote source has not enough time to adjust bid or ask. Therefore it is easily possible that a trade that happened at bid is seen as a trade that happened at ask and vice versa.

The manipulation/disguise makes sense because if just from "hammering the ask with trades" you could know with a high chance that price is/will be going up it would be much too simple to make money from this.

 

This is simply untrue. Trades at bid and ask are not manipulated. If your data stream cannot keep up with the volume of data, then you have a crappy data stream. Get a good one instead of making up conspiracy theories.

Edited by Soultrader
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On the other hand this is a close to impossible task: Only a few will be able to stay alert for hours, watch every little move and recognize what it means.

 

 

There is only a minor number of variables in any data stream:

- price, time, volume

- with regard to either trade happened or order level in the book

 

Putting as much of this information together into a graphical presentation in a way that you can still digest makes a difference.

 

That's what I was trying to accomplish with my custom charts. There is way too much information being ignored by bar charts and you can't keep everything in your head (especially me). I could actually take a break and not miss any information.

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That's why I use Dynamic Pic Bars - DPB

 

What is a Dynamic Pic Bar? A google search returns zero hits so my hunch is it's a phrase you have coined for something proprietary?

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What is a Dynamic Pic Bar? A google search returns zero hits so my hunch is it's a phrase you have coined for something proprietary?

 

Proprietary and highly accurate and reliable.

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Ahh OK I wondered because the charts you have posted in the past to demonstrate trading decisions you made in your journal thread where 'regular' charts. Is this a new development or was there always a 'secret sauce'? Just curious.

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Ahh OK I wondered because the charts you have posted in the past to demonstrate trading decisions you made in your journal thread where 'regular' charts. Is this a new development or was there always a 'secret sauce'? Just curious.

 

Exclusive New Development in Price Action Technical Analysis.

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Ahh OK I wondered because the charts you have posted in the past to demonstrate trading decisions you made in your journal thread where 'regular' charts. Is this a new development or was there always a 'secret sauce'? Just curious.

 

Blowfish,

 

Without even a hint as to concept or construction and not even a cherry-picked graph and with claims like - "Proprietary and highly accurate and reliable" and "Exclusive New Development in Price Action Technical Analysis" I believe you are right about these DPB's being based on a "Secret Sauce." Further I think that our collective noses are beginning to detect the main ingredient of that sauce.

 

Cheers

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