The Price / Volume Relationship

[xioxxio 10]

but I can say without doubt that this would be an extremely massive programming project that could take months or longer to properly produce.

 

The above does not sound promising.

[Tams 20]

Not much commentary for this one.

 

Lot of FBO. I feel like the first one could have been better anticipated in real time because the RTL from the previous container fell right across that movement.

 

.......... any lateral?

[Ezzy 10]

Hope so too...:-)

 

I got an answer from Richard Stoll on 1/20 that read:

 

"The feature request is quite interesting. The ability to automatically shift the drawing tools and trendlines when using the degap feature would be quite useful.

 

 

I do believe that our Development Staff may be able to devise a tool or functionality for this, but I can say without doubt that this would be an extremely massive programming project that could take months or longer to properly produce.

 

Richard Stoll

Director Customer Service"

 

No idea if that means they will do something or if this is form letter #7B...

 

If you start a thread on their site, a wish list thread, let us know so we can all add our 2 cents. I suppose it would depend on how they codded their drawing objects. But you'd think it would be an extension of how the were able to de-gap price. But not my forte.

 

Regards - EZ

[xioxxio 10]

If you start a thread on their site, a wish list thread, let us know so we can all add our 2 cents. I suppose it would depend on how they codded their drawing objects. But you'd think it would be an extension of how the were able to de-gap price. But not my forte.

 

Regards - EZ

 

Agreed. Count me in.

[vienna 10]

If you start a thread on their site, a wish list thread, let us know so we can all add our 2 cents. I suppose it would depend on how they codded their drawing objects. But you'd think it would be an extension of how the were able to de-gap price. But not my forte.

 

Regards - EZ

 

Ok Ezzy, will do.

 

The most important thing-IMO- is to let their top people know (by whatever means) that traders would switch to their software if they offered that feature...that is the language that software developers understand and respond to - the possibility to get more subscribers.......I told them (truthfully) that I know several people that would switch, and that I would beat the drum for them on ET if they added that feature etc... unfortunately, I ended up not going to the NY Expo, so I missed the chance to lobby for it in person.

 

Btw...the "scrambling" in the first 5-10 minutes is certainly a pain, which must be a Hershey trader experience all over the world...

 

best, Vienna

[cnms2 10]

Quick Facts about Rollover Day

 

The following applies to many (if not most) futures contracts especially those from the Chicago Mercantile Exchange (CME) and Chicago Board of Trade (CBOT).

• Rollover is 8 days before expiration.
  
• Expiration is the third Friday of each quarter month (March, June, September, December)
  
• The contract letter associated with each month is: March=H June=M September=U December=Z
  
• Rollover is on a Thursday.
  
• Rollover is usually on the second Thursday of the month but will be on the first Thursday if the first day of the month falls on a Friday
  
• Volume shifts to the new contract at market open (09:30 EST) on Rollover day
  
• New day trading or swing trading positions opened on rollover day should use the new contract month irrespective of when you plan to close it.
  
• New swing positions might be better opened using the new contract if opened within a few days of rollover day.
  
• Market myths abound at rollover and expiration. Check the source and confirm the probabilities before believing anything
  

[gosu 10]

Ok Ezzy, will do.

 

The most important thing-IMO- is to let their top people know (by whatever means) that traders would switch to their software if they offered that feature...that is the language that software developers understand and respond to - the possibility to get more subscribers.......I told them (truthfully) that I know several people that would switch, and that I would beat the drum for them on ET if they added that feature etc... unfortunately, I ended up not going to the NY Expo, so I missed the chance to lobby for it in person.

 

Btw...the "scrambling" in the first 5-10 minutes is certainly a pain, which must be a Hershey trader experience all over the world...

 

best, Vienna

I still do not follow the rationale behind matching the RTH open with yesterday's RTH close, the "degapping", which not only discards very useful information but is a distortion of what actually occurred overnight.

 

Anyone have an idea how many Hershey traders all over the world are subscribed to TN? Just curious what number of subscribers makes it worthwhile for a software vendor to implement a feature like that.

[Tams 20]

I still do not follow the rationale behind matching the RTH open with yesterday's RTH close, the "degapping", which not only discards very useful information but is a distortion of what actually occurred overnight.

 

....

 

 

here are couple of examples which might help you to visualize the material...

 

 

 

 

 

you can find the EasyLanguage code here:

http://www.traderslaboratory.com/forums/trading-indicators/5949-shifted.html

 

72.41

[gosu 10]

Thanks for the examples. I have no trouble visualizing the material. In the two examples you give, I do not see anything gained by degapping and to me the fact that there is a sizeable gap at the open is quite relevant to how to trade the AM.

 

At the risk of pointing out the obvious, if there is a carryover channel from the prior day, matching the day's opening price with the prior day's close will guarantee that the day's initial trading will be within that channel. Whether or not this is useful for a contract that's traded overnight is the question. If indeed the RTH opens near yesterday's RTH close after trading all night, this is useful information, just like it is useful knowing that the RTH open is far away from yesterday's RTH close because of overnight activity. IOW, knowing what happened overnight is useful; the result of what happened overnight is either a gap, big or small, or the lack of one.

 

Your link states that there is a school of thought that says "today's price action is just a continuation of yesterday's." I'm not disagreeing with this statement and it is perfectly consistent with the reality that there will be a gap between RTH close to RTH open. Degapping goes beyond your statement and I think a more accurate description of its school of thought is "today's open is exactly where yesterday's close left off in both price and the volume gaussians" (the r2r, b2b stuff). So far as I can observe, no rationale has been offered for this view. The mantra GAPS DON'T EXIST! doesn't count.

[amisme 10]

The explanation I remember probably came from Jack but might have come from Spyder. It was that the character of the market after hours is different than the character of the market during RTH. Different players playing for different reasons in different ways. Same instrument, but the difference in participants creates two very different environments. Similar comments about the last 15 minutes of the day as that is a transitional period between the two.

 

As I understand it though, your trading style includes elements of JHM, with the rest not being anything I am familiar with. That being the case, the intraday gap may be relevant to you where it is not for others. I wouldn't know.

[xioxxio 10]

The mantra GAPS DON'T EXIST! doesn't count.

 

Gaps don't exist. Overnight trading is very thin. The best way to think of it is in terms of volume and price, not just price.

 

For example if the market closed at price x on day t, on t+1 if the market opened at x+y, the volume on the open would be the sum of overnight price move (x+y)-(x) had the market been trading in regular hours.

 

 

hth.

[gosu 10]

The explanation I remember probably came from Jack but might have come from Spyder. It was that the character of the market after hours is different than the character of the market during RTH. Different players playing for different reasons in different ways. Same instrument, but the difference in participants creates two very different environments. Similar comments about the last 15 minutes of the day as that is a transitional period between the two.

 

* * *

 

For simplicity, let's just say that all those differences you mention are true for the market outside of RTH - different character, players, reasons for trading, etc. What do these differences have to do with altering actual price data to match the close to open? What if there's no trading between close to open such as for weekends and holidays? There are no differences to account for but the open is matched to the close regardless.

 

Moreover, you state that the last 15 minutes of the day is also a different environment than the rest of RTH. Again for simplicity let's say this is true. Why is this period not disregarded and the open matched to the price 15 minutes before yesterday's close?

 

To stay consistent, all periods during RTH that are deemed to be different environments, such as midday lulls, the period before major announcements, the PM before a major holiday, etc. should be lopped off. But that approach would be an obvious absurdity.

 

The simple fact is that the same market exhibits different "character" all the time, within and without RTH. Is that reason enough to disregard actual data and shift price to conform to some consistency? That's for every person to decide for himself. It's not my business to tell anyone how to trade but I do get curious once in a while and so I asked.

 

Thanks for the response.

[gosu 10]

Gaps don't exist. Overnight trading is very thin. The best way to think of it is in terms of volume and price, not just price.

 

For example if the market closed at price x on day t, on t+1 if the market opened at x+y, the volume on the open would be the sum of overnight price move (x+y)-(x) had the market been trading in regular hours.

 

 

hth.

 

I agree with you. Gaps don't exist at the start of RTH because that's not when trading begins for the day. The start of RTH is important because it presents a certainty in the market: there will be an increase in volume (participation) at that time. I admit that this is not of much use to a person who doesn't want to see that the market has already been trading before he what considers the beginning of the day.

[patrader 10]

I still do not follow the rationale behind matching the RTH open with yesterday's RTH close, the "degapping",

 

The Journey Begins

 

What sequences the market requires completing today often continues over from the previous day. As such, placing ‘carryover’ tapes, traverses and channels from the previous trading day alerts the trader as to which sequences the market still needs to produce / complete. Since these Volume Sequences continuously move from one day to the next (as well as throughout an entire trading day), for all intents and purposes, ‘gaps’ do not exist. Sure, anyone can plainly see Price gap one direction or another, but in terms of Volume Sequences markets represent a continuous stream of information. In order to create the proper visual ‘scene’ for viewing the Volume Sequences, simply mentally (or use software which automatically adjusts the market for you) slide the Opening (current day) Price up to the previous trading day closing Price (16:15 Eastern Time). While some might consider my comments on gaps utter heresy, logically, one can show many examples of trends which continue from one day to the next (Wednesday to Thursday last representing one such example). In addition, one can, quite frequently see the market begin the first part of the day heading off in one direction, only to reverse course and spend the rest of the day heading in another (See Wednesday morning until 10:35 Eastern Time for a recent example). Again, unless and until the Volume Sequences complete, the current trend cannot end, nor can the next trend begin. Therefore, if trends have the ability cross a multi-day boundary, logically, the sequences of the Price / Volume relationship must also have the ability to continue across the EOD. This ability of the Price / Volume Relationship to extend beyond close of business renders gaps unimportant and irrelevant. As such, they do not exist. To reiterate, with respect to ‘gaps’ in Price, I realize a number of trading methodologies exist, and a significant number of authors have written books describing, the exact opposite of what I have written here. We are not discussing those methodologies here. I am not saying one cannot develop probability based methodologies which can produce profit (hell, I used to trade an ‘opening gap’ strategy years ago). What I am saying is, for the purposes of ‘seeing’ the Price / Volume Relationship at work, gaps (and any probabilistic methodologies associated with them) serve no purpose and play no role in how one views the ‘right’ side of the market.

 

Finally, when a trader begins the process of learning to differentiate that which they believe exists from that which actually does exist operating under the ‘correct’ mental state augments the learning process. In other words, ‘learning to learn’ begins with observing the market (almost in a scientific sense) in order to see that which exists, rather than, in an effort to prove or disprove pre-conceived notions. I do not expect anyone to blindly follow along, nor to I demand any great ‘leap of faith’ in order to participate. I’ve simply shown you how and where to go and look. Whether or not one chooses to actually go and see for themselves, remains a matter of individual choice.

 

- Spydertrader

[patrader 10]

I still do not follow the rationale behind matching the RTH open with yesterday's RTH close, the "degapping",

 

Forums - Nesting Fractals Dealing with RTH continuity is very important.......

[gosu 10]

Forums - Nesting Fractals Dealing with RTH continuity is very important.......

 

I am familiar with those references and read them near the time when they were made. The statements regarding the continuity of the markets from one RTH session to the next do not comport with my own experience monitoring the same markets on the same time increments day after day for many years. Personally, I do not find the incongruity important. I took a mercenary approach to gathering the pieces to a trade methodology and arrived at a place where the all-sessions chart provides important data.

 

My comments are not meant to criticize or stir debate. For more than 10 years I have studied and otherwise made an effort to follow the discussion and have seen the transition from waiting until "sync" to enter to entering on bar 1 with reference to yesterday's bar 81. The arbitrariness of both approaches do not bother me at all and I accept that in trading sometimes choices need to be made that are at bottom arbitrary. Notwithstanding the explanations offered, this appears to be one of those arbitrary choices. That's just my opinion, of course.

[amisme 10]

The current up channel, as I see it. Possible end at 15:10 today

[vienna 10]

What Spyder used to call "FTT to FBO" or what others call "rolling up" pretty much all day long...

 

hth, Vienna

[vienna 10]

upon debrief, changed the slow gaussians slightly...that increasing red vol at 11:50 threw me in RT, but then I remembered a comment from Spyder that sometimes increasing vol occurs on the nondom when it reenters the old channel (red)...

 

Vienna

[amisme 10]

Haven't found myself upside down yet. Feeling good about that.

 

Bookmark at 1402 today for down channel and watched two bars come up to 1401.75 before reversing. That was a little perplexing, but it worked out. Now I have an RTL that moves one tick down for every 82 price bars.

[vienna 10]

....pretty similar..

 

Like your interlocking gaussians!

 

best,

 

Vienna

[FilterTip 10]

Daxing................

[vienna 10]

Today's ES....

 

regards, Vienna

[amisme 10]

Today was difficult in real time, especially in the early day. I did draw an up traverse that did not break RTL of a down traverse that had VE'd steeply and did not create a new point 3. Ultimately I decided that it makes sense on volume, so I'm doing it. I think I got on track and feel pretty good about 11:10 on.

[amisme 10]

Today's ES....

 

regards, Vienna

 

It is interesting to me that we have ended up at about the same place. I started my current annotations from a clean slate a few days ago, so I've been wondering if my largest container would be off. I seem to have aligned with correctly drawing an up channel, but I did notice mine had a little bit different slope than yours. I believe yours was correct, and by annotating as consistently as I could, today brought me to the same place in that regard.

 

End of day gives us a tricky thing. The lateral we have there, I expect it to be a non-dom inside the tape, and here is why. Volume trough does occur on volume, but it occurs on the first bar of the lateral, with volume increasing steeply afterwards. In other words, no volume trough to correspond with the two actual down bars. On top of that, the lateral bar touches LTL, which in several examples does not end the tape until the lateral ends.

 

However it is end of day, where we expect volume and volatility to be increasing, and there is a volume trough.