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dandxg

Question for Urmablume

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I am not sure if this has been asked........

 

With all the discussion of clamping down on flash orders and such will this make your indicators less valuable?

 

I had been thinking about this because many of your posts/indicators seem to take advantage of micro second imbalances.

 

Dan

 

P.S.

 

I want to thank you again for sharing your concepts/ideas. I look at your indicators, along with a couple of other proprietary ones I have watched real time, and think it's no wonder most will never make it with BB's, MACD, and such.

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I am not sure if this has been asked........With all the discussion of clamping down on flash orders and such will this make your indicators less valuable?I had been thinking about this because many of your posts/indicators seem to take advantage of micro second imbalances.

Dan P.S. I want to thank you again for sharing your concepts/ideas. I look at your indicators, along with a couple of other proprietary ones I have watched real time, and think it's no wonder most will never make it with BB's, MACD, and such. LOL - your observation is most astute - the fact is - they never did and most likely never will - cheers

 

Dan,

 

Thank you very much for the kind words.

 

Really only one of the indicators I have posted uses such micro time frames and that is our indicator of the bias and magnitude of the intensity of commercial trade.

 

When I studied under Peter Steidlmayer he taught us the importance of locating this trade. In those days pit traders knew the commercials personally and knew that when they put their hands out that there was size business to be done. From palms inward for buys and outward for sells - the bias of this trade was plain for all to see.

 

Yesterday's trade (Monday 24th) completely demonstrated the efficacy of spotting this trade as shown in the charts below. In direct answer to your question - yes I believe that it will continue to be that kind of trade that dominates local extremes and yes I believe that there will continue to be technologies that can spot such trade in a timely manner and allow its users to "join the party" that this trade offers several times each trading session.

 

Today what we call the commercial trade is that trade done by hedge funds, trading houses and others with the power, resources, technology and size to establish local extremes.

 

Our indicator, which several on this forum have been able to successfully reverse engineer, was designed to spot this trade. Its calculation is described as - "When taken in combination, the acceleration and deceleration of buying and selling volumes, total volume and the velocity/rate of change in the balance of trade reveal a certain dynamic that we find present at many, if not most, intra-session extremes."

 

The high of Monday's trade in ES occurred at 0808 PST up 5.5 points from the 0630 open. Note the huge spike in sell biased intense commercial trade that occurred at least 2-3 minutes BEFORE the final tick at the high.

 

monhigh.jpg

 

 

The low of Monday's trade occurred a little over 4 hours later at 1221 and 13.75 points lower and was pre-indicated by another, even bigger, spike in commercial intensity - this time on the buy side and it came plenty early to get trades in.

 

monlow.jpg

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Hi UB,

 

Thanks for the charts.

As you know trade managment is very important. I rarely hear you mention how you manage these trades. for example are you exiting on same signal that causes you to intiate the trade or scaling out...etc. can you explain.

 

Miday I went long ES at 1028.25 around 1020 ish... I was only able to get a couple of point before exiting, even though it went farther. So trade entry is one thing milking the trade is entirely different subject and this is why I ask the above.

 

 

thanks

Edited by Mustang-

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Hi UB,Thanks for the charts. As you know trade managment is very important. I rarely hear you mention how you manage these trades. for example are you exiting on same signal that causes you to intiate the trade or scaling out...etc. can you explain.Miday I went long ES at 1028.25 around 1020 ish... I was only able to get a couple of point before exiting, even though it went farther. So trade entry is one thing milking the trade is entirely different subject and this is why I ask the above.thanks

 

Thanks for the thanks.

 

While of course you are right that trade managment is very important - it is always easier to manage a trade that has been well and precisely entered.

 

Our indicator of biased commercial intensity is one of our more heavily weighted entry qualifiers. After entry we use such indicators as our indexes of weighted biases in multiple volume/time time frames to keep us "in synch with the legs inside the legs."

 

Here is a shot of that index overlaid with price on an 8k chart of ES. As it leads price in most instances it is possible to apply this all the way down to the 1k level and take the legs and profits as indicated by the higher level biases and executed according to the lowest level biases - helps catch the overlap.

 

leading.jpg

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UrmaBlume

 

Great explanation with charts

 

Have a question: attached 5min charts of Russell, Dax

 

Here you will observe there are spikes in vol at price levels where sellers are overwhelming the bars and when these levels are tested again there are obviously not many buyers left, hence providing high probability short opportunities.

 

Recognise that more time has elapsed on these charts, however these opportunities can be recognised without resorting to breaking down the vol into sell or buy vol.

 

Would you care to elaborate on this aspect, since you obviously have more inside knowledge on the workings of volume relative to price.

DAX.png.877e135943fe89cdfa6cb5bb8dd58da4.png

RUSSELL.png.85dd2dc98153799a1fd802bd5c8701db.png

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Hi Shamal and Urmablume,

Please correct me on what I'm missing. Shamal, I believe that while you're correct that high volume spikes on time based bars can show moments of capitulation and subsequent turns in the markets, to turn this information into a viable/actionable/successful trade has it's challenges in the realtime arena. This is where the precision analysis that Urmablume and friends-that I'm just beginning to ponder-comes in, and provides more mechanical precision in entering and exiting. When big "size" is on the line, this kind of precision is probably a real ally.

 

In looking at your charts, the first 5min DAX chart, from my little exploration into VSA, I can say okay, ultra high volume coming in on an up move that closed in the middle with an very wide spread (supply overhead), this occuring at 15:00 and after a brief upward rally (potential turnaround), and I could also say: "I'll wait for a no demand low volume test or maybe an upthrust to confirm (or better both :-)) this potential weakness and enter the market short. We get that "no demand" bar 2 bars after the ultra high volume (kind of combined with an upthrust feature), and I could say I'd enter short on the close of that bar. And, although this commentary is all hindsight and hindsight in trading is both 20/20 but also "Fantasy", so although all that is hindsight, technically I'd be following preset rules of VSA looking for certain high volume and subsequent low volume and certain features in price ranges for my entry...and maybe the trade would work out.

 

This might work for me and my 4 lot trading reality. However, if I'm a bigger fish, trading 100-500 lots, this kind of mental guess work interpreting the time bars and the volume bars is not going to give me enough confidence to enter that trade. But, what if I could spot the trail of very big fish establishing a campaign to take the market down, and this trail has more data variables than just simple volume over 5min (such as trade speed, certain patterns in the tape, certain patterns as in less variability in the amount of DepthOfMarket of lower bid orders--i.e. very big fish preparing to receive sell orders below the market) than just simple volume over 5min, to give me a fine grained continuum of confident-to-work to less-likely-to-work...all of this would give me much more confidence to pull the trigger or sit aside...and all of this needs the assistance of a computer to establish an interpretation that is actionable, especially with size on the line.

 

Okay, I'm looking forward to Urma and the more experienced to step in and correct me and fill in the blanks. Thanks again to all for such a wonderfully rich forum. Urma thanks again in advance for your presence here and your willingness to share. -best wishes and prosperous trading, Brian

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quick, addition, that I just thought of. Another benefit to the sophisticated analysis is being able to take advantage of good opportunities (entries) more often. On the 5 min chart with volume analysis, we're waiting for certain conditions to present themselves to confirm entry/exit, this might've taken 15-25 minutes all together on the Dax chart. However, if we were able to track institutional sentiment more precisely perhaps entries would be possible that just seem too quick to react too on the 5 minute, ultimately permitting us to take more meat out of the market. just some thoughts.:cool:

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