Order Flow Analytics

[FulcrumTrader 10]

OFA is doing something that is different from MD footprint charts or any other recent links provided so I give them some credit. OFA has decided on a statistical level of order flow transition criteria (their algorithmic function) to determine WHEN a new reversal bar should form based upon the order flow that shows conviction.....that is a smart move imo. Of course this function they have built within their software is totally dependent on clean bid/ask data and a platform that can handle that data. If OFA remains using Ninjatrader with a broker provided feed, they will not get fully accurate bid/ask data and will have computational mis-plots of their reversal bars (not good). If OFA software is running in a platform/charting set up that can handle an uncoalesced feed with no data loss, then their trade set up criteria may work just fine (since they are properly pin pointing statistical SHIFTS within the realtime order flow conviction.....which is one of the key components to a proper high probability trade entry determination).

[uexkuell 10]

... to determine WHEN a new reversal bar should form based upon the order flow that shows conviction.....

 

Care to elaborate how this could be done?

[FulcrumTrader 10]

Care to elaborate how this could be done?

In the case of OFA software, they have determined a set amount of contract differential from tracking Cumulative Delta as their algorithmic criteria for a new reversal bar to be initiated. Since I have used Cumulative Delta exclusively now for over 6 years, I know various statistical order flow transition levels that are important to me.....I have no idea what OFA is using as their benchmark order flow transition criteria (Cumulative Delta order flow "flip" differential).

[Hit_The_Bid 10]

If you cannot make money by Understanding and Trading Order Flow itself, irrelevant of which Software (OFA or MarketDelta) provides it, forget it. It really doesnt matter about Algorithms and super programming. Its just another system IMO. Order Flow Trading should stay discretionary as that is where the Edge is. Someone will always come along a promise another Holy Grail, and we all no there is no such thing. So best thing to do is learn how to trade Order Flow Well, find a few Executions patterns that work and just Manage your Risk VERY well. Simple.

[davewolfs 10]

Care to elaborate how this could be done?

 

Nothing is being done. If you watch their video, the person who is demoing the software specifically says the bars are created using PNF bars also known as a reversal chart which has been in MD for a long time.

[cls71 10]

I do not understand the criticism of Zen-Fire + NinjaTrader, to process the tape.

I have programmed my own tools to analyze the tape (one full session) and found that match with CME (for mini-sp)

I use NinjaTrader and Zen-Fire.

I searched the forum but have not found any evidence to show that the flow of Zen-Fire is wrong, or NinjaTrader can not process it.

[BlowFish 10]

Never mind I think this link has been posted previously.

[FulcrumTrader 10]

I do not understand the criticism of Zen-Fire + NinjaTrader, to process the tape.

I have programmed my own tools to analyze the tape (one full session) and found that match with CME (for mini-sp)

I use NinjaTrader and Zen-Fire.

I searched the forum but have not found any evidence to show that the flow of Zen-Fire is wrong, or NinjaTrader can not process it.

I have MANY that were using Ninjatrader with Zenfire feed to do their bid/ask differential work for Cumulative Delta plots and there was frequent data drops day after day (since the CME data output changes in October of 2009).

 

To research the problems that had started to appear for ALL Ninjatrader/Zenfire users running bid/ask data, I compared the end of day data runs to a very robust uncoalesced server side accessed feed. The NT/Zenfire data runs for BID/ASK data comparisons did not at all match up with the CME feed runs from a very high end application.

 

You will need access to direct uncoalesced FCM server side feed or pay high bucks for very robust low latency feeds to make a proper comparison. It was pretty bad actually, everyone that I know who was using NT/Zenfire for doing bid/ask work all had their charting go to crap after the CME data changes......I wished that was not the case!

 

I was also a user of the NT/Zenfire feed for back up bid/ask data work, but I myself no longer use this set up.....not until I see new proof that NT/Zenfire have made the necessary changes to whatever is causing the problems (and that will take some extensive work to change their current application limitations). I really like the Ninjatrader platform and I still use the platform for basic order entry/management ops, but I do not at all use it for Cumulative Delta work anymore.

[jasper36 10]

where do i get the software for this set up jasper36

[alex_laxya 10]

After reading this much informative thread from start to end there one confusion still lies, how OFA Change the bar? is it pnf as someone said above or is it using variation of CD Algo? Most of guys must have used it by now, how was the real time experience?

[BlowFish 10]

I don't believe they are but if you apply delta data to P&F principles I think you will find your answer

[dandxg 10]

OFA has a proprietary calculation its not 6 tick reversal, but 6 ticks work pretty well so does 6 range. Take the demo, they are pretty nice guys. I just refuse to pay $2500 for their education class to use their software to learn what I learning for alot less from IOAMT. Some of OFA's set ups are the same as IOAMT they wait for a high volume spike at low or high then when those traders are upside down they fade em'. You can get a few ideas from watching tradersforce on you tube also.

[alex_laxya 10]

Thanks blowfish, and yes if there is a debate over bid-ask vs uptick-downtick then i will take a side of uptick-downtick, i dont believe bid-ask order directly affect the price structure, other time frame traders ( which are the most influencial one to change the shape of a profile ) trades on higher time frame & logically they will wait on bid rather than hitting the ask price aggressively, yes bid-ask has a value but mostly for quants who uses the imbalance in a flash. Whereas uptick-downtick itself is the product of price movement so is more reliable market induced information imho.

[alex_laxya 10]

OFA has a proprietary calculation its not 6 tick reversal, but 6 ticks work pretty well so does 6 range. Take the demo, they are pretty nice guys. I just refuse to pay $2500 for their education class to use their software to learn what I learning for alot less from IOAMT. Some of OFA's set ups are the same as IOAMT they wait for a high volume spike at low or high then when those traders are upside down they fade em'. You can get a few ideas from watching tradersforce on you tube also.

 

compulsory boot-camp with fee of 2500$ means they dont target there s/w for experience traders. Thanks for the reviews.

[trade-samarai 10]

I was also a user of the NT/Zenfire feed for back up bid/ask data work, but I myself no longer use this set up.

 

Hi FulcrumTrader:

Lately my TradeStation data delivery has been problematic and also the charts have been freezing. Please, what platform/data feeds are you using? I'm in the market.

[dandxg 10]

Hi FulcrumTrader:

Lately my TradeStation data delivery has been problematic and also the charts have been freezing. Please, what platform/data feeds are you using? I'm in the market.

 

I am familiar with Fulcrums posts let me see if I can help, in the meantime. Fulcrum uses, last time I read, DTN IQ NX core, with Investor RT. Most would be fine with IQ feed regular. You could try Market Delta, very similar, for free, for 30 days but doesn't store historical data. TradeStation is notorious for bottlenecking on high volume bursts.

[cunparis 10]

they will wait on bid rather than hitting the ask price aggressively

 

Can you explain this further? Are you saying they will put a limit order on the bid and let the offer come to them?

[alex_laxya 10]

Can you explain this further? Are you saying they will put a limit order on the bid and let the offer come to them?

 

Totally, thats what i mean, most of the time when we see market holding on support on low volume this thing happens, but it doesnt mean they always give limit orders below the actual price, volatility need to be consider as well, in high volatility environment OTT (other timeframe traders ) wont wait but rather hit the ask price, you see thats what i mean so many ifs & buts to the extent of curve fitting the vague theory. In market profile we say responsive buying by other time frame traders, they pounce on the opportunity when they think value is reasonable thats the tendency of smart auction player so why would OTT always hit the market price OR ask price ?

[BlowFish 10]

compulsory boot-camp with fee of 2500$ means they dont target there s/w for experience traders. Thanks for the reviews.

 

Indeed.

 

I really quite like what they are doing. If I could just buy the software for a grand I probably would. There pricing model is weird, 10 bucks a month per extra instrument? 500 (or whatever it is) if you want clusters shaded? Kinda crazy and firmly in the "lets make a living out of education and software". Another concerned is that just because there are no parameters exposed there clearly things that could/should be. It is a dark grey box that may well need tuning for different markets or conditions.

[alex_laxya 10]

I could come up with only two possible reasons for this weird thing, they are paranoid of some one might crack it if they keep their s/w for demo without controlling who is downloading it. Second reason could be ..One guy who is using it told its pure vanilla s/w no indicators could be backtested in Ninja. If its true then its visual ease to the eye kind of utility and to make a best use of it you need to have some knowladge of how the order flow works and the secret they only posses and instead using that secret to make real money in market by actual trades they choose to sell it, pretty convincing. Nothing against/for any vendor, just expressing my views.

[FulcrumTrader 10]

Thanks blowfish, and yes if there is a debate over bid-ask vs uptick-downtick then i will take a side of uptick-downtick, i dont believe bid-ask order directly affect the price structure, other time frame traders ( which are the most influencial one to change the shape of a profile ) trades on higher time frame & logically they will wait on bid rather than hitting the ask price aggressively, yes bid-ask has a value but mostly for quants who uses the imbalance in a flash. Whereas uptick-downtick itself is the product of price movement so is more reliable market induced information imho.

 

The predominance of Commercials order flow is handled through algorithmic automated entry/exit systems with "market orders".....BID/ASK Differential is critical to track this very important order flow dynamic. With current technology and speed available for routing orders, the best method possible for Commercials to mask their activity in the market is through "market order" driven order flow. Sitting fat in the order book is the old game...."market order" driven activity through automation is the king right now.

[FulcrumTrader 10]

Hi FulcrumTrader:

Lately my TradeStation data delivery has been problematic and also the charts have been freezing. Please, what platform/data feeds are you using? I'm in the market.

 

Investor RT Pro with regular DTN.IQ feed is what I recommend for tracking Cumulative Delta.

 

TradeVec and marketdelta.com are additional alternatives if used with DTN.IQ feed (a rock solid feed is a MUST to properly track the Cumulative Delta).

[FulcrumTrader 10]

BTW, does anyone know if OFA is still trying to use Rithmic feed to track BID/ASK Differential?

 

 

Did OFA finally make the switch to a proper data feed for BID/ASK Differential work with DTN.IQ feed yet?

[cunparis 10]

BTW, does anyone know if OFA is still trying to use Rithmic feed to track BID/ASK Differential?

 

 

Did OFA finally make the switch to a proper data feed for BID/ASK Differential work with DTN.IQ feed yet?

 

 

I believe it works with zen-fire still. You can run it through Ninja and then connect ninja to IQFeed but I suspect that would have performance implications.

 

This is one reason I use Market Delta so that I can use it with IQFeed.

[FulcrumTrader 10]

I believe it works with zen-fire still. You can run it through Ninja and then connect ninja to IQFeed but I suspect that would have performance implications.

 

This is one reason I use Market Delta so that I can use it with IQFeed.

Right.....BID/ASK differential work with a broker supplied feed is not usable data (tainted results). DTN.IQ is the best option at this time to make sure you have proper BID/ASK data.