Order Flow Analytics

[paolfili 10]

Fulcrum,

can you confirm that Ninja+DTN.IQ is a good option to track a correct Cumulative Delta?

 

Thanks

 

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.

[FulcrumTrader 10]

We have several using this set up with the various GomCD and GomLadder tools and all seems good (which is very nice to say!!!). If NT 7 could just get their platform to interface with the historical BID/ASK data from DTN.IQ feed that would be excellent!

[cunparis 10]

We have several using this set up with the various GomCD and GomLadder tools and all seems good (which is very nice to say!!!). If NT 7 could just get their platform to interface with the historical BID/ASK data from DTN.IQ feed that would be excellent!

 

NT 7 dropped the ball big time on the bid/ask. They added something resembling bid/ask but it's a separate data stream and since bars are timestamped to the second you cannot sync the bid/ask data with the price bars! This makes their bid/ask data completely useless. I suspect really integrating it would be a major effort so they took the easy way out and made it a separate data series so that they could claim bid/ask support (despite the fact that it's useless). So I try to spread the word and put pressure on them to do it properly.

 

Until then Investor RT & Market Delta seem like the only viable options if you want it historically. For realtime only the GOM tools work great. Just use IQFeed.

[BlowFish 10]

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.

 

If you value completeness over timeliness. OFA seems to be geared towards timeliness (it does not load any historical data at all for example).

 

Also bear in mind that using bid/ask differential as a proxy for trade direction/order flow is only about 80% efficacious (several studies come ina round this number).

 

I am not sure that 'not usable' is the correct conclusion (clearly people are using it). Tainted results sure I'd accept that, not ideal for cumulative work sure I'd accept that, better for 'scalping' (where arguably timeliness is more important that completeness) sure I'd accept that too.

[humdesggg 10]

I see some friends here r impressed with GOM tools,but i have major performance and quality issues with them.compare their values to marketdelta and u see huge divergence between them. in my opinion, gomladder still needs major rework b3 it comes to MD quality.

 

Fulcrum, is cumulative delta a proprietary indicator in investor RT or does it come with the software.

 

I was in your live room but u didnt pay attention to me as a visitor.

 

Fulcrum, maybe u should have started your own thread rather than watering down OFA on this thread

[humdesggg 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.

 

this post deserve high commendation, as it is the really the order flow that is at the core rather than its interpretation through algebraic calculations. a simple understanding of the order flow, coupled with tight risk management, should do. no need to spend 2500$ on something that is really simple

[Moxy 10]

NT 7 dropped the ball big time on the bid/ask. They added something resembling bid/ask but it's a separate data stream and since bars are timestamped to the second you cannot sync the bid/ask data with the price bars! This makes their bid/ask data completely useless. I suspect really integrating it would be a major effort so they took the easy way out and made it a separate data series so that they could claim bid/ask support (despite the fact that it's useless). So I try to spread the word and put pressure on them to do it properly.

 

Until then Investor RT & Market Delta seem like the only viable options if you want it historically. For realtime only the GOM tools work great. Just use IQFeed.

 

I use Sierrachart and am very happy with it.

 

It's worth a look.

[humdesggg 10]

does sierra have marketdelta indicators or charts

[Moxy 10]

does sierra have marketdelta indicators or charts

 

Here are a few images I have uploaded in the past. Take a look and you will see various types of charts I use, some similar to MD's

 

https://www.sierrachart.com/userimages/upload_2/1275490688_93_UploadImage.png

https://www.sierrachart.com/userimages/upload_2/1276612422_71_UploadImage.png

https://www.sierrachart.com/userimages/upload_2/1276873414_71_UploadImage.png

http://www.sierrachart.com/images/doc_VolumeByPrice_img3.png

 

It is a very flexible charting package with a great Worksheet tool built-in that allows you to create your own stats and trading systems using simple MS Excel formulas.

 

It has MP functionality too but the spacing can sometimes be an issue. They are working on a redesign at the moment so fingers crossed that part should improve.

 

Pete.

[wadams 10]

This is a pretty old thread, but I just came across OFA from Mirus Futures webinar page. From what I've seen in, the COT is a modified delta. It is not the same information we get from MD, IRT, Gom, etc. In addition to volume occuring at the bid or ask, OFA incorporates a weighting process based on the tick direction (uptick or downtick) and the number of trades.

 

While I have no idea what the algo is, the general idea makes sense. Whether or not the price moved and number of trades add more nuance to determining the "aggressiveness" of market buying and selling action.

[wadams 10]

I found this video that shows how they make their COT.

 

Cheers

[FulcrumTrader 10]

I have been trading a lot of Momentum based set ups past months where I use Cumulative Delta of uptick vs downtick of trades (not volume) as a Momentum continuation confirmation tool. I always use the regular Cumulative Delta of BID/ASK differential to track shifts in the order flow (and look for order flow transitions), but also looking at the CD of the uptick/downtick info is good for confirming the effectiveness of the ongoing buy or sell strength (for Momentum based trade entries).

[FulcrumTrader 10]

Here was continuation of Momentum that same morning just out of 09:00 am news.....heck of a run on this move (in a market that was continuing solid buy strength). The Cumulative Delta differential of the Uptick vs Downtick of trades can be used to show building or dissipating Momentum during price moves.

[Ants88 10]

This is the chart I use http://www.sierrachart.com/userimages/upload_2/1291138922_7_UploadImage.png

 

at Auctions Order Flow try it, delta.

[shad112 10]

This is the chart I use http://www.sierrachart.com/userimages/upload_2/1291138922_7_UploadImage.png

 

at Auctions Order Flow try it, delta.

 

 

is that the volume by price indicator? What settings do u use that it looks like this?

 

cheers

 

shad

[Ants88 10]

Yes, this is clearer http://www.tiffanyeve.com/chart/2010/nov-8-12/12012010chart.jpg for Sierra Charts.

 

Be more than happy to give you the .cht file. We trade professionally daily, stop by Auctions Order Flow believe me you will learn something absolutely free on IM Skype.

 

 

is that the volume by price indicator? What settings do u use that it looks like this?

 

cheers

 

shad

[FulcrumTrader 10]

SC has limitations for proper BID/ASK differential use (best to use Inv RT or Marketdelta.com) due to lack of sub-second capabilities.............

 

 

[sierra] And what about SierraChart - Page 15

[FulcrumTrader 10]

There is the possibility of using the TimmyB modified GomLadder from NT7 but make darn sure you use ONLY DTN.IQ feed to have proper BID/ASK data!

 

 

Read these EXCELLENT threads at BMT.com for proper details ( Big Mike's Trading Forum );

 

Volume Ladder Highlight Addition

 

Analysis and comparison on different data Feeds and Platforms for Bid/Ask Studies

[dbvaello 10]

I want to apologize in advance for the long post. I have no intention to use this forum for advertising. Traders Laboratory provides an excellent service for traders to discuss ideas and issues. I felt I had the obligation to acknowledge the post in general but honestly feel that about 95% of the discussion in these threads does not apply to my OFA software development. Any questions directed to our website will be answered and I will humbly accept all the ego-driven insults that follow this post…

 

As is the case with anything being offered at a price - there is tremendous speculation by the weary, posturing by the competition, criticism by those unable/unwilling to do for themselves… and a few nice comments. Personally I would never buy any software or trading advice from anyone. I choose to develop and design my own ideas, concepts and intellectual property. For those lacking the resources, knowledge, skills, endurance and imagination required to do so, this industry is filled with people willing to share their work (and often the work of others) for whatever fair price the market dictates.

 

When you can’t find what you want on the open market you can simply give up or build it yourself. I chose to build it myself.

 

The OFA application was built because I had a vision for how I wanted to track the bid and ask strike data on the ES. When I approached existing companies like Market Delta to offer customizations that would result in what I was looking for, all doors were shut abruptly in my face. This is an ugly industry. No existing charting company will consider the possibility that there is a better way of doing things, mostly because 99% of developers don’t trade. If they ever did trade, they were not good enough to continue. Once you take the active trader out of the development process, you can assume any resulting product is completely worthless. Developers end up producing “features” rather than “benefits”. Trading is a feature-rich and benefit-deficient industry.

 

The tools I build are complex, purpose specific, expensive and by no means collectively a magic system – but they are a direct benefit to my trading. They are parts and pieces of what help me execute and manage trades consistently. Just as Fulcrum swears by the cumulative delta and open inventory, or Bill Duryea swears by 5 tick reversals… We all have our own way of looking at the same data. None are more right than any other. We look for consistent patterns that we can capitalize on. In my case I design software to solidify the patterns I see and use rather than trying to interpret some other developer’s limited scope. I rely on the statistics of the Order Flow patterns as defined by my software to develop trading strategies. I have to know week to week and month to month what the probable outcome of each pattern is in order to effectively trade from or with them.

 

For me Order Flow trading involves playing into the revolving exhaustion points as we trade through responsive market depth. I know exactly what to expect when I see clusters of volume exceeding average supply or demand. I know that I can reduce my draw-downs if I avoid putting my stops directly into the pocket of stop-runs that regularly follow these clusters. That is what my software is designed to illustrate and my strategies are designed to capitalize on. I am not interested in the net difference of market orders from 2 days ago – and I don’t care about catching every swing of the market. I want to attack the market when I understand that I have a probable edge. That is what I built OFA for.

 

When there is a large fee attached to services the speculation and criticism land in forums like this one… In the end, anything offered by OFA or any of the other vendors that have tried (and done poorly) to sound impartial here will always be available to you for free if you are willing to accept the alternative real cost: your time, work, equity, endurance and imagination to develop your own trading methods.

 

Should you prefer to bypass the alternative real cost, you have many options out there… Software, seminars, systems, books, videos, etc. In your quest as a consumer of other people’s work, consider a golfer who plays poorly and wants to make a change in his game. Should he spend $300 on a new driver or $300 on a golf lesson? You decide which will have more impact. Some will choose both. Some just the lesson. Some will continue to slice into the trees while cursing their new club.

 

Here are 5 points to consider before making your next trading-related purchase:

 

1. If you think you can’t afford it, you can’t.

 

2. If it sounds too good to be true, it is.

 

3. If you are promised instant profits, you won’t get them.

 

4. If you expect someone else to do the work for you, they won’t.

 

5. If you are undercapitalized or under-disciplined you will fail no matter what you buy.

 

This includes the purchase of OFA. Trading is work. It’s not easy. There is no secret. Successful speculation requires capital, courage and good judgment. Capital is common. Courage is widespread. Good judgment is the only rare commodity in this industry.

 

D.B. Vaello

OrderFlowAnalytics.Com

[paolfili 10]

IMHO The best advertising for your product could be a daily journal of your live trades explained,or better a live trading room where anyone can observe your signals.

I buy books/products/anything about trading ONLY from people talking/teaching CLEAR methodologies.

A Black-Box software is not so interesting for me (and many other).

Can you explain in depth what you consider as 'exhaustion'?

Can you post some chart/video examples of the last days?

 

I want to apologize in advance for the long post. I have no intention to use this forum for advertising. Traders Laboratory provides an excellent service for traders to discuss ideas and issues. I felt I had the obligation to acknowledge the post in general but honestly feel that about 95% of the discussion in these threads does not apply to my OFA software development. Any questions directed to our website will be answered and I will humbly accept all the ego-driven insults that follow this post…

 

As is the case with anything being offered at a price - there is tremendous speculation by the weary, posturing by the competition, criticism by those unable/unwilling to do for themselves… and a few nice comments. Personally I would never buy any software or trading advice from anyone. I choose to develop and design my own ideas, concepts and intellectual property. For those lacking the resources, knowledge, skills, endurance and imagination required to do so, this industry is filled with people willing to share their work (and often the work of others) for whatever fair price the market dictates.

 

When you can’t find what you want on the open market you can simply give up or build it yourself. I chose to build it myself.

 

The OFA application was built because I had a vision for how I wanted to track the bid and ask strike data on the ES. When I approached existing companies like Market Delta to offer customizations that would result in what I was looking for, all doors were shut abruptly in my face. This is an ugly industry. No existing charting company will consider the possibility that there is a better way of doing things, mostly because 99% of developers don’t trade. If they ever did trade, they were not good enough to continue. Once you take the active trader out of the development process, you can assume any resulting product is completely worthless. Developers end up producing “features” rather than “benefits”. Trading is a feature-rich and benefit-deficient industry.

 

The tools I build are complex, purpose specific, expensive and by no means collectively a magic system – but they are a direct benefit to my trading. They are parts and pieces of what help me execute and manage trades consistently. Just as Fulcrum swears by the cumulative delta and open inventory, or Bill Duryea swears by 5 tick reversals… We all have our own way of looking at the same data. None are more right than any other. We look for consistent patterns that we can capitalize on. In my case I design software to solidify the patterns I see and use rather than trying to interpret some other developer’s limited scope. I rely on the statistics of the Order Flow patterns as defined by my software to develop trading strategies. I have to know week to week and month to month what the probable outcome of each pattern is in order to effectively trade from or with them.

 

For me Order Flow trading involves playing into the revolving exhaustion points as we trade through responsive market depth. I know exactly what to expect when I see clusters of volume exceeding average supply or demand. I know that I can reduce my draw-downs if I avoid putting my stops directly into the pocket of stop-runs that regularly follow these clusters. That is what my software is designed to illustrate and my strategies are designed to capitalize on. I am not interested in the net difference of market orders from 2 days ago – and I don’t care about catching every swing of the market. I want to attack the market when I understand that I have a probable edge. That is what I built OFA for.

 

When there is a large fee attached to services the speculation and criticism land in forums like this one… In the end, anything offered by OFA or any of the other vendors that have tried (and done poorly) to sound impartial here will always be available to you for free if you are willing to accept the alternative real cost: your time, work, equity, endurance and imagination to develop your own trading methods.

 

Should you prefer to bypass the alternative real cost, you have many options out there… Software, seminars, systems, books, videos, etc. In your quest as a consumer of other people’s work, consider a golfer who plays poorly and wants to make a change in his game. Should he spend $300 on a new driver or $300 on a golf lesson? You decide which will have more impact. Some will choose both. Some just the lesson. Some will continue to slice into the trees while cursing their new club.

 

Here are 5 points to consider before making your next trading-related purchase:

 

1. If you think you can’t afford it, you can’t.

 

2. If it sounds too good to be true, it is.

 

3. If you are promised instant profits, you won’t get them.

 

4. If you expect someone else to do the work for you, they won’t.

 

5. If you are undercapitalized or under-disciplined you will fail no matter what you buy.

 

This includes the purchase of OFA. Trading is work. It’s not easy. There is no secret. Successful speculation requires capital, courage and good judgment. Capital is common. Courage is widespread. Good judgment is the only rare commodity in this industry.

 

D.B. Vaello

OrderFlowAnalytics.Com

Edited December 17, 2010 by paolfili
size

[jasper36 10]

why does someone need to post signals for,seek and you shall find. From the videos,from the books that you bought ,you don't know what exhaustion means.This is a serious level software it craps all over market delta.i know that for a fact my brother is using ofa and he is making big dollars .If you want to make money you will have to spend some first,if you want go backwards keep buying books .I spotted ofa 1yr ago on the net ,i said to my brother this what you need to be using if you want trade professionally we both had a demonstration from george and within 7 days he was signed up.I didnt sign up because i trade the aussie spi and i use a similar software which was developed in 1994 purely for the spi, basically the same concept and i am no hurry to tell anyone who developed the software i have, why would i. This guy Dbvaello has a software which at the top of the tree when it comes to trading the s&p ,you need to investigate for youself what it is all about not the crap that some are saying on this forum.If i had a software that had high returns i would be selling for 10 k easily, at least then would that these guys are real serious,not the people who want to spen a couple thousand and break your chops all day,thgere are too many tyre kickers these days and most of them are trying to get everything for nothing.I don't know OFA personally but if was you only listen to what members have to say about this product not the people on this forum are saying because they are wrong.

[dbvaello 10]

As previously mentioned, I do not want to be a vendor pushing his wares here. The information exchange is far too valuable for traders to have a constant sales pitch firing back at you. If you are interested in speaking with someone and getting a live demo of the application – and all of your questions answered – don’t hesitate to contact George through the site. He will gladly provide you with all the advertising and information you require. You can then post whatever you want in here (good or bad) so that we can keep the dialog honest and in the hands of participants, not vendors.

 

And there is absolutely nothing “black box” about what we do. Yes, the algos are intellectual property but there is nothing automated, hands off or unexplained in what we do for students – except in the case of confidential custom programming for prop traders. That is their black box, not mine. I believe in discretionary rule-based screen trading with synthetic orders when applicable.

 

As to your question about exhaustion… This goes into the work of analyzing not just the orders struck – which is what our friend Fulcrum keeps referencing in cumulative delta – but also the changing market depth. In order for price to trade higher, the available offers at any price (changing in sub-milliseconds) must be executed through. I will assume that you trade with some piece of market depth software… Be it Ninja’s DOM, TT’s MD Trader or any of the hundreds of other price ladder entry platforms.

 

So assume you see roughly 2500 contracts being offered at the ASK at a specific price. While this number will deplete and grow as we trade into it, in the end you are likely to see one of two things happen in the Order Flow if we trade through it: First, you might see considerably less than 2500 actually print at the offer, say 1200 and then moving through to the next price. Wait, what happened to the other 1300? This would indicate that buyers are clearing the supply quickly and the “limit orders” you thought you saw there have been pulled, moved or otherwise killed. It’s is significant in the stop-run process indicating that trapped sellers and profitable buyers are unloading into an open window. Second option… You see some multiple of the original 2500 that were there, say 7500 print at the offer. Well now you have a completely different situation… We never see 7500 offered at a price. So how in the world are we printing that amount without moving higher? In this case the limit seller is responding to the price discovery, providing supply inventory for the buyer (either new interest or shorts coming out). In short, there is an effort to exhaust the initiating buyer. Rarely will the upward action simply cease at a volume exchange of 7500 lots. We will no doubt trade through it by at least a few ticks (and statistically speaking in the ES about 3-5 ticks), but the result is almost always a temporary shift in the flow of orders from buyers attacking the offer to sellers dumping into the recently cleared bids below. This is an example of a volume transition that can quickly burn the over-extended or over-committed buyers. You see it daily with buy-stop orders triggering longs at breakout points. It’s no secret where these traders are looking for entries – and while they might prove successful with the proper momentum and lack of supply – how often have you seen the market breakout of a range by only a few ticks – only to reverse – stop out the aggressive buyer by a few points and continue to rally without the weak-handed trader that bought the high?

 

Being able to recognize the exhaustion forming sets you up for low-risk scalps that can turn into great multi-point positions and also makes you aware of the cluster of trade likely to get burned. It doesn’t take a genius to know where those positions will start to unload if you know where they came in. If the exhaustion does not form – meaning the “open window” example above, then seeing the location of that window shows you exactly where to manage a breakout long from to avoid being part of the 90% typically shaken out of the move before it runs.

 

Either way, if your general premise (OFA or any other way of reading the print) does nothing to account for the changes in the market depth, you are only seeing 50% of the value of Order Flow Analysis. We are constantly compared to other volume-at-price charting tools. I would argue that none of them even remotely account for the sub-millisecond changes in resting supply or demand. Many even make claims that you can’t use market depth because orders are spoofed, pulled, etc. If you think HFT algos do not account for both the available supply and demand and the executed strike volume you are fighting a losing battle. We write custom algos and automation for multiple prop houses. I have never met one that takes the approach that you can’t analyze what you can’t see.

 

DB

[Orderflow 10]

Hats off to you DB and OFA. Keep up the good work and keep it "transparent". Thanks for enlightening us on OFA, like you said, most of the shelf appz, wont cut it. If they would co-operate and let us keep "OUR" property rights at the same time, they would be at another level.

 

Regards

[paolfili 10]

I make a similar kind of analysis with a my custom Ninja indicator on FESX (Eurostoxx) and ES from 3 weeks.

Tracking demand/supply response with the orderflow on 1-Range charts with on bid/ask volume and DOM movements .

At the moment no evidences (in my undestanding) of High Probability Setup.

You have also to consider that Zenfire doesn' t assure a correct bid/ask data even with the recent update of the Ninja7 to offer no more snapshotted DOM data.

The only correct feed for Ninja bid/ask tracking seems DTN (or Kinetick).

The DOM feed is UDP with Zenfire.How can you assure that your algos are working in correct set of data also in a high traffic period?

I appreciate your explaining replies and probably I will ask a Demo contacting George in some days,but in general I think pattern recognition in trading is largely influenced by feeds and MD Trader and Nina * DOM and tick * are really different.

 

 

As previously mentioned, I do not want to be a vendor pushing his wares here. The information exchange is far too valuable for traders to have a constant sales pitch firing back at you. If you are interested in speaking with someone and getting a live demo of the application – and all of your questions answered – don’t hesitate to contact George through the site. He will gladly provide you with all the advertising and information you require. You can then post whatever you want in here (good or bad) so that we can keep the dialog honest and in the hands of participants, not vendors.

 

And there is absolutely nothing “black box” about what we do. Yes, the algos are intellectual property but there is nothing automated, hands off or unexplained in what we do for students – except in the case of confidential custom programming for prop traders. That is their black box, not mine. I believe in discretionary rule-based screen trading with synthetic orders when applicable.

 

As to your question about exhaustion… This goes into the work of analyzing not just the orders struck – which is what our friend Fulcrum keeps referencing in cumulative delta – but also the changing market depth. In order for price to trade higher, the available offers at any price (changing in sub-milliseconds) must be executed through. I will assume that you trade with some piece of market depth software… Be it Ninja’s DOM, TT’s MD Trader or any of the hundreds of other price ladder entry platforms.

 

So assume you see roughly 2500 contracts being offered at the ASK at a specific price. While this number will deplete and grow as we trade into it, in the end you are likely to see one of two things happen in the Order Flow if we trade through it: First, you might see considerably less than 2500 actually print at the offer, say 1200 and then moving through to the next price. Wait, what happened to the other 1300? This would indicate that buyers are clearing the supply quickly and the “limit orders” you thought you saw there have been pulled, moved or otherwise killed. It’s is significant in the stop-run process indicating that trapped sellers and profitable buyers are unloading into an open window. Second option… You see some multiple of the original 2500 that were there, say 7500 print at the offer. Well now you have a completely different situation… We never see 7500 offered at a price. So how in the world are we printing that amount without moving higher? In this case the limit seller is responding to the price discovery, providing supply inventory for the buyer (either new interest or shorts coming out). In short, there is an effort to exhaust the initiating buyer. Rarely will the upward action simply cease at a volume exchange of 7500 lots. We will no doubt trade through it by at least a few ticks (and statistically speaking in the ES about 3-5 ticks), but the result is almost always a temporary shift in the flow of orders from buyers attacking the offer to sellers dumping into the recently cleared bids below. This is an example of a volume transition that can quickly burn the over-extended or over-committed buyers. You see it daily with buy-stop orders triggering longs at breakout points. It’s no secret where these traders are looking for entries – and while they might prove successful with the proper momentum and lack of supply – how often have you seen the market breakout of a range by only a few ticks – only to reverse – stop out the aggressive buyer by a few points and continue to rally without the weak-handed trader that bought the high?

 

Being able to recognize the exhaustion forming sets you up for low-risk scalps that can turn into great multi-point positions and also makes you aware of the cluster of trade likely to get burned. It doesn’t take a genius to know where those positions will start to unload if you know where they came in. If the exhaustion does not form – meaning the “open window” example above, then seeing the location of that window shows you exactly where to manage a breakout long from to avoid being part of the 90% typically shaken out of the move before it runs.

 

Either way, if your general premise (OFA or any other way of reading the print) does nothing to account for the changes in the market depth, you are only seeing 50% of the value of Order Flow Analysis. We are constantly compared to other volume-at-price charting tools. I would argue that none of them even remotely account for the sub-millisecond changes in resting supply or demand. Many even make claims that you can’t use market depth because orders are spoofed, pulled, etc. If you think HFT algos do not account for both the available supply and demand and the executed strike volume you are fighting a losing battle. We write custom algos and automation for multiple prop houses. I have never met one that takes the approach that you can’t analyze what you can’t see.

 

DB

[dbvaello 10]

I agree fully that IQfeed provides better data for analysis and we absolutely recommend it & offer the connection, however while ZenFire may not isolate the trades at the bid or ask precisely the same, the volume is accounted for within 0.1% across the board. We see situations where IQ parses 7500 contracts slightly differently than ZenFire does... Like 4800/2700 (ZenFire) instead of 5200/2300 (IQ). This has no effect on our algorithms because we have to relate that total volume traded as 7500. Even if somehow the volume is off by 12 contracts... Does this really effect a market that trades 3M+/day? Both would be buyers and sellers - there are not magically only 5200 sellers even though 7500 (or 7512) traded. Even the v3.0 Trade Tracking algos we use for fill/kill have to account for market depth, total volume, volatility, rate of trade, and weighting volume according to inventory levels. Of course in the end the trick is having some strategy as to what you want to do with it - clearly your goal is more automation and pattern recognition - mine is not. Please do not misunderstand. I get the foundation of your argument. There is a considerable difference in using clearing feeds and even in the ZenFire/Rithmic API as opposed to drawing data from Ninja. We try to offer users options. Not all are equal for bid/ask. But because most of our clients execute via Zen or Rithmic, the option is there to use these feeds free either directly from the API or via Ninja. I have no problem paying the extra money for IQ.

 

Regarding pattern recognition, It sounds to me like your algo is too broad based for what you are trying to accomplish. But of course I really do not know what you are doing. I have people tell me all the time that they do exactly what we do... Frankly I find that hard to believe. People tend to focus on the scalping algo because they see it on the net and want a magic indicator. It's not one. It is an add-on for a complex strategy. It has a specific purpose and is not some automated robot. Thus I would say less than 50% of my students even buy it - and those that do without any training are simply flying blind and hoping for magic. I do not have any desire to sell smoke and mirrors. If you buy it, learn how to use it. If you try to copy it, learn how to use it.

 

You seem to have an excellent grasp of your own use of Order Flow, and therefore I would suggest you continue down your own path. Our tools are not the only solution out there and I am the first to admit that - I just find it funny that traders are so anxious to try to copy what we do and in the same post claim we are no different than the other vendors selling volume at price charting. As stated previously, if you have your own time, skills, understanding, imagination and are willing to put in the work there is no reason you can't skip the process of learning from someone else. I would only ask that you not simply assume that you know everything. I am very aware that there is a lot more that I don't know - than what I can claim to understand.

 

DB